This paper presents a study on the relationship between the value of the firm and financial risks by a sample of Moroccan companies listed on the Casablanca Stock Exchange. The sample covers 72 listed companies operating in various industries. The value of the company is represented by the monthly dividend yield of the firm and the financial risks are mainly; market risk, exchange rate risk, rate risk, and commodity risk. The aim of the analysis is to study the impact of these financial risks on the value of the company, through an econometric study of a regression model, where the value of the company is the dependent variable, and financial risks are the explanatory variables. The empirical results show that 35% of Moroccan companies are sensitive to changes of financial instruments for the period of May 2013 to April 2014.The results also show that the sensitivity of firms depends on the nature of the activity and the degree of openness on the international market. A cross-sectional analysis by industry was considered to answer the question, and the results suggest that the most sensitive areas are the telecommunications sector, followed by the building and public works sector, then the transport sector.