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The newest study on measuring, handling and pricing monetary possibility. 3 vast views are thought of: monetary hazard in non-financial firms; in monetary intermediaries akin to banks; and eventually in the context of a portfolio of securities of other credits caliber and marketability.
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Extra info for Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios
55 percent of total assets. Next, we summarize the prevalence of derivatives usage by industry. We deﬁne an industry by its four digit SIC. 8 (13) ﬁrms per industry. To measure the prevalence of derivatives usage we use the market-value-weighted fraction of derivatives usage, which is deﬁned as the sum of market values of FX derivatives users in a four digit SIC industry, divided by the sum of market values of all ﬁrms in that industry. We use a market value-weighted measure to account for the fact that larger ﬁrms represent a bigger share of industry output, and thus their hedging choices are more important to competitors than the hedging choices of smaller ﬁrms.
These conﬂicting predictions lead us to test the following hypothesis. H1: The degree of competition is positively or negatively correlated with the fraction of ﬁrms that use derivatives within an industry. We also test the Mello and Ruckes (2008) prediction that ﬁrms will not hedge their exposures fully when competition is more intense. H2: The degree of competition is negatively correlated with the extent of derivatives usage. We control our analysis, as suggested by theory, for other determinants of corporate risk management, such as exposure levels, ﬁrm size, growth options, ﬁnancial constraints, ﬁnancial heterogeneity, and operating leverage.
Median variables are unweighted medians based on all ﬁrm observations within a four digit SIC industry. Variable deﬁnitions can be found in the Appendix. 1 Descriptive statistics Strategic Risk Management 11 average price-cost margin, using Compustat data, using the following formula, N PCM = i=1 si si − ci , × s si where si is the net sales of ﬁrm i, ci is the cost of goods sold of ﬁrm i, and s is the total sales of all single-segment ﬁrms in the same industry; N is the total number of single-segment ﬁrms per industry.