The Informational Role of Corporate Hedging

• 成果类型: Article
• 署名作者: Manconi, Alberto; Massa, Massimo; Zhang, Lei
• 署名单位: Bocconi University; INSEAD Business School; Nanyang Technological University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2016.2717
• 发表日期: 2018
• 页码: 3843-3867
• 关键词: corporate hedging; Informed trading; uncertainty; Short selling

摘要

We study the informational role of corporate hedging, comparing two hypotheses. Under the opacity hypothesis, corporate hedging makes earnings less informative, renders the firm opaque, and increases informed traders' profitability. Under the transparency hypothesis, hedging reduces uncertainty and erodes the informed traders' information advantage and profitability. Our tests support the transparency hypothesis. Hedging is associated with lower uncertainty (lower implied volatility and analyst forecast dispersion, and greater breadth of ownership). It is also associated with a lower informed trading intensity, in particular for short selling. Short selling profits are more than twice lower on the stocks of firms engaging in corporate hedging.