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
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.