Risk Management in Financial Institutions: A Replication
成果类型：
Article
署名作者：
Guest, Paul M.
署名单位：
University of London; King's College London
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.13063
发表日期：
2021
页码：
2689-2707
关键词：
摘要：
Rampini, Viswanathan, and Vuillemey (RVV) show empirically that net worth drives hedging. I identify discrepancies to which RVV's key findings are not robust: the positive correlation between net worth and hedging is not independent of institution size, house price decline shocks to net worth (which RVV use for identification) have mixed effects on hedging that are not robust across alternative specifications, and the treatment effects on net worth and hedging are not increasing in real estate exposure, inconsistent with a causal explanation. Overall, my analysis does not support the conclusion of RVV that higher net worth causes more hedging.
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