MPRA Paper 4241

8/13/2019 MPRA Paper 4241

1/31

Munich Personal RePEc Archive

Risk Management Theory: A

comprehensive empirical assessment

Karol Marek Klimczak

Leon Kozminski Academy of Enterpreneurship and Management

23. July 2007

Online at http://mpra.ub.uni-muenchen.de/4241/

MPRA Paper No. 4241, posted 24. July 2007
http://mpra.ub.uni-muenchen.de/4241/http://mpra.ub.uni-muenchen.de/4241/http://mpra.ub.uni-muenchen.de/

8/13/2019 MPRA Paper 4241

2/31

8/13/2019 MPRA Paper 4241

3/31

Risk Management Theory

A>strat

The aim o( this !a!er is to de"e#o! a methodo#ogy (or thorough em!iria# testing o( ma?or

ontem!orary or!orate risk management theories: (inania# theory* ageny theory*

stakeho#der theory and ne) institutiona# eonomis+ @n#ike in !re"ious researh* the tests are

organised around theories* rather than indi"idua# hy!otheses+ I used a num>er o( tests (or

ro>ustness and su>?eted hy!otheses to re!eated testing* ross5"eri(ying resu#ts+ E"idene o(

tests onduted on a sam!#e o( 13 om!anies #isted at the $arsa) Stok E9hange in

%o#and* o"ering years (rom 1 to 3* #ear#y !oint to #o) em!iria# "eri(iation o( a##

theories onsidered+ Ho)e"er* I (ind e"idene (or some theoretia# determinants: urreny

e9!osure* market5to5>ook "a#ue* IT and ser"ie setors and si&e+ In on#usion I suggest

im!#iations (or (uture em!iria# and one!tua# researh+

Key)ords: or!orate risk management* hedging* deri"ati"es* ART

8/13/2019 MPRA Paper 4241

4/31

Risk Management Theory 7

Risk Management Theory: A comprehensive empirical assessment

Working Paper

There ha"e >een many em!iria# studies aiming at (inding su!!ort (or the "arious

theories o( or!orate (inania# risk management+ Ho)e"er* su>seBuent researh !a!ers (ai#ed

to determine )hih theories are su!!orted >y the data and )hih are not+ In onseBuene >oth

theoretia# researh e((orts and the design o( a!!#ied methods (or or!orate risk management

are sta##ed >y the ina>i#ity to deide )hih theoretia# a!!roah to (o##o)+ A(ter a s!ate o(

ne) researh in this (ie#d in the #ate 4Cs there ha"e >een (e) studies that added to our

understanding o( or!orate hedging >eha"iour+ Inidenta##y* most "a#ua>#e !iees o( researh

in reent years onentrated on methodo#ogia# issues: the endogeneity !ro>#em .;in and

;orion* 62* in#usion o( non5deri"ati"e hedging .,a"ies et a#+* 6D ;udge* 62* and

assum!tions a>out the !ur!ose o( deri"ati"e use .8au#kender* 32+ In this !a!er I (o##o) the

methodo#ogia# strain o( researh and !ro!ose "eri(iation o( risk management theory )hih

is (oused not on indi"idua# hy!otheses >ut on theories+ I a#so attem!t to !ro"ide strong

e"idene as to the "eri(iation status o( these theories >y using a num>er o( methods and

su>?eting hy!otheses to re!eated testing+

This !a!er aims to design and ondut an e9hausti"e em!iria# in"estigation into a##

ma?or or!orate risk management theories* )hih )ou#d !ro"ide strong statement o( their

"eri(iation status+ The theories onsidered in#ude risk management mode#s de"e#o!ed

)ithin the >ody o( the (o##o)ing theories o( the (irm: (inania# theory* ageny theory*

stakeho#der theory and ne) institutiona# eonomis+ onseBuent#y* )hi#e most researh

!a!ers !resent the hy!otheses in setions onentrated around !artiu#ar determinants o( risk

management* I disuss them in the order o( theories (rom )hih they originated+

8/13/2019 MPRA Paper 4241

5/31

Risk Management Theory /

The in#usion o( ne) institutiona# eonomis and stakeho#der theory* none o( )hih

has >een tested in the onte9t o( risk management* is the (irst attem!t to introdue these

theories to em!iria# researh in the (ie#d+ oth theories are re#ati"e#y ne) and immature+

Ho)e"er* sine they o((er a ne) !ers!eti"e on the !ro>#em o( hedging* it is )orth)hi#e to

onsider them+

Another ontri>ution o( this !a!er is a ohesi"e testing methodo#ogy+ 8irst o( a##* I

designed a set o( hy!otheses >asing on !re"ious researh+ Seond#y* des!ite using a ne)

a!!roah to em!iria# "eri(iation* I stri"ed to maintain om!ara>i#ity )ith !re"ious studies

in terms o( hy!otheses and statistia# methods+ Third#y* I tested hy!otheses using a )ide

range o( statistia# methods* )ith re!eated testing o( the same hy!othesis* )hih !ro"ided

dou>#e "eri(iation o( resu#ts+ These issues are disussed in the setion on methodo#ogy

>e#o)+

The hoie o( data a#so !ro"ides a ne) insight into risk management !raties o(

om!anies+ The dataset (or this study om!rises annua# re!ort data (or 13 %o#ish #isted

om!anies* in the !eriod o( 153+ 8e) studies o( eonomi theories are arried out

using emerging market data+ In the !eriod e9amined %o#ish om!anies had ready aess to

deri"ati"es and )ere su>?et to Internationa# Aounting Standard 7 and 74 regu#ation+

Ho)e"er on#y 7F used hedging* (ar (e)er than in de"e#o!ed Euro!ean or o"erseas markets+

It is there(ore interesting to in"estigate this ne) market and hek i( researh resu#ts math

those (rom di((erent markets+

Theories and !re"ious researh

8inania# eonomis a!!roah

8inania# eonomis a!!roah to or!orate risk management has so (ar >een the most

!ro#i(i in terms o( >oth theoretia# mode# e9tensions and em!iria# researh+ This a!!roah

>ui#ds u!on #assi Modig#iani5Mi##er !aradigm .Mi##er and Modig#iani* 14302 )hih states

8/13/2019 MPRA Paper 4241

6/31


onditions (or irre#e"ane o( (inania# struture (or or!orate "a#ue+ This !aradigm )as #ater

e9tended to the (ie#d o( risk management+ This a!!roah sti!u#ates a#so that hedging #eads to

