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題名 Hedging, Asymmetric Exposures, and Firm value: Evidence from U.S. Oil and Gas companies
作者 方曉薇
Fang, Hsiao-Wei
貢獻者 張元晨
Chang, Yuan chen
方曉薇
Fang, Hsiao-Wei
關鍵詞 hedge
firm value
asymmetric exposure
oil
gas
日期 2005
上傳時間 17-Sep-2009 19:18:39 (UTC+8)
摘要 This paper investigates the influence of hedging on firm value and stock return exposures in U.S. oil and gas industry from 1998 to 2004. Previous empirical results show that the relationship between firm value and corporate hedging activities is mixed. We find that the trend and volatility of oil and gas prices play important roles in the issue. Our results indicate that corporate exposures to oil and gas prices are asymmetric. We also find that gas reserve hedging has significant impacts on firm value when volatility of gas price is high. In conclusion, our results show that corporate hedging policies may add firm values in some special situations.
參考文獻 Allayannis, George and James P. Weston, 2001, The use of foreign currency derivatives and firm market value, Review of Financial Studies 14, 243-76.
Carter, David A., Daniel A. Rogers, and Betty J. Simkins 2003, Does fuel hedging make economic sense? The case of the US Airline industry, working paper, Oklahoma State University.
Carter David A., Christos Pantzalis, and Betty J. Simkins, 2003, Asymmetric exposure to foreign exchange-risk: Financial and real option hedges implemented by U.S. multinational corporations, working paper, Oklahoma State University and University of South Florida.
DeMarzo, Peter M., and Darrell Duffie, 1995, Corporate incentives for hedging and hedge accounting, Review of Financial Studies 8, 743-71
Dan, Chang, Hong Gu and Kuan Xu, 2005, The impact of hedging on stock return and firm value: New evidence from Canadian oil and gas companies, working paper, Dalhousie University.
Gay Gerald. D and Jouahn Nam, 1998, The underinvestment problem and corporate derivatives use, Financial management 27, 53-69.
Graham, John R., and Clifford W. Smith, Jr., 1999, Tax incentives to hedge, Journal of Finance 54, 2241-62.
Graham, John R., and Daniel A. Rogers, 2002, Do firms hedge in response to tax incentives? Journal of Finance 57, 815-39.
Guay, Wayne, and S.P. Kothari, 2003, How much do firms hedge with derivatives? Journal of Financial Economics 80, 423-61.
He Jia and Lilian K. Ng, The foreign exchange exposure of Japanese multinational corporations, Journal of Finance 53, 733-53.
Jin, Yanbo, and Philippe Jorion, 2006, Firm value and hedging: Evidence from US oil and gas producers, Journal of Finance 61, 893-919.
Kadapakkam, Palani-Rajan, P.C. Kumar, and Leigh A. Riddick, 1998, The impact of cash flows and firm size on investment: The international evidence, Journal of Banking & Finance 22, 293-320.
Lang, Larry H. P., and Rene M. Stulz, 1994, Tobin’s q, corporation diversification, and firm performance, Journal of Political Economy 102, 1248-80.
Lookman, Aziz A., 2004, Does hedging increase firm value? Evidence from oil and gas producing firms, working paper, Tepper School of Business Carnegie Mellon University.
Mian, Shehzad, 1996, Evidence on corporate hedging policy, Journal of Financial and Quantitative Analysis 31, 419-39.
Miller, Kent D. and Jeffrey J. Reuer, 1998, Asymmetric corporate exposures to foreign exchange rate changes, Strategic Management Journal 19, 1183-91.
Mohanty Samarendu , E. Wesley F. Peterson, and Nancy Cottrell Kruse, 1995, Price asymmetry in international wheat market, Canadian Journal of Agricultural Economics 43, 355-66.
Nance, Deana R., Clifford W. Smith, JR., and Charles W. Smithson, 1993, On the determinants of corporate hedging, Journal of Finance 48, 267-84.
Reilly, Barry, and Robert Witt, 1998, Petrol price asymmetries revisited, Energy Economics 20, 297-308.
Smith, Clifford W., and Rene M. Stulz, 1985, The determinants of firms’ hedging policies, Journal of Financial and Quantitative Analysis 20, 391-405.
Smithson, Charles, Rutter Associates, and Betty J. Simkins, 2005, Does risk management add value? A survey of the evidence, Journal of Applied Corporate Finance 17, 8-17.
