A View Inside Corporate Risk Management

• 成果类型: Article
• 署名作者: Bodnar, Gordon M.; Giambona, Erasmo; Graham, John R.; Harvey, Campbell R.
• 署名单位: Johns Hopkins University; Syracuse University; Duke University; National Bureau of Economic Research
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2018.3081
• 发表日期: 2019
• 页码: 5001-5026
• 关键词: Risk management; hedging; managerial risk aversion; behavioral finance; manager fixed effects; interest rate risk; Credit risk; commodity risk; Foreign exchange risk

摘要

Why do firms manage risk? According to various theories, firms hedge to mitigate credit rationing, to alleviate information asymmetry, and to reduce the risk of financial distress. However, empirical support for these theories is mixed. Our paper addresses the why by directly asking the managers that make risk management decisions. Our results suggest that personal risk aversion in combination with other executive traits plays a key role in hedging. Our analysis also indicates that risk-averse executives are more likely to rely on (more conservative) fat-tailed distributions to estimate risk exposure. While most theories of risk management ignore the human dimension, our results suggest that managerial traits play an important role.