#o)er "o#ati#ity o( ash (#o) and there(ore #o)er "o#ati#ity o( (irm "a#ue+ Rationa#es (or

or!orate risk management )ere dedued (rom the irre#e"ane onditions and in#uded:

higher de>t a!aity .Mi##er and Modig#iani* 14672* !rogressi"e ta9 rates* #o)er e9!eted

osts o( >ankru!ty .Smith and Stu#&* 14032* seuring interna# (inaning .8root et a#+* 14472*

in(ormation asymmetries .Ge&y et a#+* 144ene(iia# to the (irm* shou#d >e

higher "a#ue a hedging !remium+

E"idene to su!!ort the !reditions o( (inania# eonomis theory a!!roah to risk

management is !oor+ A#though risk management does #ead to #o)er "aria>i#ity o( or!orate

"a#ue .e+g+ ;in and ;orion* 62* )hih is the main !rereBuisite (or a## other e((ets* there

seems to >e #itt#e !roo( o( this >eing #inked )ith >ene(its s!ei(ied >y the theory+ One o( the

most )ide#y ited !a!ers >y Tu(ano .14462 (inds no e"idene to su!!ort (inania# hy!otheses*

and onentrates on the in(#uene o( manageria# !re(erenes instead+ On the other hand* the

higher de>t a!aity hy!othesis seems to >e "eri(ied !ositi"e#y* as sho)n >y 8a(( and Nguyen

.2* Graham and Rogers .2 and Guay .14442+ Interna# (inaning hy!othesis )as

!ositi"e#y "eri(ied >y Guay .14442 and Ge&y et a#+ .144y 8a(( and

Guyen .2 and Mian .14462+ ;udge .62 (ound e"idene in su!!ort o( (inania# distress

hy!othesis+ Ta9 hy!othesis )as "eri(ied !ositi"e#y >y Nane* Smith and Smithson .14472*

)hi#e other studies "eri(ied it negati"e#y .Mian* 1446 D Graham and Rogers* 2+ More

reent#y ;in and ;orion .62 !ro"ide strong e"idene o( #ak o( "a#ue re#e"ane o( hedging*

a#though some !re"ious studies ha"e identi(ied a hedging !remium .A##ayannis and $eston*

1* arter et a#+* 62+

8/13/2019 MPRA Paper 4241

7/31


The hy!otheses tested in this study in#ude a## o( the a>o"e rationa#es* e9e!t (or

in(ormation asymmetries and om!arati"e in(ormation ad"antage+ The (irst t)o hy!othesis

test the under#ying assum!tion* that hedging #eads to #o)er "o#ati#ity o( om!any "a#ue+

Hypothesis 1a: There is a negative relationship between hedging and stock price volatility.

Hypothesis 1b: There is a negative relationship between hedging a particular risk and stock

price exposure to that risk factor.

The ne9t hy!othesis tests (or a hedging !remium >y #ooking at om!anies that start

hedging* rather than a ross5setion o( hedgers "s+ non5hedgers* (o##o)ing the a!!roah o(

Guay .14442+

Hypothesis 1c: Firms that begin hedging experience a rise in market value of equity.

Aording to de>t a!aity and ta9 inenti"e rationa#es* (irms shou#d >e interested in

raising their gearing ratios* using the ta9 shie#d to the (u## e9tent* and #o)ering their ta9

harges+ Hedging (ai#itates this >y #o)ering risk o( de(au#t and a##o)ing higher de>t

a!aity+ 'o)er "o#ati#ity o( earnings may a#so resu#t in #o)er a"erage ta9 harges i( the ta9

ur"e is ona"e* ho)e"er in %o#and or!orate inome ta9 is (#at5rate so this e((et is not

im!ortant+

Hypothesis 1d: There is a positive relationship between hedging and debtequity ratio.

Hypothesis 1e: Firms that begin hedging! raise their debt equity ratio subsequently.

Hypothesis 1f: Firms with low times interest earned ratio "#$%Tinterest paid&! but above

one! hedge more often than either firms with high ratio or lower than one.

Hypothesis 1g: Firms that hedge are able to pay their interest charges "times interest earned

ratio ' 1&.

Hypothesis (h: There is a negative relationship between hedging and income tax paid

"relative to sales&.

Hypothesis (i: )verage tax charge falls after firms start to hedge.

8/13/2019 MPRA Paper 4241

8/31

Risk Management Theory een sho)n to in(#uene manageria# attitudes to)ard risk taking and hedging .Smith and

Stu#&* 14032+ Theory a#so e9!#ains a !ossi>#e mismath o( interest >et)een shareho#ders*

management and de>t ho#ders due to asymmetries in earning distri>ution* )hih an resu#t in

the (irm taking too muh risk or not engaging in !ositi"e net "a#ue !ro?ets .Mayers and

Smith* 140y Tu(ano .14462 in his ana#ysis o( the go#d mining industry in the @S+ 8inania#

!o#iy hy!otheses )ere tested in studies o( the (inania# theory* sine >oth theories gi"e

simi#ar !reditions in this res!et+ A## in a##* the >u#k o( em!iria# e"idene seems to >e

against ageny theory hy!otheses ho)e"er+

Ageny theory !ro"ides strong su!!ort (or hedging as a res!onse to mismath

>et)een menageria# inenti"es and shareho#der interests+ The (o##o)ing hy!otheses are

designed to test the >asi im!#iations o( this theory+ The (irst hy!othesis tests i( (irms hedge

8/13/2019 MPRA Paper 4241

9/31


in order to derease risk to >#ok shareho#ders+ The ne9t three hy!otheses address the

Buestion o( hedging as a too# to sa(eguard de>tho#der interest and thus inrease de>t a!aity+

@n(ortunate#y* due to data #imitations I )as una>#e to test manageria# o!tion and stok

ho#ding hy!otheses+

Hypothesis (a: There is a positive relationship between hedging and individual block

ownership.

Hypothesis (b: Hedging is used most often by companies with high debtequity ratios.

Hypothesis (c: Firms start hedging more often if they have low equityassets ratios and wish

to issue debt or take out a bank loan.

Hypothesis (d: Firms start hedging more often if they have high debtequity ratios and wish

to issue debt or take out a bank loan.

