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1.
本文在科学区分套期保值与投机的基础上,对比研究了外汇衍生品套期保值与投机公司的所有权属性和交易特征,实证发现套期保值组公司外汇衍生品交易损益显著差于投机组公司,套期保值组公司的衍生品交易损益低尾部分长于投机组公司。作者认为无论是套期保值还是投机,衍生品交易方向失败都会给公司带来损失,国务院国资委的规定在控制国有企业投机风险的同时也抑制了企业把握市场涨跌趋势和承担风险的积极性。建议股东除了关注企业到底是在从事套期保值还是投机以外,还应该考察衍生品交易给企业创造的利润大小和一旦交易方向失败企业的资金承受能力和风险控制准备措施。  相似文献   

2.
本文在个股中选择黄金概念的上市公司,对其参与套期保值的情况进行了研究分析。通过调查套期保值在企业中的应用情况,对参与和没有参与套期保值的企业进行对比,并选取几家有代表性的公司进行案例分析,来探讨套期保值的作用,并为其更好的参与套期保值提供了意见与策略。  相似文献   

3.
金融风暴以来,国航、东航等公司套期保值巨亏使得套期保值再次成为人们关注的热点,套期能否保值也开始遭到人们的质疑。国内企业对套期保值的风险认识不足和在套期保值风险评估与管理制度上存在缺陷。本文将从套期保值的概念和原理出发,结合案例分析套期的保值功效,并进一步分析其风险,并提出企业应该在充分认识风险、有效控制风险的情况下积极参与期货市场的建议。  相似文献   

4.
股指期货的最主要功能是套期保值,它是投资者进行风险管理的主要工具.ETF在我国发展迅速,必须通过股指期货的套期保值功能规避其系统性风险.本文根据跟踪误差最小化原则,构建出最优ETF组合来模拟沪深300股指现货.然后,运用OLS模型、B-VAR模型及VECM模型计算出ETF组合与沪深300股指期货套期保值的比率,并以这三个套期保值比率计算套期保值绩效,结果发现套期保值效率均达到了90%以上,属于高度有效.从而证明了沪深300股指期货可以很好的发挥套期保值功能.  相似文献   

5.
本文以沪铜期货的多头套期保值为研究对象,分别利用OLS模型、ECM模型和GARCH模型对一月期铜和三月期铜的套期保值比例及保值效果进行了分析,发现OLS模型对一月期铜的套期保值效果要优于其他模型的保值效果,而ECM模型和GARCH模型在三月期铜的套期保值方面显示的效果更好。这说明在一般情况下,具有动态特征的计量模型适合于较长的期货合约,其套期保值效果更好。  相似文献   

6.
股指期货的最主要功能是套期保值,它是投资者进行风险管理的主要工具。ETF在我国发展迅速,必须通过股指期货的套期保值功能规避其系统性风险。本文根据跟踪误差最小化原则,构建出最优ETF组合来模拟沪深300股指现货。然后,运用OLS模型、B-VAR模型及VECM模型计算出ETF组合与沪深300股指期货套期保值的比率,并以这三个套期保值比率计算套期保值绩效,结果发现套期保值效率均达到了90%以上,属于高度有效。从而证明了沪深300股指期货可以很好的发挥套期保值功能。  相似文献   

7.
本文以沪铜期货的多头套期保值为研究对象,分别利用OLS模型、ECM模型和GARCH模型对一月期铜和三月期铜的套期保值比例及保值效果进行了分析.发现OLS模型对一月期铜的套期保值效果要优于其他模型的保值效果,而ECM模型和GARCH模型在三月期铜的套期保值方面显示的效果更好.这说明在一般情况下,具有动态特征的计量模型适合于较长的期货合约,其套期保值效果更好.  相似文献   

8.
运用协整检验、Granger因果检验、向最误差修正模型、Garhade-silber模型、误差修正模型等对2007年6月11日到2008年9月18日上海期货交易所锌期货合约的价格发现功能和套期保值功能进行研究,结果表明:锌期货与现货价格存在双向引导关系,锌期货市场在价格发现功能中处于主导地位,锌期货价格发现功能良好.锌期货样本内和样本外套期保值绩效分别为0.50074044和0.43854111,样本内套期保值绩效优于样本外套期保值绩效.我国锌期货市场具有一定的套期保值功能,但套期保值功能并未得到充分发挥,2008年6月到2008年9月锌期货市场投机氛围严重.  相似文献   

