معاملات تامینی اوراق مشتقه، تنوع بخشی جغرافیایی و ارزش بازار شرکت

This paper examines the value effect from different aspects of hedging activity and foreign operations, using a sample of Swedish firms over the period 1997–2001. A main finding is that there seems to be a positive value effect from hedging transaction exposure, but that translation exposure hedging does not add value. Further, the results suggest that firm value is positively related to geographical diversification and firms’ net long positions in foreign currency. The latter may be caused by the depreciation of the Swedish currency during the sample period.

The purpose of this paper is to investigate whether firms’ hedging activities are rewarded with higher market values. In the perfect capital market of the classic Modigliani and Miller proposition I, risk management is irrelevant to firms. Shareholders can hedge on their own by holding well-diversified portfolios, so there is no value creation by hedging away risks for an individual firm. Recent theories derive optimal hedging policies by introducing frictions into the Modigliani and Miller model.1 An increasing number of empirical studies have been performed to investigate these theories and the evidence suggests that firms hedge largely in order to mitigate market imperfections consistent with theoretical recommendations.

This paper investigates the value effect from geographical diversification, net exposure, and hedging activity. The most important contribution concerns different aspects of hedging activity. The findings from Allayannis and Weston (2001) suggest that the use of foreign currency derivatives increases firm value. In this paper, Allayannis and Weston’s (2001) results are supported, and the results add to their findings. The results suggest that firms that are geographically diversified and hedges are valued at premiums. However, the analysis fails to distinguish value effects from hedging to those from geographical diversification. Possibly, both factors are important, which would support arguments that firms that engage in international operations could increase profitability and be higher valued since they can exploit market imperfections (see e.g. Butler, 1999), as well as arguments that hedging adds value.