Dynamic risk management

• 成果类型: Article
• 署名作者: Rampini, Adriano A.; Sufi, Amir; Viswanathan, S.
• 署名单位: Duke University; University of Chicago
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.10.003
• 发表日期: 2014
• 页码: 271-296
• 关键词: Collateral; risk management; commodity prices; Financial distress; airlines

摘要

Both financing and risk management involve promises to pay that need to be collateralized, resulting in a financing versus risk management trade-off. We study this trade-off in a dynamic model of commodity price risk management and show that risk management is limited and that more financially constrained firms hedge less or not at all. We show that these predictions are consistent with the evidence using panel data for fuel price risk management by airlines. More constrained airlines hedge less both in the cross section and within airlines over time. Risk management drops substantially as airlines approach distress and recovers only slowly after airlines enter distress. (C) 2013 Elsevier B.V. All rights reserved.