9.
中国外贸企业运用远期外汇套期保值策略研究   总被引:1,自引:0,他引:1  
唐菁菁  范利民 《上海金融》2005,27(10):43-44,31
为了探讨适合我国外贸企业的套期保值模式,本文研究了西方主要的套期保值策略,发现有选择性的套期保值的风险回报要高于无务件的套期保值.因此,我们建议我国外贸企业也采用选择性的套期保值策略。  相似文献   

10.
本文以目前期货市场上的郑棉期货和棉花现货为研究对象,运用各种估计模型估计出棉花期、现货之间不同周期数据的实际最优套期保值比率,并基于风险最小化的原则对各模型的套期保值绩效进行评估和分析.实证发现,简单套期保值不能达到最优效果,棉花期、现货之间的最优套期保值比率随着数据周期性变化而变化,并且发现样本内的套期保值效果均比样本外数据好,误差修正模型的套期保值绩效最佳.  相似文献   

11.
This paper analyzes value creation through currency hedging in the Spanish market. The results show that the hedging with derivatives generated an average premium of 1.53% and that foreign currency debt generated 7.52%, with respect to company value approximated by Tobin's Q, while operational hedging does not affect company value. Moreover, in half of the observations corresponding to companies that hedged with derivatives, the value premium was between 0.08% and 0.99%. In the case of foreign currency debt, the range was between 1.79% and 10.37%. It demonstrates that the contribution of currency hedging to company value fluctuates considerable according to the volume of financial hedging. Thus, an empirical study of this aspect which only analyses the decision to hedge through dummy variables to define financial hedging, as empirical previous studies, can lead to biased results in terms of estimated premium amounts, because it assumes a homogenous treatment of companies regardless of hedging volumes.  相似文献   

12.
The potential influence of accounting regulations on hedging strategies and the use of financial derivatives is a research topic that has attracted little attention in both the finance and the accounting literature. However, recent surveys suggest that company hedging can be substantially influenced by the accounting for financial instruments. In this study, we illustrate not only why but also how the accounting regulations may affect hedging behavior. We find that under mark-to-market accounting, most firms concerned with earnings smoothness adopt myopic hedging strategies relative to the benchmark, cash flow hedging. The specific influence of the accounting regulations depends on market and firm-specific characteristics, but, in general, the firms dramatically reduce the extent of hedging addressing price risk in future accounting periods. We illustrate that the change in hedging behavior significantly dampens the increase in earnings volatility stemming from fair value accounting of derivatives. However, the adjusted hedging strategies may substantially increase the firms’ cash flow volatility.  相似文献   

13.
Demographic risk, i.e., the risk that life tables change in a nondeterministic way, is a serious threat to the financial stability of an insurance company having underwritten life insurance and annuity business. The inverse influence of changes in mortality laws on the market value of life insurance and annuity liabilities creates natural hedging opportunities. Within a realistically calibrated shareholder value (SHV) maximization framework, we analyze the implications of demographic risk on the optimal risk management mix (equity capital, asset allocation, and product policy) for a limited liability insurance company operating in a market with insolvency‐averse insurance buyers. Our results show that the utilization of natural hedging is optimal only if equity is scarce. Otherwise, hedging can even destroy SHV. A sensitivity analysis shows that a misspecification of demographic risk has severe consequences for both the insurer and the insured. This result highlights the importance of further research in the field of demographic risk.  相似文献   

14.
This paper examines the relation between commodity futures trading and the real side contracting behavior of firms dealing in the commodity. I argue that futures serve as a flexible form of physical contracting and should be examined in the context of the firm's contracting activities, and not strictly in the context of its financial activities. Data from an oil refining company are used to empirically study this relation. The results are consistent with a contracting view of futures use and appear inconsistent with implications of hedging theories.  相似文献   

15.
In this paper, we investigate the relation between hedging activity by commercial/merchant/producers to commodity prices and commodity market volatility using Commitments of Traders reports from commodity futures markets exchanges. Qualifying the body of literature which attributes hedging activity to departures from Modigliani-Miller theory, market imperfections and transactions cost, we address the paradoxes of hedging which is not value creating and the absence of hedging when firms might benefit, arguing that it may be related to the market conditions and risk appetite. We discover that prices and volatility are generally statistically significant contributors to hedging activity by commercial/merchant/producers’ users but with marked differences in their elasticities. For some commodities, price levels alone and not volatility are significant. We demonstrate that analysis of hedging in commodity markets should take cognisance of conditions and the degree of risk aversion, otherwise the implicit assumption is that hedging is invariant to such matters. Through considering both market conditions and the degree of risk aversion, understanding the motivation for hedging may be enhanced.  相似文献   

