On-balance-sheet duration hedging and firm value |
| |
| Affiliation: | 1. College of Business, Metropolitan State University of Denver, Denver, CO, USA;2. California State University, San Bernardino, CA, USA;3. University of Texas at San Antonio, TX, USA;1. Itarle AG, Switzerland;2. School of Management, University of Bath, UK;3. Essex Business School, University of Essex, UK |
| |
| Abstract: | In this study we consider the determinants and effects of on-balance-sheet duration hedging for non-financial US firms. The difference between the duration of assets and liabilities, or duration gap, is negatively related to growth opportunities, and positively related to profitability, corporate cash holdings, and managerial ownership. We find that both a lower duration gap and a lower absolute value of duration gap are associated with higher firm values. Moreover, we find some evidence that firms with larger duration gaps performed worse during the market-wide liquidity shock accompanying the Lehman Brothers bankruptcy. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
