Hedging Foreign Project Risk

We study the firm's hedging problem when there is uncertainty about whether its bid on a foreign project will be accepted. Most treatments of this problem suggest that foreign currency options are the preferred hedging instrument. However, we show that when the uncertainty pertaining to the realization of the foreign cash flow is unrelated to the exchange rate, which typically will be the case, futures dominate options as hedge vehicles.
Conversely, options hedging will be appropriate when the viability of the foreign project depends also on an exchange-rate contingency, as would be the case when the bidding firm can withdraw its bid if the foreign currency depreciates sufficiently.
In many cases, both futures and options will form part of the best hedge position. The general principle in forming the hedge is that futures will best offset exchange-rate exposure the existence of which is not exchange-rate contingent. Options will best hedge any costs or revenues that might occur in a foreign currency depending on the outcome of an exchange-rate contingency.     

Translation Exposure Hedging Post SFAS No. 52

Translation exposure hedging is frequently said to have begun after firms adopted SFAS No. 8 and assumed to have ceased–or at least decreased–after adoption of SFAS No. 52 due to different treatments of translation gains (losses). Based on proprietary data, this study presents evidence from a small sample of firms which would be predicted to cease hedging translation exposure, but of which the majority did not.
The study focuses on eighteen firms which exclude at least 50% and up to 100% of the translation gains (losses) from the income statement after adopting SFAS No. 52. Of those eighteen firms, only seven ceased hedging. The other eleven firms not only continued hedging translation exposure, but hedged translation exposure of only those subsidiaries whose translation gains (losses) are now excluded from the income statement.
Characteristics which might explain the different decision are investigated: proportion of assets which are nonmonetary; the proportion of net assets located abroad; the geographic dispersion of subsidiaries; and the estimated effect on the balance sheet and income statement of changing from the temporal method to the current rate method of translation.
Univariate test results indicate that the geographic dispersion of die foreign subsidiaries as well as the proportion of net assets located abroad differ significantly between firms which ceased hedging and those which continued hedging after adopting the standard. Weak evidence of differential effects of the change to the current rate method on individual firm income statements and of different composition of assets between the two groups also was found. Multivariate analysis, using a linear probability model as well as a randomization procedure, provided weak results corroborating the significance of the proportion of net foreign assets to consolidated assets in differentiating between firms which ceased hedging and those which continued.     

Foreign Currency Translation Reporting and the Exchange-Rate Exposure Effect

This study further explores a structural break in the relation between stock returns of firms with foreign currency positions and lagged exchange rate changes (exchange rate exposure effect) documented in Bartov and Bodnar (1994). We examine whether changes in the financial accounting reporting of foreign currency positions from SFAS No. 52 might have improved investors' ability to characterize firms' economic exchange rate exposures, and thus the impact of exchange rate movements on firm value. Our findings indicate that only firms reporting using the dollar as the functional currency (i.e., those reporting as if they were still under SFAS No. 8) retain a significant relation between the lagged change in the dollar and firm value in the post-SFAS No. 52 period. For firms reporting using the foreign currency as the functional currency (i.e., those who switched to the new translation method) the significant lagged relation disappears. This is consistent with the use of a foreign currency as the functional currency under SFAS No. 52 facilitating valuation of U.S. firms with foreign operations.     

中国入世:企业跨国发展的外汇风险判断与规避

中国入世,由于宽松化的自由流动环境,加之某些产品的比较优势和国内市场的日趋饱和,中国企业将会步入跨国发展的快车道.然而,国际市场也充满着各种不确定因素可能引起的各种风险.其中外汇风险影响最直接,冲击也大.由此,判断和规避外汇风险也就显得尤为重要.     

The Foreign Exchange Exposure Management Practices of Finnish Industrial Firms

This study employs questionnaire survey and financial accounting data to extend earlier empirical work on the foreign exchange (FX) exposure management practices of Finnish industrial firms. The paper concentrates on: (i) the form that FX corporate hedging policy takes; (ii) the control of FX procedures and trading; and, (iii) our respondents' perceptions about their ability to predict FX rate changes for hedging decisions. Our results indicate that the extent to which firms hedge FX exposure depends on the type of exposure and the form that FX hedging policy takes. Also, a significant number of the firms pursue FX hedging strategies on the expectation of attaining trading profits and this strategy appears to be accommodated within their FX policies. This feature is not explicitly demonstrated in previous studies. Finnish firms hedge a much higher proportion of both transaction and translation exposures compared to economic exposure. We partly attribute this emphasis to the requirements of the Finnish Accounting Act, which came into effect in 1993. The organisational, historical and financial settings of the firms also have significant impacts on exposure management practices. The overall implication of those results is that firms respond to changes in the financial, economic and regulatory environments in which they operate.     

汇率预期、外汇供给与外汇储备

基于货币资产组合思想和外汇储备供求理论,本文综合运用理论和实证的研究方法分析了汇率预期、外汇供给和外汇储备三者之间的关系。理论研究发现:直接标价法表示的汇率预期波动对非国际货币发行国的外汇供给具有反向影响,而且这种反向影响随着预期汇率大小的不同具有分段特征;为了维持汇率的相对稳定,外汇供给增加的冲击会导致非国际货币发行国的外汇储备增加,但即期汇率的变化方向并不确定;总体而言,预期汇率波动对非国际货币发行国外汇储备具有反向影响。基于中国数据的实证研究很好地支持了理论分析的结论。     

外汇业务风险管理研究

在开展外汇业务的过程中会面临一系列风险,只有加强外汇业务风险管理工作,才能使其取得更好的成效。但部分企业在外汇业务风险管理方面还存在诸多不到位的方面,需要引起重视。论文对此进行了研究和探讨,在简要分析外汇业务风险管理重要性的基础上,重点分析了外汇业务风险管理存在的问题,最后就如何加强和改进外汇业务风险管理提出优化对策。     

