تاثیر مصون سازی در ارزش بازار حقوق صاحبان سهام

We examine the annual stock performance of firms that disclose the use of derivatives to hedge over the period 1995 to 1999. We find that only 21.6% of publicly traded U.S. corporations in our sample hedged with derivative instruments over this period and their use is concentrated in the larger companies. Similar to other studies we find that when derivatives are used, interest rate and currency securities are used much more frequently than commodity products. Our sample of 1308 companies that hedge outperforms other securities by 4.3% per year on average over our sample period. This result is robust to several alternative methods of estimating abnormal returns. When we segment performance by the type of hedge used, however, we find that the over-performance is due entirely to larger firms that hedge currency. We find no abnormal returns for firms hedging either interest rates or commodities. The abnormal returns in firms hedging currency is robust to alternative models that seek to control for exchange rate fluctuations and global equity returns; however, we find no significant abnormal returns to currency hedgers when using an augmented model that controls for the role of intangible assets.

Some firms use hedging strategies, others do not. Finance theory is unclear as to whether hedging is a value adding strategy, and three broad schools of thought have emerged. First, hedging is a zero net present value (NPV) decision. This belief assumes that transactions are costless, that markets are efficient, and that the other Modigliani and Miller (1958) assumptions hold. Under these conditions the expected value of a hedge will equal zero. Second, hedging is a negative NPV decision as hedges are costly to implement. However, managers whose human capital and individual wealth are poorly diversified will encourage the firm to hedge exposure even if it is costly to the firm because it reduces the managers' risk at no personal cost (Smith and Stulz, 1985). Third, hedging activities are positive NPV decisions because hedging reduces the expected costs of financial distress thereby increasing firm value (Smith and Stulz, 1985). It also allows companies with costly external financing to smooth earnings and cash flows thereby enabling sustained investment in key activities or cheaper access to capital markets (Froot et al., 1993 and Stulz, 1984). Finally, it allows a clearer signal of manager quality in situations where it is difficult to untangle manager performance from market effects (DeMarzo and Duffie, 1995 and Breeden and Viswanathan, 1999). This reduction in uncertainty reduces the cost of capital and raises firm value.

In this paper we have examined three issues related to hedging by firms listed on the major U.S. markets. First, we documented the extent of derivative use by U.S. firms. Many earlier studies concentrate on large firms and document hedging activity in over 50% of the firms in their sample. For example, Hentschel and Kothari (2001) find that 62% of the 425 large firms they examine disclosed some level of derivative activity. In contrast, we examine over 5700 unique firms listed on the major U.S. markets. Unlike earlier studies we find hedging activities in only 21.6% of our sample firms. Consistent with earlier studies, however, this activity is concentrated in the larger firms. We segment our firms according to the type of derivatives they use—currency, interest rate, and commodity. Our evidence shows more widespread use of currency and interest rate derivatives than commodity products. Specifically, we find that 12.4% of our sample (57% of the derivative users) employ some form of currency hedging,