Ne) Institutiona# Eonomis

A di((erent !ers!eti"e on risk management is o((ered >y ne) institutiona# eonomis+

The (ous is shi(ted here to go"ernane !roesses and soio5eonomi institutions that guide

these !roesses* as e9!#ained >y $i##iamson .14402+ A#though no em!iria# studies o( ne)

institutiona# eonomis a!!roah to risk management ha"e >een arried out so (ar* the theory

o((ers an a#ternati"e e9!#anation o( or!orate >eha"ior+ Name#y* it !redits that risk

management !raties may >e determined >y institutions or ae!ted !ratie )ithin a market

or industry+ Moreo"er* the theory #inks seurity )ith s!ei(i assets !urhase .$i##iamson*

140e im!ortant in ontrats )hih >ind t)o

sides )ithout a##o)ing di"ersi(iation* suh as #arge (inaning ontrat or #ose oo!eration

)ithin a su!!#y hain+

I( institutiona# (ators do !#ay an im!ortant ro#e in hedging* this shou#d >e o>ser"a>#e

in the data+ 8irst o( a##* there may >e a di((erene >et)een setors+ Seond#y* hedging may >e

more !o!u#ar in ertain !eriods in %o#and one might "enture a guess* that hedging shou#d

8/13/2019 MPRA Paper 4241

10/31


>eome more !o!u#ar )ith years+ A more onrete im!#iation o( this theory* is that

shareho#ders may >e interested in attrating >#ok o)nershi! >y reduing om!any risk+ Here

NIE is simi#ar in its !reditions to ageny theory+ Ho)e"er this theory a#so suggest that (irm

!raties may >e in(#uened >y the o)nershi! struture in genera#+ These im!#iations are

tested )ith the (o##o)ing hy!otheses+

Hypothesis /a. There are differences in popularity of hedging between industries.

Hypothesis /b: The frequency of hedging changes with time.

Hypothesis /c: Hedging is positively related to individual block onwership.

Hypothesis /d: Hedging behaviour is influenced by the ownership structure: the government!

institutional investors! foreign investors.

Stakeho#der theory

Stakeho#der theory* de"e#o!ed origina##y >y 8reeman .140/2 as a manageria#

instrument* has sine e"o#"ed into a theory o( the (irm )ith high e9!#anatory !otentia#+

Stakeho#der theory (ouses e9!#iit#y on an eBui#i>rium o( stakeho#der interests as the main

determinant o( or!orate !o#iy+ The most !romising ontri>ution to risk management is the

e9tension o( im!#iit ontrats theory (rom em!#oyment to other ontrats* in#uding sa#es

and (inaning .orne## and Sha!iro* 140stantia##y ontri>ute to om!any "a#ue+ Ho)e"er* the "a#ue o( these im!#iit

#aims is high#y sensiti"e to e9!eted osts o( (inania# distress and >ankru!ty+ Sine

or!orate risk management !raties #ead to a derease in these e9!eted osts* om!any

"a#ue rises .K#im&ak* 32+ There(ore stakeho#der theory !ro"ides a ne) insight into

!ossi>#e rationa#e (or risk management+ Ho)e"er* it has not yet >een tested diret#y+

In"estigations o( (inania# distress hy!othesis .Smith and Stu#&* 14432 !ro"ide on#y indiret

e"idene .e+g+ ;udge* 62+

8/13/2019 MPRA Paper 4241

11/31

8/13/2019 MPRA Paper 4241

12/31


The hoie o( %o#ish #isted om!anies (or theory "eri(iation reBuires a omment*

sine there may >e onerns a>out !ossi>#e idiosynrati (ators in(#uening risk management

in %o#and+ A## om!anies in#uded in the study )ere >ased in %o#and* their o)nershi!

struture not)ithstanding+ My !osition is that "eri(ying risk management theory on data (rom

a ountry )hih is sti## de"e#o!ing an yie#d resu#ts as re#ia>#e as studies >ased on rihest

ountry data+ 8irst#y* %o#ish om!anies ha"e (or the !ast 1< years >een ra!id#y #earning ne)

>usiness mode#s and tehniBues* in#uding (inania# management+ Sine I ha"e >ased my

study on the assum!tion o( rationa#ity I am o( the o!inion that %o#ish om!anies >ased their

deision to im!#ement risk management on an eduated ?udgement o( !ros and ons+

Seond#y* due to ongoing eonomi transition there are (e)er historia# and institutiona#

determinants o( the urrent state o( risk management in %o#and than there might >e in the

@SA* @K* or Germany+ Third#y* su((iient (inania# market in(rastruture does e9ist in

%o#and (or om!anies to engage in risk management+ onseBuent#y* %o#ish om!anies an

im!#ement (inania# risk management !roesses !ro"ided they (ind them use(u#+

The sam!#e )as (urther #imited to in#ude on#y non5(inania# or!orations* that is

om!anies (rom setors other than (inania# ser"ies+ This a!!roah* ado!ted >y Nane et a#+

.14472* 8a(( and Nguyen .2 and erkman and rad>ury .14462 is >ased on the !remise

that >anks* insurane om!anies and other (inania# setor enter!rises !urhase and issue

deri"ati"e instruments not on#y (or hedging >ut a#so (or trading !ur!oses+ Sine >oth in these

and in my study deri"ati"e instruments use is a !ro9y (or hedging suh om!anies had to >e

e9#uded (rom the sam!#e+

$hen it omes to data o##etion t)o a#ternati"e a!!roahes to risk management

researh are !resent in the #iterature: use o( annua# re!ort data and Buestionnaires+ In this

study I se#eted the (ormer o!tion+ A#though it #imits the se#etion o( "aria>#es to the ontents

o( o((iia# (i#ings* data gathered using this a!!roah are more re#ia>#e as they ha"e >een

8/13/2019 MPRA Paper 4241

13/31


!re!ared using trans!arent ru#es s!ei(ied >y regu#ation+ In the ase o( %o#and a ne) #a)

>ased on IAS 74 )as introdued in 1* )hih regu#ated the dis#osure o( (inania#

instruments* in#uding hedging+ Hene* the >eginning o( the series )as set (or the (irst re!orts

!re!ared aording to that regu#ation+

A(ter re"ie)ing "aria>#e distri>ution in the sam!#e t)o #argest om!anies )ere

e9#uded as out#iers+ These )ere Te#ekomunika?a %o#ska S+A+* the #argest te#eom !ro"ider*

and %KN Or#en S+A+* the #argest oi# re(inement and distri>ution om!any+ oth om!anies

)here inom!ara>#y #arger than other om!anies in the sam!#e and ou#d not >e ana#ysed

together )ith the rest o( the market+ A#though >oth o( them used hedging e9tensi"e#y* they

)ou#d ha"e to >e ana#ysed in a sam!#e o( #arge Euro!ean om!anies* rather than %o#ish ones+

aria>#es

hoie o( de!endant "aria>#e (or risk managements studies !oses an im!ortant

methodo#ogia# !ro>#em: in this study I used a >inary hedging !ro9y+ I ins!eted manua##y

annua# re!orts o( sam!#e om!anies to determine )hether a om!any used deri"ati"e

instruments+ I( a om!any did dis#ose deri"ati"es and did not state that they )ere used (or

s!eu#ation* I #assi(ied it as a hedger+ This onstrution o( the hedging "aria>#e is o( ourse

su>?et to ?usti(ied ritiism+ ;in and ;orion .62 suggest using de#ta measures* )hi#e

