The value of corporate risk management

• 成果类型: Article
• 署名作者: MacKay, Peter; Moeller, Sara B.
• 署名单位: Hong Kong University of Science & Technology; Wake Forest University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01239.x
• 发表日期: 2007
• 页码: 1379-1419
• 关键词: FIRMS HEDGE; OIL; INVESTMENT; exposure; determinants; inventories; valuation; BEHAVIOR; prices; COSTS

摘要

We model and estimate the value of corporate risk management. We show how risk management can add value when revenues and costs are nonlinearly related to prices and estimate the model by regressing quarterly firm sales and costs on the second and higher moments of output and input prices. For a sample of 34 oil refiners, we find that hedging concave revenues and leaving concave costs exposed each represent between 2% and 3% of firm value. We validate our approach by regressing Tobin's q on the estimated value and level of risk management and find results consistent with the model.