Brown, Gregory W.
[VerfasserIn]
;
Crabb, Pete
[Sonstige Person, Familie und Körperschaft];
Haushalter, David
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2001 erstellt
Beschreibung:
This paper analyzes derivative security positions reflecting the corporate risk management policies of 48 companies from three different industries. There exists substantial time-series variation in risk management policies among firms in each industry. Very little of the variation in hedge ratios is explained by firm-specific variables suggested by risk management theory. We interpret these results as consistent with survey evidence indicating that many managers incorporate their market views into risk management policies, so-called quot;selectivequot; hedging. We find that some firms appear to have a statistically significant ability to selectively hedge. However, the average economic significance of the gains is small. We conclude that senior managers and boards of directors should reevaluate whether selective hedging increases shareholder wealth