8au#kender .32 stresses the im!ortane o( (irst determining )hat deri"ati"es are used (or+

Other authors !oint to the signi(iane o( non5deri"ati"e hedging .;udge 62+ Ne"erthe#ess

the >inary !ro9y method has a!!eared most o(ten in risk management researh (or !ratia#

reasons+ I deided to use this a!!roah (irst#y to maintain om!ara>i#ity )ith !re"ious

researh* and seond#y* >eause it )as im!ossi>#e to determine o>?eti"e#y* >asing on annua#

re!orts* )hat )as the !ur!ose o( deri"ati"e use* as %o#ish om!anies re(rain (rom using hedge

aounting due to um>ersome regu#atory reBuirements+

8/13/2019 MPRA Paper 4241

14/31


A detai#ed desri!tion o( "aria>#es is sho) in Ta>#e 1+ E9!osure indiators )ere

a#u#ated (or E@R=%'N* @S,=%'N e9hange rates and (or $IOR* E@R 'IOR* and @S,

'IOR as >etas in a A%M sty#e rates o( return regression* (o##o)ing ommon !ratie in the

(ie#d .e+g+ hoi and %rasad* 1443D rad#ey and Mo#es* 1D hen and So* D ra>>*

2+ They )ere #ater hanged to a>so#ute "a#ues* as I )as interested in the e9tent* not the

diretion o( e9!osure+ Sa#es re"enue )as used as a sa#ing "aria>#e* sine a## !re"ious studies

sho)ed si&e to >e a strong determinant o( risk management !raties+ Industry oding )as

done in aordane )ith the genera# nomen#ature o( the $arsa) Stok E9hange+

Table 1. -escription of variables

Symbol Name Symbol Name

CURR Tota# (oreign urreny denominated assets and

#ia>i#ities

investF Share o( #arge (oreign shareho#ders in eBuity .3F and a>o"e2

!ASS EBuity=Tota# assets ratio invest"ov Go"ernmentCs share in eBuity i( a>o"e 3F+

e#p$R E9!osure to euro 'i>or 7M interest rate invest$n% Share o( >#ok indi"idua# shareho#ders in eBuity .3F and

a>o"e2

e#pUR E9!osure to E@R=%'N e9hange rate invest$nst Share o( #arge institutiona# in"estors in eBuity .3F and a>o"e2

e#pU$R E9!osure to @S, 'i>or 7M interest rate isss&e ash in(#o) (rom issued eBuity

e#pUS' E9!osure to @S,=%'N e9hange rate iss&e' ash in(#o) (rom issued de>t

e#pW$R E9!osure to %'N $i>or 7M interest rate iss&e( ash in(#o) (rom ne) #oans

"AR Gearing 5 ,e>t=EBuity ratio MT)* Market5to5>ook "a#ue o( eBuity

"AR+$NT Interest >earing gearing Interest >earing

de>t=eBuity ratio

M* Market a#ue o( EBuity

goal, inary "aria>#e set to TR@E i( (irm stated

hedging as the goa# o( deri"ati"e trading

R' RJ, E9!enditure 5 ost o( (inished RJ, !ro?ets

, inary hedging "aria>#e* set to TR@E i( om!any

dis#osed deri"ati"e instruments

riskComm inary "aria>#e set to TR@E i( om!any used ommodity

deri"ati"es

$N'USTR- oded as: onstrution* hemia#* tim>er

!roduts* mahinery* energy* trade* IT* media*meta#* onstrution materia#s* manu(aturing*

(ood* te#eom* ser"ies

riskF. inary "aria>#e set to TR@E i( om!any used urreny

deri"ati"es

$NT')T Tota# interest >earing de>t as !erentage o( sa#es risk$R inary "aria>#e set to TR@E i( om!any used interest ratederi"ati"es

T$ Times Interest Earned ratio TA. or!orate inome ta9 as !erentage o( sa#es

SA(S Re"enue (rom sa#es !ro9y (or (irm si&e+ */( Stok !rie "o#ati#ity standard de"iation o( )eek#y rates o(

return

Resu#ts

The data )as ana#ysed using a num>er o( tehniBues+ A## o( the ana#ysis )as

!er(ormed in R statistis !akage+ In the (irst ste! I arried out tests o( means and medians* as

8/13/2019 MPRA Paper 4241

15/31

8/13/2019 MPRA Paper 4241

16/31


deri"ati"e hedging+ Ho)e"er this resu#t ontradits hy!otheses a* 7 and /* a## o( )hih

im!#y that sma##er* more risky (irms shou#d >ene(it more (rom im!#ementing hedging+ T)o

other signi(iant di((erenes )ere in ta9 harges and indi"idua# >#ok o)nershi!+ Ho)e"er*

the sign in >oth ases )as o!!osite to the !reditions .hy!otheses 1h* a and 72+

om!arisons o( means >et)een ne) hedgers and non5hedgers sho)ed on#y t)o signi(iant

di((erenes in the year (or e9!osure to E@R=%'N e9hange rates and $IOR interest

rate+ In genera# tests in the dynami a!!roah !ro"ided )ide#y "arying resu#ts* >oth in terms

o( magnitude and sign+

Table /. Test for the difference of means

'i44erence o4 means

he%gers vs5 non6he%gers

'i44erence o4 means

ne76he%gers vs5 non6he%gers

1 7 1 7 7 7

*ariable t t t ! ! ! t t ! !

e9!E@R +10 +307/ 5+137< +4036 151223 +0

8/13/2019 MPRA Paper 4241

17/31


Tests (or the di((erene o( medians .ta>#e /2 on(irmed resu#ts o( the !re"ious test:

si&e* ta9 harges and indi"idua# >#ok ho#ding )ere a## signi(iant again+ Ho)e"er there )ere

a#so other signi(iant di((erenes+ Hedgers tended to ha"e a higher median o( (oreign

urreny assets and #ia>i#ities* )hih )ou#d !ro"ide a #ear reason (or hedging+ Moreo"er*

they e9hi>ited #o)er "o#ati#ity o( stok !ries .hy!othesis 1a2 and higher market5to5>ook

"a#ue .1? and />2+ 'o)er "o#ati#ity is !artiu#ar#y im!ortant* as it sho)s that a## other >ene(its

arising (orm it an >e attaina>#e+ Test o( ne) hedgers "s+ non5hedgers sho)ed no signi(iant

di((erenes here+

Table 0. Tests for the difference of medians.

