haku: @author Kothari, S.P. / yhteensä: 5
viite: 4 / 5
| Tekijä: | Guay, W. Kothari, S.P. |
| Otsikko: | How much do firms hedge with derivatives? |
| Lehti: | Journal of Financial Economics
2003 : DEC, VOL. 70:3, p. 423-461 |
| Asiasana: | Derivative securities Hedging Risk management |
| Kieli: | eng |
| Tiivistelmä: | For 234 large non-financial corporations using derivatives, the authors report the magnitude of their rik exposure hedged by financial derivatives. If interest rates, currency exchange rates, and commodity prices change simultaneously by three standard deviations, the median firm's derivatives portfolio, at most, generates $15 million in cash and $31 million in value. Corporate derivatives use appears to be small piece of non-financial firms' overall risk profile. This suggests a need to rethink past empirical research documenting the importance of firms' derivative use. |
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