Hedging and coordinated risk management: Evidence from thrift conversions

• 成果类型: Article
• 署名作者: Schrand, C; Unal, H
• 署名单位: University of Pennsylvania; University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00041
• 发表日期: 1998
• 页码: 979-1013
• 关键词: TO-STOCK CONVERSIONS; Ownership structure; insurance; savings; determinants; INVESTMENT; loans; banks

摘要

We provide an explanation for hedging as a means of allocating rather than reducing risk. We argue that when increases in total risk are costly, firms optimally allocate risk by reducing (increasing) exposure to risks that provide zero (positive) economic rents. Our evidence shows that mutual thrifts that convert to stock institutions increase total risk, following conversion, consistent with their increased abilities and incentives for risk taking. They achieve this increase by hedging interest-rate risk and increasing credit risk. We provide some evidence that risk-management activities are related to growth capacity and management compensation structure attained at conversion.