Get Advances in Financial Risk Management: Corporates, PDF

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

ISBN-10: 1137025093

ISBN-13: 9781137025098

ISBN-10: 134943874X

ISBN-13: 9781349438747

The most recent study on measuring, handling and pricing monetary possibility. 3 huge views are thought of: monetary possibility in non-financial organisations; in monetary intermediaries similar to banks; and eventually in the context of a portfolio of securities of other credits caliber and marketability.

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Extra resources for Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios

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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. If PCM<0, then we set it equal to zero for the calculation of the industry average.

In such an industry, profit variability of unhedged (hedged) firms is high (low). In contrast, when most firms in an industry are unhedged, output prices co-vary with costs, causing the profit variability of unhedged firms to be low relative to hedged firms. If a firm in this industry chooses to hedge, it has fixed costs but faces volatility in output prices. Thus, in largely unhedged industries, unhedged (hedged) firms should exhibit relatively low (high) net exposures. 8 Tim R. Adam and Amrita Nain Based on this discussion we test the following hypothesis.

If a firm in this industry chooses to hedge, it has fixed costs but faces volatility in output prices. Thus, in largely unhedged industries, unhedged (hedged) firms should exhibit relatively low (high) net exposures. 8 Tim R. Adam and Amrita Nain Based on this discussion we test the following hypothesis. H3: As more firms hedge in an industry, the exposure of derivatives non-users increases, while the exposure of derivatives users declines. In Adam, Dasgupta and Titman (2007) and Mello and Ruckes (2008), the interdependence between firms’ hedging choices relies on the existence of imperfect competition.

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Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios by Jonathan A. Batten, Peter MacKay, P. Mackay, N. Wagner


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