دانلود مقاله ISI انگلیسی شماره 94964
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
94964 2017 9 صفحه PDF سفارش دهید 8239 کلمه
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عنوان انگلیسی
Does Corporate Derivative Use Reduce Stock Price Exposure? Evidence From UK Firms
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : The Quarterly Review of Economics and Finance, Volume 65, August 2017, Pages 128-136

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چکیده انگلیسی

This paper explores the potential impacts of corporate derivatives use on stock return volatility and market risk. Using a sample of more than 3000 firm-years in the United Kingdom between 2003 and 2009, we find that a firm’s derivatives use is instrumental in reducing its standard deviation of weekly stock returns and systematic risk. This phenomenon is particularly pronounced for firms with foreign currency or interest rate derivatives. Further, we find that the adverse effects of corporate derivatives use on equity return volatility and market risk were significantly greater during the financial crisis of 2007–2009 when firms, on average, were more susceptible to stock price exposures. Ancillary analyses suggest that firms that use foreign currency along with interest rate derivatives benefit from an additional reduction in the volatility of stock returns and systematic risk. These results are robust to numerous controls, including firm size, diversification effects, financial leverage, growth opportunity, industry attributes, self-selection biases, foreign sales, and macroeconomic effects. As a whole, our findings suggest that firms are more likely to use financial derivatives for risk management than for trading purposes.

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