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外文摘要
引文資料
題名:
Financial Distress, Return Volatility and Hedging
書刊名:
臺大管理論叢
作者:
賴怡洵
/
林霖
/
戴維芯
作者(外文):
Lai, Yi-hsun
/
Lin, Lin
/
Tai, Vivian W.
出版日期:
2014
卷期:
24:S1
頁次:
頁61-95
主題關鍵詞:
避險
;
風險移轉
;
風險管理
;
Hedge
;
Risk-shifting
;
Risk management
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
1
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:0
共同引用:0
點閱:19
本研究以2005年至2009年所有台灣上市櫃公司為樣本,以Tobit迴歸檢定權益波動與避險比例的關係,探討不同財務危機風險下的企業避險動機。提出三個假說,分別為高財務危機風險下的「風險移轉假說」、接近財務危機風險下的「風險管理假說」及低財務危機風險下的「風險-報酬抵換假說」。研究發現在高財務槓桿樣本群,在考量選擇性偏誤、是否處於金融風暴期間、不同的避險比例衡量方式以及不同的槓桿比例財務危機風險指標下,其權益波動與避險比例都具有顯著負向關係,故支持高財務危機風險公司具有風險移轉行為。在低財務槓桿樣本群,除在不同避險工具考量選擇性偏誤的結果外,多數的結果都呈現權益波動與避險比例具有顯著負向關係,部分支持低財務危機風險公司在風險-報酬抵換考量下會選擇高風險而少避險的決策。而高、低財務危機風險之間的群組,其權益波動與避險比例具有正向影響,但部分未達顯著,故微弱地支持風險管理假說。本研究透過實證釐清財務危機風險與權益波動以及其交互作用對企業避險行為的關係。
以文找文
We adopt Tobit Regressions to examine the hedging behavior of the listed firms in Taiwan during 2005-2009. With the concern of bankruptcy and risk-shifting motivation of the firm, the risk-shifting, risk management, and risk-return-trade-off hypotheses are then reviewed and tested. The results show that return volatility is significantly negative to hedge ratio for distressed firms, controlling for the selection biases, time period of catastrophe (i.e., the Financial Crisis started from 2008), and the model sensitivity to different definitions of financial distress. It strongly supports the risk-shifting phenomenon for distressed firms. Significant negative relationship between hedge ratio and return volatility for non-distress group can also be observed in most tests, apart from some models for the Heckman tests for controlling selection biases. These findings partly support the risk-return-trade-off hypothesis. For the firms being in-between extreme distress levels, the return volatility is positive to hedge ratio, showing a weak support to risk management hypothesis. Our empirical results clarify the impacts of financial distress, return volatility, and their interaction term on corporate hedging behavior.
以文找文
期刊論文
1.
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2.
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3.
Purnanandam, Amiyatosh(2008)。Financial distress and corporate risk management: Theory and evidence。Journal of Financial Economics,87(3),706-739。
4.
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5.
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7.
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8.
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9.
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10.
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11.
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12.
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13.
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14.
Dolde, W.(1993)。The trajectory of corporate financial risk management。Journal of Applied Corporate Finance,6(3),33-41。
15.
Géczy, Christopher C.、Minton, Bernadette A.、Schrand, Catherine M.(1997)。Why Firms Use Currency Derivatives?。Journal of Finance,52(4),1323-1354。
16.
Guay, Wayne R.(1999)。The Impact of Derivatives on Firm Risk: An Empirical Examination of New Derivative Users。Journal of Accounting & Economics,26(1-3),319-351。
17.
Engle, R. F.(1982)。Autoregressive Conditional Heteroske- dasticity with Estimates of the Variance of U.K. Inflation。Econometrica,50(4),987-1008。
18.
Froot, Kenneth A.、Scharfstein, David S.、Stein, Jeremy C.(1993)。Risk Management: Coordinating Corporate Investment and Financing Policies。Journal of Finance,48(5),1629-1658。
19.
Hansen, P. R.、Lunde, A.(2005)。A forecast comparison of volatility models: Does anything beat a GARCH(1,1)?。Journal of Applied Econometrics,20(7),873-889。
20.
Smith, Clifford W.、Stulz, René M.(1985)。The determinants of firms' hedging policies。Journal of Financial and Quantitative Analysis,20(4),391-405。
21.
Merton, Robert C.(1974)。On the Pricing of Corporate Debt: The Risk Structure of Interest Rates。The Journal of Finance,29(2),449-470。
22.
Pagan, Adrian R.、Schwert, G. William(1990)。Alternative Models for Conditional Stock Volatility。Journal of Econometrics,45(1/2),264-290。
23.
Stulz, René M.(1990)。Managerial Discretion and Optimal Financing Policies。Journal of Financial Economics,26(1),3-27。
24.
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25.
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26.
Akgiray, Vedat(1989)。Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts。The Journal of Business,62(1),55-80。
27.
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28.
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32.
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研究報告
1.
Nain, A.(2004)。The strategic motives for corporate risk management。Iowa:University of Iowa。
2.
Bartram, Söhnke M.、Brown, Gregory W.、Fehle, Frank R.(2004)。International evidence on financial derivatives usage。University of Lancaster。
3.
Bulan, L. T.(2003)。Real Options, Irreversible Investment and Firm Uncertainty: New Evidence from U.S. Firms。New York:Columbia University。
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