'i44erence o4 Me%ians

he%gers vs5 non6he%gers

'i44erence o4 Me%ians

ne76he%gers vs5 non6he%gers

1 7 1 7 7 7

*ariable $ $ $ ! ! ! $ $ ! !

e9!E@R

8/13/2019 MPRA Paper 4241

18/31

Risk Management Theory 1ehind this test is that )hi#e t)o grou!s may not

e9hi>it strong di((erenes in terms o( indi"idua# (ators* they may sho) di((erenes in the

om>ination o( these (ators+ I (irst grou!ed hy!otheses 1a* 1d* 1h and 1? o( (inania#

eonomis .)hih ou#d >e tested using this method2* )hih !rodued a "etor o( means o(

(o##o)ing "aria>#es: "o#ati#ity* gearing* ta9 harge* and market5to5>ook "a#ue+ The statisti

(or years 157 )as res!eti"e#y 73+3* o"e the 3F

on(idene #e"e# mark o( 1+/0+ @n(ortunate#y one annot te## (rom this resu#t )hih (ators

)ere signi(iant+ y om!aring this to uni"ariate tests it an >e seen that on#y the ta9 harge

)as signi(iant* a#though )ith the )rong sign+ Hy!otheses 1* 1e and 1i (or the ne)5hedgers

ou#d not >e tested using this method due to a singu#ar o"ariane matri9+

Hote##ingCs test a#so ga"e !ositi"e resu#ts (or hy!otheses a and > o( ageny theory*

)ith a sore o( /+44* 7/+40 and 77+17+ Ho)e"er in this ase the signi(iant (ator )as >#ok

ho#ding* )hih had a sign o!!osite to the !reditions+ It is there(ore hard to determine

)hether this resu#t is re#ia>#e* es!eia##y sine the di((erene (or gearing )as inon#usi"e

>oth in signi(iane and sign+

Ana#ysis o( "ariane )as a suita>#e method (or testing hy!otheses )hih reBuired

>reaking the sam!#e into more than t)o grou!s: hy!otheses 1(* 1g* * d* 7a57d* and /a+ The

(irst o( these* hy!othesis 1(* stated that hedging shou#d >e more !o!u#ar among (irms )ith

#o)* >ut higher than one* times interest earned ratios+ To test this* I di"ided the sam!#e

om!anies into three grou!s: ratio >e#o) one* ratio a>o"e one >ut >e#o) the median* and

ratio a>o"e the median+ There )as ho)e"er no signi(iant di((erene >et)een grou!s

.81+36< in 1* +1300 in and 1+/0// in 2+ Hy!othesis 1g stated that hedgers

shou#d >e o"ering their interest e9!enses* so I assigned a dummy "aria>#e "a#ue 1 i( this )as

true* and i( times interest earned ratio )as >e#o) one+ Resu#ts sho)ed no signi(iane*

8/13/2019 MPRA Paper 4241

19/31


e9e!t (or at 0F #e"e# .8 statisti (or 157 )as res!eti"e#y: +/0* 7+10*

+0602+

Ageny theory hy!othesis stated that om!anies moti"ated to hedging might >e

ones )ith #o) eBuity=tota# assets ratios )hih raise their gearing #e"e# su>seBuent#y+ To test it

I reated t)o ne) "aria>#es: #o) eBuity=tota# asset ratio .s!#it at the median2 and rise in

gearing .)ith t)o #e"e#s* CinreaseC and CdereaseC2+ Resu#ts sho)ed no signi(iant di((erenes

(or any o( the (ators or their interation+ The 8 statisti (or ranged (rom +7/1 to

+/17+ 8or 7 I had to use Kruska#5$a##is test due to heterogeneity o( "arianes the

resu#t )as +441< .insigni(iant2+ Another ageny theory hy!othesis* d* (oused on

om!anies )ith high gearing that #ook to inrease their de>t a!aity+ There )as ho)e"er no

signi(iant di((erene (or either or 7* >oth (or de>t=eBuity ratio a#u#ated using tota#

de>t and on#y interest >earing de>t+

Ne) institutiona# eonomis hy!otheses onentrated on the ro#e o( trend* industry

and o)nershi! (ators+ Industry .7a2 !ro"ed not to in(#uene hedging* )ith 8 "a#ues o(

+0/4* +770 and +3460 (or 157 res!eti"e#y+ %oo#ing om!anies into #arger* more

genera# industry grou!s did not he#!+ There )as a#so no signi(iant di((erene >et)een the

time !eriods* as hy!othesis 7> suggested .81+04012+ Ho)e"er* testing (or in(#uene o(

o)nershi! struture on hedging and starting hedging did yie#d some signi(iant resu#ts

.hy!otheses 7 and 7d* ta>#e 32+ 8or this ana#ysis I on"erted o)nershi! in(ormation )as into

dummy "aria>#es taking "a#ue 1 i( a !artiu#ar grou! o( o)ners )as !resent+ Heterogeneity o(

"arianes )as deteted in 1 data* so I a#u#ated Kruska#5$a##is statisti (or this and the

(o##o)ing years* and they ga"e signi(iant resu#ts+ 8 statistis )ere signi(iant in a## three

years (or indi"idua# >#ok o)nershi!* a#though this )as most#y due to signi(iant negati"e

orre#ation o( this "aria>#e )ith (irm si&e+ Institutiona# o)nershi! !rodued signi(iant restu#t

in + Resu#ts (or ne)5hedgers )ere !oorer* )ith indi"idua# >#ok o)nershi! signi(iant at

8/13/2019 MPRA Paper 4241

20/31


0F #e"e# in 7 on#y* and the interation )ith go"ernment o)nershi! at 1=< 0*47< 1>1138

Go"ernment */47 *614 */3 *174 *7034 *3730

Institutiona# *1 *00110= 1*34 *7

8/13/2019 MPRA Paper 4241

21/31


T)o eBuations (ai#ed to !rodue any signi(iant resu#ts: ageny theory mode#* )here

hedging )as to >e orre#ated )ith indi"idua# >#ok o)nershi! and gearing* and ne)

institutiona# eonomis eBuation* )hih (oused on shareho#der struture+ $hereas NEI

hy!otheses )ere tested on#y as a !i#ot study* ageny theory resu#ts are im!ortant* as I

o>tained negati"e resu#ts a#so in !re"ious tests+ Sur!rising#y* stakeho#der theory mode# had

t)o signi(iant "aria>#es MT and SA'ES a#though the o"era## (it )as #o)* and

!redition auray !oor+ A muh >etter resu#t )as o>tained >y (inania# eonomis mode#*

