By Jonathan A. Batten, Peter MacKay, P. Mackay, N. Wagner
The newest study on measuring, coping with and pricing monetary possibility. 3 vast views are thought of: monetary chance in non-financial enterprises; in monetary intermediaries resembling banks; and at last in the context of a portfolio of securities of alternative credits caliber and marketability.
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Extra info for Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios
The arguments of Allayannis and Ihrig (2001) imply that the fraction of hedgers is higher in more competitive industries. In contrast, Adam, Dasgupta and Titman (2007) show that under some conditions, the Strategic Risk Management 7 fraction of hedgers can be lower in more competitive industries. These conﬂicting predictions lead us to test the following hypothesis. H1: The degree of competition is positively or negatively correlated with the fraction of ﬁrms that use derivatives within an industry.
American Economic Review, 91, 391–5. Allayannis, G. and Ofek, E. (2001). Exchange Rate Exposure, Hedging, and the Use of Foreign Currency Derivatives. Journal of International Money and Finance, 20, 273–96. Allayannis, G. and Weston, J. P. (1999). The Use of Currency Derivatives and Industry Structure, in Brown, G. and Chew, D. (eds) Corporate Risk: Strategies and Management. Riskbooks. Breeden, D. and Viswanathan, S. (1998). Why Do Firms Hedge? An Asymmetric Information Model. Unpublished manuscript.
Likewise, it also implies that in industries where hedging is less common, unhedged ﬁrms are relatively less exposed to foreign exchange shocks than hedged ﬁrms. Finally, we include the following control variables, which prior studies have found to be correlated with exposure coefﬁcients and ﬁrms’ decisions to use derivatives: ﬁrm size, debt-equity ratio, quick ratio, dividend payout ratio, and Tobin’s Q. 1. Since a ﬁrm’s involvement in foreign trade can affect its exposure, we include ﬁrm foreign sales divided by total sales as a control variable.