استفاده از مشتقات و ارزش شرکت: تاثیر هزینه های آژانس و مشکلات نظارت

Using derivative usage data on over 1746 firms headquartered in the U.S. during the 1991 through 2000 time period, we find that firms with greater agency and monitoring problems (i.e., firms that are less transparent, face greater agency costs, have weaker corporate governance, larger information asymmetry problems, and overall poorer monitoring) exhibit a negative association between Tobin's Q and derivative usage. The negative valuation effect is also economically significant with an impact of -8.4% on Tobin's Q from a one standard deviation change in the firm monitoring index. The results are robust to alternative specifications, time varying estimates, econometric procedures that correct for potential clustering of errors, endogeneity problems, and sample selection biases among other robustness checks discussed in the paper. We conclude that derivative usage has a negative impact on firm value in firms with greater agency and monitoring problems.

The influence of derivative usage on firm value has received substantial interest among academic researchers, the financial press, regulators, and other financial market participants. While approximately 50% of U.S. non-financial firms use derivatives and their use continues to grow, the empirical evidence on the influence of derivative usage on firm value is mixed. For instance, Allayannis and Weston, 2001, Adam and Fernando, 2006, Carter et al., 2006 and Berrospide et al., 2008 among others find a positive relation between derivative usage and firm value. However, Jin and Jorion, 2006, Nain, 2006 and Lookman, 2004 find either no relation or only a conditional positive or negative relation between derivative usage and firm value. While these mixed valuation results are puzzling, they can be explained in part by management's use of derivatives to address market imperfections versus management's selective use of derivatives for speculation and self-interests. The link between derivative usage and firm value depends on the extent to which their use effectively addresses market imperfections such as bankruptcy costs, financing constraints, information asymmetries, and taxes (e.g., Mello and Parsons, 2000, Froot et al., 1993, Stulz, 1996, DeMarzo and Duffie, 1991, Bessembinder, 1991, Stulz, 1990, Smith and Stulz, 1985 and Myers, 1977), resulting in a potential positive effect on a firm's value.2 At the same time, there may be agency costs and monitoring problems associated with derivative usage such that firm managers may selectively use derivatives for speculation and self-interests (e.g., Geczy et al., 2007, Faulkender, 2005, Campbell and Kracaw, 1999, Bodnar et al., 1998, Tufano, 1998, Ljungqvist, 1994 and Stulz, 1984), resulting in a potential loss in firm value at the expense of shareholders. In a similar spirit, The Economist reports that “the worries over derivatives stem not from any inherent evil, but from their power to disguise the intensions of their users” … “The critics (Warren Buffett, Bill Gross, and other critics) also claim that derivatives enable corporate treasurers to gamble with shareholders' money” (The Economist, January 24, 2004 issue pages 3 and 10, Survey of Risk section). The net impact of derivative usage on firm value is, therefore, an empirical issue. We provide evidence on this issue by testing the hypotheses that agency costs and monitoring problems affect derivative usage and firm value through this derivative usage. While earlier studies investigate the possible channels in which derivative usage adds value, empirical tests of speculation and value loss channels have received little attention. One recent notable exception is Geczy et al. (2007) who document that firms with weak internal governance structures are more likely to indicate in the Wharton derivative usage survey that they take a view with derivatives. Faulkender (2005) also provides some evidence of speculation in firms' interest rate risk management practices. Tufano (1998) further discusses the theoretical implications of hedging strategies and its relation to firm value. His theoretical model produces both costs and benefits associated with derivative usage. According to Tufano, the existence of agency costs between managers and shareholders when using derivatives can reduce firm value. Furthermore, Tufano argues that a lack of manager oversight can magnify the costs associated with derivative usage. At the same time, Tufano's model demonstrates that derivative usage can be beneficial when information asymmetry is low, bankruptcy costly, and agency problems are small. In our investigation, we gather derivative usage data on 1746 non-financial firms headquartered in the U.S. during 1991–2000. We also collect and create various firm-level financial and control variables that we use in our regression analysis, including firm-level data on agency costs, corporate governance, and information asymmetry variables. Similar to Schmidt (2008), we also create an aggregate firm-level monitoring index based on the various agency costs and monitoring problems the firm faces. We then test for the effects of agency and monitoring problems on derivative usage and the effects of derivative usage on firm value through the agency cost and monitoring problems. We find that firms with greater agency and monitoring problems (i.e., firms that are less transparent, face greater agency costs, have weaker corporate governance, larger information asymmetry problems, and overall poorer monitoring) exhibit a negative association between Tobin's Q and derivative usage. This effect is also economically significant with an impact of − 8.4% on Tobin's Q from a one standard deviation change in the firm monitoring index. Our reported results also are robust to alternative specifications, time varying estimates, econometric procedures that correct for potential clustering of errors, endogeneity problems, and sample selection biases among other robustness checks discussed in the paper. We conclude that derivative usage has a negative impact on firm value in firms with greater agency and monitoring problems. The balance of the paper is as follows. Section 2 discusses relevant background literature on derivative usage and valuation effects. Section 3 describes the data and summary statistics, while Section 4 provides results on agency and monitoring problems in derivative usage. Section 5 provides results on the influence of agency and monitoring problems on the differential valuation effects associated with derivative usage. Section 6 provides a conclusion.

In this paper, we test the hypothesis that agency costs and monitoring problems affect derivative usage, which in turn affects firm value. In the analysis, we gather data on over 1746 firms headquartered in the U.S. during the 1991 through 2000 time period. We use Tobin's Q to measure the value gain or loss from derivative usage. After using regression procedures that control for firm characteristics including firm profitability, growth opportunities, size, leverage, and ownership concentration, we find that derivative usage has a mixed effect on firm value. To better understand the firm valuation effects from derivative usage, we further test the role of agency and monitoring problems to disentangle the effects of derivative usage on firm value. We find that derivative usage has differential firm valuation effects and that the negative valuation effects we document are driven in part by derivative usage of firms with greater agency and monitoring problems (i.e., firms that are less transparent, face greater agency costs, have weaker corporate governance, have larger information asymmetry problems, and have overall poorer monitoring). The results are also robust to correcting for potential endogeneity problems, sample selection biases, and a battery of other potential econometric issues. Our findings suggest that greater agency and monitoring problems are an important condition in firm management derivative speculation and that related derivative usage management choices reduce firm value on average. Overall, our results suggest that in assessing firm valuation effects from derivative usage, it is also important to account for the effects of firm agency costs and monitoring problems.