This thesis aims at analysing, first, the impact that unanticipated changes in the exchange rate have on the value of companies operating in emerging markets and, second, the strategies and decisions that these firms make to improve the efficiency of their hedging initiatives. Following the conclusions of previous studies in developed economies, it takes a broad perspective in the sense that it follows a cross-functional approach, looking at finance, strategic planning, marketing, and operations management, as well as using market return as an indicator of value. The data was collected in a survey with senior managers and directors of European companies with subsidiaries in the Mercosur and Chile and then analysed using quantitative and qualitative methods. The quantitative part involves a two-stage regression analysis; the first stage time series regression calculates a foreign exchange exposure coefficient, and the second cross-sectional regression uses this coefficient as an independent variable against the answers from the survey. The qualitative analysis is based on the systematic approach of Grounded Theory. The results show that ten areas for decisions have impacted the firms' value as well as helped them to improve the efficiency of their hedging initiatives. These findings are intended to make contributions in the area of hedging exchange exposure, offering a new perspective in the context of emerging markets to the current literature in developed countries.