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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/34061


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/34061


    題名: Hedging, Asymmetric Exposures, and Firm value: Evidence from U.S. Oil and Gas companies
    作者: 方曉薇
    Fang, Hsiao-Wei
    貢獻者: 張元晨
    Chang, Yuan chen
    方曉薇
    Fang, Hsiao-Wei
    關鍵詞: hedge
    firm value
    asymmetric exposure
    oil
    gas
    日期: 2005
    上傳時間: 2009-09-17 19:18:39 (UTC+8)
    摘要: This paper investigates the influence of hedging on firm value and stock return exposures in U.S. oil and gas industry from 1998 to 2004. Previous empirical results show that the relationship between firm value and corporate hedging activities is mixed. We find that the trend and volatility of oil and gas prices play important roles in the issue. Our results indicate that corporate exposures to oil and gas prices are asymmetric. We also find that gas reserve hedging has significant impacts on firm value when volatility of gas price is high. In conclusion, our results show that corporate hedging policies may add firm values in some special situations.
    參考文獻: Allayannis, George and James P. Weston, 2001, The use of foreign currency derivatives and firm market value, Review of Financial Studies 14, 243-76.
    Carter, David A., Daniel A. Rogers, and Betty J. Simkins 2003, Does fuel hedging make economic sense? The case of the US Airline industry, working paper, Oklahoma State University.
    Carter David A., Christos Pantzalis, and Betty J. Simkins, 2003, Asymmetric exposure to foreign exchange-risk: Financial and real option hedges implemented by U.S. multinational corporations, working paper, Oklahoma State University and University of South Florida.
    DeMarzo, Peter M., and Darrell Duffie, 1995, Corporate incentives for hedging and hedge accounting, Review of Financial Studies 8, 743-71
    Dan, Chang, Hong Gu and Kuan Xu, 2005, The impact of hedging on stock return and firm value: New evidence from Canadian oil and gas companies, working paper, Dalhousie University.
    Gay Gerald. D and Jouahn Nam, 1998, The underinvestment problem and corporate derivatives use, Financial management 27, 53-69.
    Graham, John R., and Clifford W. Smith, Jr., 1999, Tax incentives to hedge, Journal of Finance 54, 2241-62.
    Graham, John R., and Daniel A. Rogers, 2002, Do firms hedge in response to tax incentives? Journal of Finance 57, 815-39.
    Guay, Wayne, and S.P. Kothari, 2003, How much do firms hedge with derivatives? Journal of Financial Economics 80, 423-61.
    He Jia and Lilian K. Ng, The foreign exchange exposure of Japanese multinational corporations, Journal of Finance 53, 733-53.
    Jin, Yanbo, and Philippe Jorion, 2006, Firm value and hedging: Evidence from US oil and gas producers, Journal of Finance 61, 893-919.
    Kadapakkam, Palani-Rajan, P.C. Kumar, and Leigh A. Riddick, 1998, The impact of cash flows and firm size on investment: The international evidence, Journal of Banking & Finance 22, 293-320.
    Lang, Larry H. P., and Rene M. Stulz, 1994, Tobin’s q, corporation diversification, and firm performance, Journal of Political Economy 102, 1248-80.
    Lookman, Aziz A., 2004, Does hedging increase firm value? Evidence from oil and gas producing firms, working paper, Tepper School of Business Carnegie Mellon University.
    Mian, Shehzad, 1996, Evidence on corporate hedging policy, Journal of Financial and Quantitative Analysis 31, 419-39.
    Miller, Kent D. and Jeffrey J. Reuer, 1998, Asymmetric corporate exposures to foreign exchange rate changes, Strategic Management Journal 19, 1183-91.
    Mohanty Samarendu , E. Wesley F. Peterson, and Nancy Cottrell Kruse, 1995, Price asymmetry in international wheat market, Canadian Journal of Agricultural Economics 43, 355-66.
    Nance, Deana R., Clifford W. Smith, JR., and Charles W. Smithson, 1993, On the determinants of corporate hedging, Journal of Finance 48, 267-84.
    Reilly, Barry, and Robert Witt, 1998, Petrol price asymmetries revisited, Energy Economics 20, 297-308.
    Smith, Clifford W., and Rene M. Stulz, 1985, The determinants of firms’ hedging policies, Journal of Financial and Quantitative Analysis 20, 391-405.
    Smithson, Charles, Rutter Associates, and Betty J. Simkins, 2005, Does risk management add value? A survey of the evidence, Journal of Applied Corporate Finance 17, 8-17.
    Tufano, Peter, 1996, Who manages risk? An empirical examination of risk management practices in the gold mining industry, Journal of Finance 51, 1097-137.
    描述: 碩士
    國立政治大學
    財務管理研究所
    93357037
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0093357037
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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