Tufano, Peter, 1996, Who manages risk? An empirical examination of risk management practices in the gold mining industry, Journal of Finance 51, 1097-137.
描述 碩士
國立政治大學
財務管理研究所
93357037
94
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0093357037
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.advisor Chang, Yuan chenen_US
dc.contributor.author (Authors) 方曉薇zh_TW
dc.contributor.author (Authors) Fang, Hsiao-Weien_US
dc.creator (作者) 方曉薇zh_TW
dc.creator (作者) Fang, Hsiao-Weien_US
dc.date (日期) 2005en_US
dc.date.accessioned 17-Sep-2009 19:18:39 (UTC+8)-
dc.date.available 17-Sep-2009 19:18:39 (UTC+8)-
dc.date.issued (上傳時間) 17-Sep-2009 19:18:39 (UTC+8)-
dc.identifier (Other Identifiers) G0093357037en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/34061-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理研究所zh_TW
dc.description (描述) 93357037zh_TW
dc.description (描述) 94zh_TW
dc.description.abstract (摘要) This paper investigates the influence of hedging on firm value and stock return exposures in U.S. oil and gas industry from 1998 to 2004. Previous empirical results show that the relationship between firm value and corporate hedging activities is mixed. We find that the trend and volatility of oil and gas prices play important roles in the issue. Our results indicate that corporate exposures to oil and gas prices are asymmetric. We also find that gas reserve hedging has significant impacts on firm value when volatility of gas price is high. In conclusion, our results show that corporate hedging policies may add firm values in some special situations.zh_TW
dc.description.tableofcontents Contents
1. INTRODUCTION 1
2. LITERATURE REVIEW 5
2.1 THEORIES OF HEDGING 5
2.1.1 MANAGERIAL MOTIVES 5
2.1.2 TAX 6
2.1.3 COST OF FINANCIAL DISTRESS AND UNDERINVESTMENT 7
2.1.4 OTHER FIRM CHARACTERISTICS 8
2.2 STOCK RETURN SENSITIVITY AND HEDGING 9
2.3 FIRM VALUE AND HEDGING 10
3. DATA DESCRIPTION 12
3.1 SAMPLE DESCRIPTION 12
3.2 PROXY OF HEDGING 14
3.3 PROXY OF FIRM VALUE 18
4. STOCK RETURN EXPOSURE TO OIL AND GAS PRICE MOVEMENTS 22
4.1 OIL AND GAS PRICE 22
4.2 HYPOTHESIS 24
4.3 MODEL FRAMEWORK 25
4.4 EMPIRICAL RESULTS 26
4.4.1 EXPOSURE TO OIL AND GAS PRICE 26
4.4.2 THE IMPACT OF HEDGING AND RESERVE ON STOCK RETURN EXPOSURE 28
5. ASYMMETRIC EXPOSURE TO OIL AND GAS PRICE MOVEMENTS 30
5.1 EXPOSURE TO OIL AND GAS PRICE CHANGES 31
5.1.1 HYPOTHESIS 31
5.1.2 EMPIRICAL RESULTS 32
5.2 HEDGING ACTIVITIES AND EXPOSURE 33
5.2.1 HYPOTHESIS 34
5.2.2 EMPIRICAL RESULTS 35
5.3 OIL AND GAS RESERVES ON EXPOSURE 36
5.3.1 HYPOTHESIS 36
5.3.2 EMPIRICAL RESULTS 37
6. THE RELATION BETWEEN FIRM VALUE AND HEDGING 40
6.1 HYPOTHESIS 40
6.2 MODEL FRAMEWORK 40
6.3 DOES OIL/GAS HEDGING ADD VALUE? 42
6.3.1 UNIVARIATE ANALYSIS 43
6.3.2 MULTIVARIATE ANALYSIS 45
7. CONCLUSION 54
REFERENCE 57
APPENDIX: COMPUTATION OF OIL DELTA 60		zh_TW
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dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0093357037en_US
dc.subject (關鍵詞) hedgeen_US
dc.subject (關鍵詞) firm valueen_US
dc.subject (關鍵詞) asymmetric exposureen_US
dc.subject (關鍵詞) oilen_US
dc.subject (關鍵詞) gasen_US
dc.title (題名) Hedging, Asymmetric Exposures, and Firm value: Evidence from U.S. Oil and Gas companieszh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Allayannis, George and James P. Weston, 2001, The use of foreign currency derivatives and firm market value, Review of Financial Studies 14, 243-76.zh_TW
dc.relation.reference (參考文獻) Carter, David A., Daniel A. Rogers, and Betty J. Simkins 2003, Does fuel hedging make economic sense? The case of the US Airline industry, working paper, Oklahoma State University.zh_TW