)here three "aria>#es )ere signi(iant: e9!E@R* e9!@S, and MT+ T)o "aria>#es had

signs o!!osite to e9!eted: e9!osure to @S,=%'N had a negati"e sign .e9!osure "aria>#es

)ere in a>so#ute "a#ues2* and inome ta9 had a !ositi"e oe((iient+

To om!are my resu#ts )ith !re"ious studies I (ina##y !oo#ed a## the "aria>#es

together+ I o>tained a good (it )ith high !redition auray+ The singi(iant "aria>#es )ere:

e9!osure to @S, and E@R rates* "o#ati#ity* MT* IT and Ser"ies setor and si&e .sa#es2+

%reditions )ere Buite aurate: 6e dereased* a#though at the e9!ense o(

!ositi"e hits* >y estimating an eBuation )ith on#y the signi(iant "aria>#es .ta>#e 62+

8/13/2019 MPRA Paper 4241

22/31


Table #e Estimate &5"a#ue %r.&2

.Intere!t2 51*

ITS 7* *61B =og=ikelihood 1>!7A

False @ositives /7!A?B 1(!??B 0?!>0B

The (ina# method I used )as the #assi(iation and regression trees .ART2 a#gorithm

(or determining )hih o( the (ators suggested >y theory !ro"ide >est riteria (or

distinguishing hedgers (rom non5hedgers+ This method* de"e#o!ed origina##y >y reiman et

a#+ .140/2* is an a#gorithm )hih !rodues a deision tree onsisting o( a hierarhy o( riteria

(or s!#itting a sam!#e into t)o grou!s+ In the ase o( risk management ART mode#s !ro"ide

8/13/2019 MPRA Paper 4241

23/31


a non5#inear method (or distinguishing hedgers (rom non5hedgers+ It a##o)s not on#y (or non5

#inearity o( re#ationshi!s >ut a#so non5#inearity o( "aria>#es* su>5sam!#e heterogeneity and

e9istene o( out#iers+ 8or e9am!#e* ART an a##o) (inding di((erenes in hedging

determinants >et)een sma## and #arge om!anies* rather than mi9 the t)o together #ike other

methods do+ The a#gorithm takes a## "aria>#es as in!ut* un#ike the #ogit method* and

determines )hih !ro"ide >est #assi(iation riteria+ Estimated trees an then >e tested using

!reditions (or other !eriods or sam!#es+ I om!uted se!arate mode#s (or eah o( the three

!eriods and then ross5"eri(ied+ The (o##o)ing mode#s )ere om!uted using rpart#i>rary+

There is one methodo#ogia# note to >e made here+ ART mode#s take one set o(

ar>itrary !arameters ost o( mis#assi(iation matri9 )hih an !otentia##y in(#uene the

resu#ts+ y de(au#t the matri9 is set to eBua# osts (or a## errors+ Ho)e"er* in this study I )as

interested in identi(ying hedgers* and it ou#d >e argued that there are some om!anies that

donCt hedge e"en though they do e9hi>it a## the determining (ators+ This ou#d )arrant

ske)ing the osts to #o) ost o( (a#se !ositi"e #assi(iation+ I attem!ted rea#u#ating the

mode#s using "arious settings o( these osts+ The resu#ts sho)ed #itt#e im!ro"ement in

auray* )hi#e the num>er o( )rong !ositi"es rose dramatia##y+ onseBuent#y* I deided to

use eBua# osts+

The a#gorithm !rodued Buite di((erent trees in the three !eriods* ho)e"er t)o

"aria>#es )ere used in a## o( them: sa#es .!ro9y (or si&e2 and industry+ On to! o( that* in 1

ta9 harge )as used* in times interest earned ratio and e9!osure to E@R=%'N rate*

)hi#e in 7 it )as "o#ati#ity o( stok !rie+ ross5"eri(iation resu#ts "aried >et)een 7F

and 31F auray* and )ere onsistent#y a>o"e the !ro!ortion o( hedgers in the sam!#e*

)hih is the thresho#d a>o"e )hih )e an say the a#gorithm !rodues signi(iant resu#ts+

The ART method (ai#ed tota##y ho)e"er in distinguishing ne)5hedgers (rom non5hedgers*

)hih )as not a sur!rise* onsidering resu#ts o( !re"ious ana#yses+

8/13/2019 MPRA Paper 4241

24/31


Fig. 1. lassification tree for hedgers "6& vs. nonhedgers "4& based on (??( data "industry1

stands for construction! timber products! machinery! energy! trade! %T! media! metal! clothing

and servicesD industry( stands for chemical! machinery! trade and food&.

Fig. (. lassification tree for hedgers "6& vs. nonhedgers "4& based on (??/ data "industry/

stands for construction! machinery! trade! %T! construction materials! clothing! food! telecom!

services and EotherE&

Fig. /. lassification tree for hedgers "6& vs. nonhedgers "4&on (??( data! without

%4-52T+6 variable

Y

N Y

N YN

SALES5e+5

industry1

industry2

expEUR0.007

TIE5.2!

N

N

Y

Y

Y

N

SALES1.5e+5

SAELS1.2e+!

industry"

#$L>0.0"5#$L

8/13/2019 MPRA Paper 4241

25/31

Risk Management Theory /

e(ore inter!reting the resu#ts* I (irst deided to dro! the 1 tree* )hih had #o)est

(oreast auray .7F2+ The tree .auray o( 74F (or 1 data and 31F (or 7*

)ith (a#se !ositi"es 7F and F o( non5hedgers2 used the industry "aria>#e t)ie: it )as the

riterion (or se#eting #arge om!anies that did hedge* and sma##er om!anies that did not

hedge+ The other sma##er om!anies )ere #assi(ied as hedgers i( they had higher e9!osure to

E@R=%'N rate or a "ery high #e"e# o( times interest earned ratio .a>o"e 3+/72+ A#though high

e9!osure to e9hange rate risk ou#d >e a determining (ator* !ro"ided hedging does not

remo"e it* the interest o"erage )as a sur!rise+ It seems that hedgers )ere high#y #iBuid and

had no !ro>#ems ser"iing their de>t* )hih is ontrary to hy!otheses 1( and 1g+

The 7 tree .auray o( /7F and //F* (a#se !ositi"es F and 1y

#assi(ying a## om!anies )ith sa#es #o)er than 13+001 mi##ion %'N as non5hedgers* )hi#e

a## om!anies #arger than 1+ >i##ion %'N )ere #assi(ied as hedgers+ O( the ones in >et)een

the industry determined #assi(iation o( hedgers in the (irst ste!* )hi#e other om!anies )ere

