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研究生:方曉薇
研究生(外文):Fang, Hsiao-Wei
論文名稱:Hedging,AsymmetricExposures,andFirmvalue:EvidencefromU.S.OilandGascompanies
指導教授:張元晨張元晨引用關係
指導教授(外文):Chang, Yuan chen
學位類別:碩士
校院名稱:國立政治大學
系所名稱:財務管理研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:94
語文別:英文
論文頁數:62
外文關鍵詞:hedgefirm valueasymmetric exposureoilgas
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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.
Contents
1. INTRODUCTION 1
2. LITERATURE REVIEW 5
2.1 THEORIES OF HEDGING 5
2.1.1 MANAGERIAL MOTIVES 5
2.1.2 TAX 6
2.1.3 COST OF FINANCIAL DISTRESS AND UNDERINVESTMENT 7
2.1.4 OTHER FIRM CHARACTERISTICS 8
2.2 STOCK RETURN SENSITIVITY AND HEDGING 9
2.3 FIRM VALUE AND HEDGING 10
3. DATA DESCRIPTION 12
3.1 SAMPLE DESCRIPTION 12
3.2 PROXY OF HEDGING 14
3.3 PROXY OF FIRM VALUE 18
4. STOCK RETURN EXPOSURE TO OIL AND GAS PRICE MOVEMENTS 22
4.1 OIL AND GAS PRICE 22
4.2 HYPOTHESIS 24
4.3 MODEL FRAMEWORK 25
4.4 EMPIRICAL RESULTS 26
4.4.1 EXPOSURE TO OIL AND GAS PRICE 26
4.4.2 THE IMPACT OF HEDGING AND RESERVE ON STOCK RETURN EXPOSURE 28
5. ASYMMETRIC EXPOSURE TO OIL AND GAS PRICE MOVEMENTS 30
5.1 EXPOSURE TO OIL AND GAS PRICE CHANGES 31
5.1.1 HYPOTHESIS 31
5.1.2 EMPIRICAL RESULTS 32
5.2 HEDGING ACTIVITIES AND EXPOSURE 33
5.2.1 HYPOTHESIS 34
5.2.2 EMPIRICAL RESULTS 35
5.3 OIL AND GAS RESERVES ON EXPOSURE 36
5.3.1 HYPOTHESIS 36
5.3.2 EMPIRICAL RESULTS 37
6. THE RELATION BETWEEN FIRM VALUE AND HEDGING 40
6.1 HYPOTHESIS 40
6.2 MODEL FRAMEWORK 40
6.3 DOES OIL/GAS HEDGING ADD VALUE? 42
6.3.1 UNIVARIATE ANALYSIS 43
6.3.2 MULTIVARIATE ANALYSIS 45
7. CONCLUSION 54
REFERENCE 57
APPENDIX: COMPUTATION OF OIL DELTA 60
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