Download Advances in Financial Risk Management: Corporates, by Jonathan A. Batten, Peter MacKay, P. Mackay, N. Wagner PDF

By Jonathan A. Batten, Peter MacKay, P. Mackay, N. Wagner

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

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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.

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