How much do firms hedge with derivatives?

• 成果类型: Article
• 署名作者: Guay, W; Kothari, SP
• 署名单位: Massachusetts Institute of Technology (MIT); University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(03)00179-X
• 发表日期: 2003
• 页码: 423-461
• 关键词: derivatives; hedging; risk management; financial instruments

摘要

For 234 large non-financial corporations using derivatives, we report the magnitude of their risk exposure hedged by financial derivatives. If interest rates, currency exchange rates, and commodity prices change simultaneously by three standard deviations, the median firm's derivatives portfolio, at most, generates $15 million in cash and $31 million in value. These amounts are modest relative to firm size, and operating and investing cash flows, and other benchmarks. Corporate derivatives use appears to be a small piece of non-financial firms' overall risk profile. This suggests a need to rethink past empirical research documenting the importance of firms' derivative use. (C) 2003 Elsevier B.V. All rights reserved.