자료실
자료실
[2020년 제 5차] The Hedging Footprint
작성자 : 관리자
조회수 : 181
게시일 :
2020-12-11
We propose a general method to measure corporate hedging activity and study its
determinants. Gains and losses on derivatives positions leave accounting footprints we
can detect by regressing sales or costs on lagged futures prices. Calibration for oilrefining
and manufacturing firms yields estimated hedge intensities and maturities in
line with positions disclosed in financial-statement footnotes. We further validate our
method by replicating – and nuancing – past empirical associations between hedging
activity and firm characteristics. Using exogenous variation in accounting-standards,
tax convexity, basis risk, energy-price realizations, and futures-curve innovations, we
uncover both retrospective (selective) and prospective (rational) hedging patterns.