Does Hedging Affect Firm Value? Evidence from a Natural Experiment

• 成果类型: Article
• 署名作者: Gilje, Erik P.; Taillard, Jerome P.
• 署名单位: University of Pennsylvania; Babson College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx069
• 发表日期: 2017
• 页码: 4083
• 关键词: risk-management; CURRENCY DERIVATIVES; corporate-debt; GAS PRODUCERS; industry; INVESTMENT; determinants; policies; COMPENSATION; speculation

摘要

We exploit an exogenous change in basis risk in the oil and gas industry to analyze the channels through which hedging affects firm value. Using a difference-in-differences framework, we find that firms affected by a basis risk shock reduce investment, have lower valuations, sell assets, and reduce debt. Our findings are driven by firms with ex ante high leverage. Overall, our results provide evidence that reducing the probability of financial distress and underinvestment risk are first-order channels through which hedging affects firm value.