16.
Hedging and liquidity   总被引:4,自引:0,他引:4  
This article develops a model for evaluating alternative hedgingstrategies for financially constrained firms. A key advantageof the model is the ability to capture the intertemporal effectsof hedging on the firm's financial situation. We characterizethe optimal hedge. A wide range of alternative hedging strategiescan be specified and the model allows us to determine in eachcase if the hedging strategy raises or lowers firms value andby how much. We show that hedging firm value, hedging cash flowfrom operations and hedging sales revenue are not optimal. Thearticle highlights the fact that every hedging strategy comespackaged with a borrowing strategy which requires careful consideration.  相似文献   

17.
Abstract

This paper examines foreign exchange (FX) hedging by Norwegian exporting firms to provide empirical evidence on the determinants of the hedging decision. The paper contributes to prior studies by, first, focusing on exporters to ensure that the companies in the sample have FX exposure, thereby allowing a more rigorous test of the theoretical determinants of hedging, and, secondly, in contrast to most previous studies that have focused on FX external hedging instruments, the use of both internal and external instruments is examined. Univariate, multivariate and multinominal analyses all provide evidence consistent with the firm value maximization hypotheses of underinvestment and risk aversion. Also, the following characteristics of firms—size, extent of internationalization and liquidity—are found to be related to the decision to hedge FX risk. However, the evidence on the links between the firm characteristics and the decision to hedge is not consistent across internal and external FX hedgers, and also varies for individual hedging instruments. Therefore it is argued that the empirical evidence on the theoretical determinants cannot be generalized to cover the full range of FX hedging strategies (which includes internal hedging instruments). Unlike empirical studies for other countries the evidence for Norwegian firms does not support the hypothesis that the avoidance of financial distress and the need to resort to external capital markets is a significant determinant of the hedging decision. Whilst the evidence suggests that country-specific factors may play a role in determining the use of FX hedging, it does not imply that the different policies adopted are necessarily inconsistent with the firm value maximization hypothesis.  相似文献   

18.
For a variety of reasons, the U.S. airline industry is a natural sample to analyze the relation between corporate risk exposure, hedging policy, and firm value. First, we find that airline exposures to fuel prices are higher when fuel prices are high or when they are rising. Second, we analyze the relation between exposure coefficients and the percentage of next year's fuel requirement hedged by airlines. In response to higher fuel price levels, rising fuel prices, and higher levels of exposure to fuel prices, airlines tend to increase their hedging activity. Finally, we explore the previously documented jet fuel hedging premium illustrated in Carter, Rogers, and Simkins (2006). We find a positive hedging premium in our analysis; however, the interaction of hedging and exposure does not affect firm value. We conclude that airlines increasing hedging activity because of higher fuel price exposure are not valued higher compared to those airlines employing more stable hedging policies.  相似文献   

19.
We analyze the optimal hedging policy of a firm that has flexibility in the timing of investment. Conventional wisdom suggests that hedging adds value by alleviating the under-investment problem associated with capital market frictions. However, our model shows that hedging also adds value by allowing investment to be delayed in circumstances where the same frictions would cause it to commence prematurely. Thus, hedging can have the paradoxical effect of reducing investment. We also show that greater timing flexibility increases the optimal quantity of hedging, but has a non-monotonic effect on the additional value created by hedging. These results may help explain the empirical findings that investment rates do not differ between hedgers and non-hedgers, and that hedging propensities do not depend on standard measures of growth opportunities.  相似文献   

20.
The interest rate policies of Finnish firms appear risk aversive, but hedging decisions are influenced by market view. Managers find they can forecast trends in interest rate development, and employ the forecasts in the choice of debt and hedging instruments. The use of risk assessment methods and hedging instruments are related to firm size but not to leverage. Most frequently employed hedging instruments are interest rate swaps and forward rate agreements. The respondents find their firms' interest rate risk management is successful, but performance is seldom measured against an explicitly defined benchmark.  相似文献   

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