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The purpose of the paper is to evaluate and measure the effect of financial liberalization (FL) on bank risk exposure. We pursue these questions by assessing the changes in market-based asset values and risk exposure measures for commercial banks (CB) before and during a FL program. We do this...
Persistent link: https://www.econbiz.de/10005561553
Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and...
Persistent link: https://www.econbiz.de/10010670790
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...
Persistent link: https://www.econbiz.de/10010700805
Using a unique, hand-collected data set on hedging activities of 150 US oil and gas producers, we study the determinants of hedging strategy choice. We also examine the economic effects of hedging strategy on firms’ risk, value and performance. We model hedging strategy choice as a multi-state...
Persistent link: https://www.econbiz.de/10010638756
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The objective of this paper is to study the contemporaneous relationship and the dynamic relationship between the stock index return and the trading volume on the Bourse Régionale des Valeurs Mobilières using daily data from 5 January 2015 to 31 October 2022. Estimations are made using the...
Persistent link: https://www.econbiz.de/10013465333
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...
Persistent link: https://www.econbiz.de/10013083771