inside debt holdings have a positive effect on the extent to which a bank uses interest rate derivatives for hedging purposes …

risk – hedging use of firm's debt – or to increase their return and risk – speculative use of firm's debt. Modigliani and …

In this paper we investigate the optimal hedging strategy for a firm using option contracts, where both the role of … which minimizes the shortfall of the hedged portfolio is primarily affected by the amount of cash spent on the hedging … program. Also, we decompose the effect of quantity and proxy risk showing that the latter greatly affects hedging …

We develop a flexible discrete-time hedging methodology that miminizes the expected value of any desired penalty … function of the hedging error within a general regime-switching framework. A numerical algorithm based on backward recursion … allows for the sequential construction of an optimal hedging strategy. Numerical experiments comparing this and other …

-collect data on credit lines and interest rate hedging for a random sample of 600 COMPUSTAT firms. We document that drawdowns of …

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 …

hedging Second, the firm manages its capital structure through dividend distributions and investment. When leverage is low …

We study the empirical performance of the classical minimum-variance hedging strategy, comparing several econometric … statistically and economically indistinguishable from the one-for-one naive hedge. However, minimum-variance hedging models … hedgers to use a naive hedging strategy on the crack spread bundles now offered by the exchange as it is the cheapest and …