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spot prices and US equity prices following the 2007 Global Financial Crisis. It also aims at estimating hedging …,870 daily observations of US financial market during 2007-2017. Findings-The results suggest that the hedging effectiveness of … investors, policy makers and portfolio managers. The key findings of this study are critical in formulating optimal hedging …
Persistent link: https://www.econbiz.de/10014233046
Using a hand-collected data, we provide evidence of extensive use of commodity derivative in hedging among U.S oil and … gas producers. We find large variations in hedging intensity and hedging profits while on average they generate … significant positive profits. The profits relate positively to the intensity of hedging. We further decompose the hedge ratio into …
Persistent link: https://www.econbiz.de/10012892943
This paper investigates the determinants of hedging strategy choice. We introduce different dynamic discrete choice … frameworks with random effects to mitigate unobserved heterogeneity and state dependence. Using a new dataset on the hedging … activities of 150 US oil and gas producers, we find strong evidence that hedging strategy is influenced by investment …
Persistent link: https://www.econbiz.de/10013083771
This paper investigates how firms design the maturity of their hedging programs, and the real effects of maturity … choice on firm value and risk. Using a new dataset on hedging activities of 150 U.S. oil and gas producers, we find strong … evidence that hedging maturity is influenced by investment programs, market conditions, production specificities, and hedging …
Persistent link: https://www.econbiz.de/10013062440
). Financially constrained firms reduce operational hedging through inventory and supply chain in favor of cash holdings. Our model … predicts that firms' markup increases with financial default risk as they cut operational hedging costs. Empirical analysis …' strategic adjustments in operational hedging practices …
Persistent link: https://www.econbiz.de/10015194985
Surveys of corporate risk management document that selective hedging, where managers incorporate their market views … into firms’ hedging programs, is widespread in the U.S. and other countries. Stulz (1996) argues that selective hedging … strength to withstand the additional risk from market timing. We study the practice of selective hedging in a 10-year sample of …
Persistent link: https://www.econbiz.de/10009492396
inside debt holdings have a positive effect on the extent to which a bank uses interest rate derivatives for hedging purposes …
Persistent link: https://www.econbiz.de/10013097545
Major airlines rely on fuel hedging to manage risk of volatile fuel prices. We show that fuel hedging leads to lump sum … heterogeneous fuel hedging outcomes) lead to significant differences in ticket prices. In particular, a 10% reduction in the … reported fuel cost (due to hedging gain) leads to a 2.2% reduction in ticket prices. We conduct several robustness checks, and …
Persistent link: https://www.econbiz.de/10012843364
This study examines the conditional correlation and the resulting optimal hedge ratios between the Credit Default Swap (CDS) spreads of the U.S. metal and mining industries, and the prices of copper, platinum, silver and gold using the daily date from December 14, 2007 to August 18, 2018. It...
Persistent link: https://www.econbiz.de/10012864310
, we conclude that swap positions are not economically significant in hedging the interest rate risk of bank assets …
Persistent link: https://www.econbiz.de/10014250183