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

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

The most recent study on measuring, dealing with and pricing monetary possibility. 3 extensive views are thought of: monetary danger in non-financial firms; in monetary intermediaries resembling banks; and at last in the context of a portfolio of securities of alternative credits caliber and marketability.

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

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Since there is no variation in F within an industry, we do not include industry dummies. 2). We focus on the coefficient of the interaction term, which is negative and significant as predicted, and larger in absolute value than the coefficient on the fraction of derivatives users. This implies that the net exposure of derivatives users declines relative to derivatives non-users as more firms use derivatives in the same industry. In contrast, the net exposure of derivatives non-users increases as more firms use derivatives in the same industry.

Statistical significance is indicated by ***, **, and * for the 1%, 5% and 10% levels respectively. 6 Continued Strategic Risk Management 23 industries (price-cost margin and Herfindahl index both above median). 5. As expected, we find that the interaction effect is especially strong, both statistically and economically, in less competitive industries. 16 The coefficient on the interaction term is not statistically significant in more competitive industries. So far we have treated positive and negative net FX exposures identically.

A negative α2 implies that in industries where hedging is widespread, unhedged firms are relatively more exposed to foreign exchange shocks than hedged firms. Likewise, it also implies that in industries where hedging is less common, unhedged firms are relatively less exposed to foreign exchange shocks than hedged firms. Finally, we include the following control variables, which prior studies have found to be correlated with exposure coefficients and firms’ decisions to use derivatives: firm size, debt-equity ratio, quick ratio, dividend payout ratio, and Tobin’s Q.

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