dc.relation.reference (參考文獻) Carter David A., Christos Pantzalis, and Betty J. Simkins, 2003, Asymmetric exposure to foreign exchange-risk: Financial and real option hedges implemented by U.S. multinational corporations, working paper, Oklahoma State University and University of South Florida.zh_TW
dc.relation.reference (參考文獻) DeMarzo, Peter M., and Darrell Duffie, 1995, Corporate incentives for hedging and hedge accounting, Review of Financial Studies 8, 743-71zh_TW
dc.relation.reference (參考文獻) Dan, Chang, Hong Gu and Kuan Xu, 2005, The impact of hedging on stock return and firm value: New evidence from Canadian oil and gas companies, working paper, Dalhousie University.zh_TW
dc.relation.reference (參考文獻) Gay Gerald. D and Jouahn Nam, 1998, The underinvestment problem and corporate derivatives use, Financial management 27, 53-69.zh_TW
dc.relation.reference (參考文獻) Graham, John R., and Clifford W. Smith, Jr., 1999, Tax incentives to hedge, Journal of Finance 54, 2241-62.zh_TW
dc.relation.reference (參考文獻) Graham, John R., and Daniel A. Rogers, 2002, Do firms hedge in response to tax incentives? Journal of Finance 57, 815-39.zh_TW
dc.relation.reference (參考文獻) Guay, Wayne, and S.P. Kothari, 2003, How much do firms hedge with derivatives? Journal of Financial Economics 80, 423-61.zh_TW
dc.relation.reference (參考文獻) He Jia and Lilian K. Ng, The foreign exchange exposure of Japanese multinational corporations, Journal of Finance 53, 733-53.zh_TW
dc.relation.reference (參考文獻) Jin, Yanbo, and Philippe Jorion, 2006, Firm value and hedging: Evidence from US oil and gas producers, Journal of Finance 61, 893-919.zh_TW
dc.relation.reference (參考文獻) Kadapakkam, Palani-Rajan, P.C. Kumar, and Leigh A. Riddick, 1998, The impact of cash flows and firm size on investment: The international evidence, Journal of Banking & Finance 22, 293-320.zh_TW
dc.relation.reference (參考文獻) Lang, Larry H. P., and Rene M. Stulz, 1994, Tobin’s q, corporation diversification, and firm performance, Journal of Political Economy 102, 1248-80.zh_TW
dc.relation.reference (參考文獻) Lookman, Aziz A., 2004, Does hedging increase firm value? Evidence from oil and gas producing firms, working paper, Tepper School of Business Carnegie Mellon University.zh_TW
dc.relation.reference (參考文獻) Mian, Shehzad, 1996, Evidence on corporate hedging policy, Journal of Financial and Quantitative Analysis 31, 419-39.zh_TW
dc.relation.reference (參考文獻) Miller, Kent D. and Jeffrey J. Reuer, 1998, Asymmetric corporate exposures to foreign exchange rate changes, Strategic Management Journal 19, 1183-91.zh_TW
dc.relation.reference (參考文獻) Mohanty Samarendu , E. Wesley F. Peterson, and Nancy Cottrell Kruse, 1995, Price asymmetry in international wheat market, Canadian Journal of Agricultural Economics 43, 355-66.zh_TW
dc.relation.reference (參考文獻) Nance, Deana R., Clifford W. Smith, JR., and Charles W. Smithson, 1993, On the determinants of corporate hedging, Journal of Finance 48, 267-84.zh_TW
dc.relation.reference (參考文獻) Reilly, Barry, and Robert Witt, 1998, Petrol price asymmetries revisited, Energy Economics 20, 297-308.zh_TW
dc.relation.reference (參考文獻) Smith, Clifford W., and Rene M. Stulz, 1985, The determinants of firms’ hedging policies, Journal of Financial and Quantitative Analysis 20, 391-405.zh_TW
dc.relation.reference (參考文獻) Smithson, Charles, Rutter Associates, and Betty J. Simkins, 2005, Does risk management add value? A survey of the evidence, Journal of Applied Corporate Finance 17, 8-17.zh_TW
dc.relation.reference (參考文獻) Tufano, Peter, 1996, Who manages risk? An empirical examination of risk management practices in the gold mining industry, Journal of Finance 51, 1097-137.zh_TW