Hedging, speculation, and shareholder value

• 成果类型: Article
• 署名作者: Adam, Tim R.; Fernando, Chitru S.
• 署名单位: University of Oklahoma System; University of Oklahoma - Norman; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.03.014
• 发表日期: 2006
• 页码: 283-309
• 关键词: Corporate risk management; hedging; speculation; Risk premium; hedging benefits

摘要

We document that gold mining firms have consistently realized economically significant cash flow gains from their derivatives transactions. We conclude that these cash flows have increased shareholder value since there is no evidence of an offsetting adjustment in firms' systematic risk. This finding contradicts a central assumption in the risk management literature that derivatives transactions have zero net present value, and highlights an important motive for firms to use derivatives that the literature has hitherto ignored. Although we find considerable evidence of selective hedging in our sample, the cash flow gains from selective hedging appear to be small at best. (c) 2005 Elsevier B.V. All rights reserved.