对外承包企业汇率风险分析及对策研究

随着人民币对外汇率的波动不断加大,对外企业的汇率风险也日益增强,深入研究对外承包企业汇率风险有助于企业规避汇率风险,提高经济效益。目前,研究焦点主要集中在研究利用我国现有汇率制度提高企业规避汇率风险的能力,手段单一。为此,本文首先分析了对外承包企业的项目金额大、时间周期长、境内采购、境外施工的行业特点;其次,针对对外承包企业,详细分析了汇率风险的成因;最后,提出了资金汇率风险管理的政策和建议。     

UK Multinationals' Effective Use of Financial Currency‐Hedge Techniques: Estimating and Explaining Foreign Exchange Exposure Using Bilateral Exchange Rates

Using a unique dataset of recently available accounting disclosures, this study examines the relationship between UK multinationals' stock returns and changes in the principal exchange rate to which each firm is most exposed. We find more firms with significant foreign exchange exposure estimates using this firm‐specific principal currency data, compared with those exposure estimates using the broad exchange rate index data prevalent in prior studies. The cross‐sectional variations in such principal‐currency exposure estimates are explained in relation to the financial currency‐hedge techniques that each firm specifically identifies as being used to manage its currency risk. In particular, we provide evidence that firms effectively use foreign currency derivatives and foreign‐denominated debt to reduce the currency risk associated with the bilateral exchange rate to which they are most exposed. This study is important to both the academic and the practitioner communities because it represents the first use of publicly available UK disclosures to improve the estimation and explanation of foreign exchange exposure.     

Cash Position, Credit Risk and Hedging

In choosing between forward and spot hedging, cash constrained and/or high credit risk firms are more likely to hedge foreign currency transactions forward than firms of greater quality. This arises because the cost of the levered component of a spot hedge is greater than the cost of the unlevered component and this premium increases with higher credit risk. For given cash and credit characteristics, importers are more (less) likely to hedge forward than exporters if transactions costs in the home security market are less (more) than the corresponding costs in the foreign security market.     

论企业风险对冲与管理者激励

本文根据委托代理理论,利用风险管理决策的效用原则,分析企业管理者不同薪酬制度下的风险偏好和风险管理决策;进一步说明股东可以通过设计不同的管理者薪酬计划,校正管理者在风险管理决策中的利益动机,进而使管理者制定的风险管理决策符合股东价值最大化目标。     

我国巨额外汇储备暗藏的风险

近年来,我国的外汇储备增长超千亿美元,并且成为世界外汇储备最多的国家,我国的外汇储备已经超过了适度规模,不论是从外汇储备的来源来看,还是从外汇储备结构来看,其暗藏的风险令人担心。     

海外电力工程项目投资如何规避汇率风险

随着当前我们国家的经济不断发展以及全球经济一体化程度不断提高,我们国家针对海外进行工程投资的程度也在不断上升。在最近这些年,因为国际经济金融环境的不断变化以及国际局势的风起云涌,国际的外汇市场也遇到了频频发生的突发性事件的干扰,这直接导致了我们国家自身货币的汇率经常出现大幅度的调整和波动。这也直接导致了我国的电力企业的海外电力投资项目在资金结算上经常出问题。其中,汇率风险已经成为海外电力工程建设中无法回避的一个问题。因此对于电力企业,如何针对汇率波动进行风险规避,并更进一步的对经营问题进行处理以避免亏损,就成为了我们必须面对的一个重大问题。     

物流金融：实务操作与风险管理

从国内外的研究成果及实务状况入手,分析讨论物流金融的概念、实务操作模式及潜在的风险及应对之策.     

外汇储备成本分析及管理对策

近几年我国外汇储备大幅度增长,目前已经冲破6000亿大关,巨额储备背后的成本到底会有多大?中国又该怎样避免大的损失?文章通过对外汇储备成本的分析,提出科学管理我国外汇储备的方法。     

金融期货交易中的套期保值和基差风险分析

论述了金融期货的内涵、金融期货市场中的套期保值理论、基本操作方法和期货交易中存在的基差风险以及基差的变动对套期保值效果的影响。     

汇率波动对外商直接投资的影响 ——基于知识资本模型从产业角度的实证检验

本文运用知识资本模型分别从国别和产业的角度对汇率波动与国际直接投资(FDI)进行实证检验。该模型考虑到资源禀赋对FDI的影响,并将FDI细分为垂直型和水平型;同时,为了使计量更加精确,本文还将模型中汇率的波动分解为一价定律失效导致的波动和不可解释的原因导致的波动;最后,本文还检验了美元盯住制对FDI的影响。结果发现,东道国货币贬值是否有利于吸引FDI取决于该国FDI是以水平型还是垂直型为主,同时,美元盯住制对FDI没有促进作用。     

Risk Preferences and Asset Ownership: Integrating Prospect Theory and Transaction Cost Economics

We integrate prospect theory into the discussion of Transaction Cost Economics (TCE) to illustrate how risk aversion may affect integration decisions. In particular, we argue that risk aversion creates incentives to acquire assets in situations where neither opportunism nor transaction‐specific investments are present, provided the assets in question can change in value unpredictably during their use. Our theory illustrates that risk aversion could connect opportunism, asset specificity, and uncertainty with integration decisions in the presence of incomplete contracts. Our theory complements and extends TCE by showing the role of risk aversion in integration decisions under bounded rationality and contract incompleteness. Copyright © 2015 John Wiley & Sons, Ltd.