#assi(ied as hedgers on#y i( they had #o) "o#ati#ity o( stok !rie .>e#o) +73/2 and sa#es

higher than 60 mi##ion %'N+

To re(ine the deision trees I deided to om!ute them again )ithout the industry

"aria>#e+ A#though this "aria>#e )as indiated >y ne) institutiona# eonomis as a !ossi>#y

determining (ator .7a2* there )as a risk* that resu#ts are in(#uened >y #o) num>er o(

om!anies in some setors .Ta>#e 2+ The ne) trees )ere Buite di((erent (rom the !re"ious

ones* >ut maintained the same #e"e# o( auray+ I disarded the 7 tree* >eause it )as too

>ranhed* )hih made inter!retation di((iu#t* and ahie"ed #o)er auray .74F and /1F

!ositi"e hits* 1F and 11F (a#se !ositi"es2 than the tree ./0F and 37F* )ith 14F and

4F (a#se !ositi"es2+ The tree took t)o ne) "aria>#es: tota# (oreign urreny assets and

#ia>i#ities* and market5to5>ook "a#ue+ Among sma##er om!anies hedgers )ere identi(ied as

ha"ing MT ratio a>o"e 1+604 resu#t in #ine )ith hy!otheses 1? and />+ 'arge om!anies

8/13/2019 MPRA Paper 4241

26/31


)ere #assi(ied as hedgers i( they had tota# urreny assets and #ia>i#ities o( a>o"e 1+o"e +6711+ The (irst riterion is de(inite#y #ogia#* as it indiates

greater e9!osure* )hi#e the seond is again in su!!ort o( theory+ A#though it has to >e noted*

that MT >e#o) one annot >e re(erred to as high+

Resu#ts o( a## ana#yses )ere "eri(ied >y om!uting the tests again on a random sam!#e

o( 7 om!anies (or the years / and 3+ Tests o( means and medians !rodued simi#ar

resu#ts in terms o( the signs o( di((erene* though (e)er "aria>#es sho)ed statistia##y

signi(iant di((erenes+ This )as to >e e9!eted in a sma##er sam!#e* and thus I ae!ted

onsistent signs o( di((erene as su!!orting e"idene+ Tests o( medians !rodued no

signi(iant di((erenes at a##+ Hote##ingCs test (or hy!otheses 1a* 1d* 1h and 1? o( (inania#

eonomis on(irmed signi(iant di((erene+ The other set o( (inania# hy!othesis ou#d not

>e tested due to o"ariane matri9 singu#arity+ The test (or ageny theoryCs hy!otheses a and

> sho)ed no signi(iane+ Ana#ysis o( "ariane tests on(irmed !re"ious resu#ts* ho)e"er

industry and o)nershi! hy!otheses ou#d not >e "eri(ied due to #o) num>er o( o>ser"ations

in grou!s+

%reditions (or / and 3 o( #ogit mode#s that !rodued signi(iant resu#ts )ere

aurate at /6F56F #e"e# )ith (a#se !ositi"es ratio ranging >et)een 1/F and 71F+ As in

!re"ious tests* it )as the !oo#ed5"aria>#es mode# that attained >est resu#ts+ ART deision

trees maintained their #e"e# o( auray in !reditions+ The and 7 trees )ith industry

"aria>#es orret#y identi(ied >et)een one third and //F o( hedgers )ith F57F o( (a#se

!ositi"es+ The re(ined tree ahie"ed auray o( 33F and 3er o(

(a#se !ositi"es )as high: //F and F res!eti"e#y+

,isussion

Resu#ts desri>ed a>o"e #ear#y sho) that on#y se#eted (e) o( the determinants

indiated >y the theories )ere su!!orted >y the data+ Out o( a## (inania# eonomis

8/13/2019 MPRA Paper 4241

27/31


hy!otheses I (ound e"idene (or on#y 1a .#o)er "o#ati#ity2 and 1? .gro)th o!tions2

hy!otheses+ None o( ageny theory hy!otheses !ro"ed he#!(u# in identi(ying determinants o(

hedging+ The t)o ne) a!!roahes* stakeho#der and ne) institutiona# eonomis* )hih )ere

tested here did !ro"ide some !otentia##y use(u# insights: hy!otheses 7a .industry (ators2* /a

.IT and ser"ies setor2* and /> .intangi>#e assets2 )ere !ositi"e#y "eri(ied+ In addition I

(ound that three "aria>#es )ere signi(iant as )e##: si&e o( the om!any .Q2* e9!osure to

E@R=%'N rate .Q2* and (oreign urreny assets and #ia>i#ities as !erentage o( sa#es .Q2+

8ina##y* my attem!ts to "eri(y determinants o( starting hedging (ai#ed* and there(ore !ro"ide

no >asis (or disussion+

A #oser #ook at the hy!otheses )hih )ere !ositi"e#y "eri(ied makes it a!!arent that

hy!otheses /> and 1? )ere tested using the same "aria>#e market5to5>ook "a#ue+ A#though I

tried to "eri(y hy!othesis 1? using t)o other "aria>#es: RJ, e9!enditure and a!ita#

e9!enditure* none o( these !ro"ed signi(iant and >oth had negati"e oe((iients in #ogit

mode#s+ Hene* a Buestion arises i( the signi(iane o( MT "aria>#e su!!orts the interna#

(inaning hy!othesis 1?* or intangi>#e assets hy!othesis />+ The insigni(iane o( other

measures o( gro)th o!tions and e"idene !ro"ided in other studies in su!!ort o( osts o(

(inania# distress .;udge* 62 hy!otheses seem to !oint to the #atter hy!othesis+

The on#usion o( #o) em!iria# "eri(iation o( the theories may >e Buestioned on

methodo#ogia# grounds+ In (at* there is a num>er o( !ro>#ems in em!iria# ana#ysis o( risk

management+ 8irst#y* it may >e argued that the sam!#e does not a##o) genera#isations+

Ho)e"er* this argument does not stand to #oser ins!etion+ The disi!#ine o( eonomis

assumes that a## !eo!#e and organisations are* at #east #imited#y* rationa#* no matter in )hih

market they at+ $ith the e9e!tion o( ne) institutiona# eonomis* none o( the theories

under in"estigation make any in(erenes as to u#tura# or ountry di((erenes+ Moreo"er*

resu#ts math those (rom !re"ious studies sur"eyed in the seond setion o( this !a!er+

8/13/2019 MPRA Paper 4241

28/31

Risk Management Theory #es* )hih !ro"ed to >e signi(iant+

Third#y* the reader might Buestion* )hy I did not use !ane# regression in #ogit

estimation* rather then estimate se!arate mode#s (or eah year+ There )ere t)o reasons (or

this+ 8irst#y* ANOA tests sho)ed no signi(iant di((erene in hedging ati"ity >et)een the

!eriods+ Seond#y* I )anted to ross5"eri(y resu#ts >y running !reditions (rom the estimated

eBuations on the rest o( data* as e9hi>ited in ta>#e 6+

8ina##y* the "ery one!t o( negati"e or #o) "eri(iation may >e a##ed into Buestion+

A(ter a## most studies (ous on (inding em!iria# su!!ort (or theories* and either sueed or

not* )ithout dra)ing on#usions as to the use(u#ness o( tested theories+ This !ro>#em has

>een e9tensi"e#y disussed in the !ast* )ith arguments ranging (rom !o!!erian (a#si(iation

.%o!!er* 14342* to neo5#assia# non5(a#si(iation .e+g+ Mah#u!* 146e are(u# >e(ore )e disard a theory* ritia# testing o(

theories and their assum!tions is essentia# to researh !rogress+ This study does not stand

a#one in e9hi>iting the shortomings o( !resent theories* >ut has >een !reeded >y o"er a

deade o( em!iria# researh )hih !oints #ear#y to #o) "eri(iation o( theories in Buestion+

Moreo"er* the aim o( this study is not to suggest disarding the theories >ut to >ring the

theories together* test them in a systemati (ashion and identi(y !ossi>i#ities (or (urther

one!tua# researh in this area+

on#usion

This !a!er in"estigated main theories o( risk management: (inania# eonomis*

ageny theory* stakeho#der theory and ne) institutiona# eonomis+ Resu#ts ha"e sho)n that

8/13/2019 MPRA Paper 4241

29/31


(inania# eonomis and ageny theory hy!othesis (ound #itt#e su!!orting e"idene* )hi#e the

t)o reent a!!roahes* stakeho#der and NEI may >e o((ering ne) insights into the

determinants o( risk management+ The !oor resu#ts #ear#y indiate that there must >e other

signi(iant (ators* not in#uded in !resent theories+ 8urther researh )i## >e needed to

identi(y these (ators* and #ater inor!orate them into a om!rehensi"e theoretia# mode#

)hih )i## e9!#ain risk management !raties o( (irms >etter+

Resu#ts !oint to !ratia# onsiderations as main determinants o( risk management:

(irms )ere (ound to >e hedging in res!onse to (oreign urreny e9!osure* and it )as most#y

#arge (irms+ This im!#ies that managers onsidering im!#ementation o( (inania# risk

management shou#d (irst #ook at their diret e9!osures*and onsider )hat other om!anies in

the market are doing rather than ana#yse the !ro>#em a#ong the #ines o( theory+

8uture researh may (ous on these !ratia# reasons and their im!#iations (or

or!orate "a#ue+ On the other hand* hedging is #inked to stok "o#ati#ity and market "a#ue+

The Buestion remains as to the ausa# re#ationshi! >et)een this "aria>#es+ There is a needed to

de!art (rom the e#eti a!!roah to risk management theory and attem!t onstrution o( a

ne)* om!rehensi"e theoretia# mode#* )hih )ou#d o"er a## o( the em!iria##y identi(ied

determinants o( risk management+

8/13/2019 MPRA Paper 4241

30/31


Re(erenes

A##ayannis* G+* ;ames* $+ .12* The use o( (oreign urreny deri"ati"es and (irm market "a#ue* Re"ie) o(8inania# Studies* o#+ 1/* !!+ /7ury* M+ E+ .14462* Em!iria# E"idene on the or!orate use o( ,eri"ati"es* 8inania#Management* o#+ 3* No+ * !!+ 351/+

rad#ey* K+* Mo#es %+ .12* The e((ets o( e9hange rate mo"ements on non5(inania# @K (irms*Internationa# usiness Re"ie)* o#+ 1* !!+ 31564+

reiman* '+* 8riedman* ;+* O#shen* R+* Stone* +;+ .140/2* #assi(iation and Regression Trees* $ads)orth+arter* ,+* ,anie#* R+* etty* S+ .62* ,oes (ue# hedging make eonomi sense The ase o( the @+S+ air#ine

industry* 8inania# Management* o#+ 73* No+ 1* !!+ 37506+

hen* + +* So* R+ $+ .2* E9hange rate "aria>i#ity and the riskiness o( @S mu#tinationa# (irms: e"idene

(orm the Asian (inania# turmoi#* ;ourna# o( Mu#tinationa# 8inania# Management* o#+ 1*!!+ /115/0+

hoi* ;+ ;+* %rasad* A+ M+ .14432* E9hange Risk Sensiti"ity and Its ,eterminants: A 8irm and IndustryAna#ysis o( @+S+ Mu#tinationa#s* 8inania# Management* o#+ /* No+ 7* !!+ erg* +* Marsha##* A+ .62* The ,eterminants o( Nor)egian E9!ortersC 8oreign E9hangeRisk Management* The Euro!ean ;ourna# o( 8inane* o#+ 1* No+ 7* !!+ 1y Austra#ian om!anies* Austra#ian;ourna# o( Management* o#+ t*The ;ourna# o( 8inane* o#+ 6* No+ * !!+ 4715467+

8ite* ,+* %(#eiderer* %+ .14432* Shou#d 8irms @se ,eri"ati"es to Manage Risk* in ea"er $+* %arker* G+.Ed+2* Risk Management: %ro>#ems and So#utions* MGra)5Hi##* Ne) York* !!+ 615#em* The ;ourna# o( Riskand Insurane* o#+ 3/* No+ 1* !!+ /353/+

Mian* S+'+ .14462* E"idene on or!orate Hedging %o#iy* ;ourna# o( 8inania# And Luantitati"e Ana#ysis*o#+ 71* No+ 7* !!+ /145/74+

Mi##er* M+ H+* Modig#iani* 8+ .14302* The ost o( a!ita# and the Theory o( In"erstment* Amerian EonomiRe"ie)* o#+ /0* !!+ 6154

8/13/2019 MPRA Paper 4241

31/31


Smith* + $+* Stu#&* R+ M+ .14032* The ,eterminants o( 8irmCs Hedging %o#iies* ;ourna# o( 8inane andLuantitati"e Ana#ysis* o#+ * No+ /* !!+ 7415/3+

Tu(ano* %+ .14462* $ho manages risk An em!iria# e9amination o( risk management !raties in the go#dmining industry* The ;ourna# o( 8inane* o#+ 31* No+ /* !!+ 14

Documents

MPRA Paper 4241