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研究生:林瑞椒
研究生(外文):Lin, Rueyjiau
論文名稱:油料避險對公司價值和分析師預測正確性的影響:全球航空產業的實證
論文名稱(外文):The Effects of Hedging on Firm Value and Analyst Forecast Accuracy: Evidence from the Global Airline Industry
指導教授:張元晨張元晨引用關係
指導教授(外文):Chang, Yuanchen
學位類別:博士
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:97
語文別:英文
論文頁數:97
中文關鍵詞:油料避險航空產業避險誘因風險曝露分析師盈餘預測
外文關鍵詞:Jet fuel hedgingAirline industryIncentives for hedgingRisk ExposureAnalysts’ Earnings Forecasts
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本論文分為兩部分,第一部份是探討全球航空產業的油料避險會不會對公司價值有所影響,以及油料避險的誘因。第二部份則是檢視全球航空公司的風險曝露會不會影響分析師的預測誤差,尤其是燃油價格變動的風險曝露。
In the first essay, we examine whether jet fuel hedging increases the market value of airline companies around the world. Using a sample of 70 airline companies from 32 countries over the period 1995 to 2005, we find that jet fuel hedging is not significantly positively related to their firm value in the global airlines, but this positive relationship holds in the various sub-samples and is significant for US and non-alliance firms. Moreover, our results show that the risk-taking behavior of executives and the tendency to avoid financial distress are important determinants for the jet fuel hedging activities of non-US airline companies. Alleviating the problem of underinvestment is also an important factor to explain the jet fuel hedging activities of US and non-alliance firms. Our results add support to the growing body of literature which finds that hedging increases firm value for global airline companies.
In the second essay, we examine the extent analysts revise their earnings forecasts in response to oil price, interest rate and foreign exchange rate shocks they have observed during the year, and whether these revisions contain additional information about how current and past price shocks affect reported earnings, using the sample of the global airline industry. Empirical results indicate that jet fuel hedging can increase analysts’ forecast revisions in the total sample, and in the sub-sample of the volatile fuel price period. These results can also be seen in US and non-US airlines, and airlines with both strong and weak governance. Overall, our results show that oil price shocks play an important role in investor and analyst information uncertainty with regard to the global airline industry. Consequently, corporate risk disclosures only provide limited information about firms’ financial risk exposures.
Two essays are comprised in this dussertation to examine whether jet fuel hedging has effects on firm value and analysts’ forecast accuracy in the global airline industry. Using global data allows us to cmpare the differences of jet fuel hedging behavior and incentives for hedging across different sub-samples. Furthermore, we also examine how jet fuel hedging affects analysts’ forecast erros across different sub-samples and its implications for firm disclosures about their risk exposures in the financial reports.
In the first essay, we examine whether jet fuel hedging increases the market value of airline companies around the world. Using a sample of 70 airline companies from 32 countries over the period 1995 to 2005, we find that jet fuel hedging is not significantly positively related to their firm value in the global airlines, but this positive relationship holds in the various sub-samples and is significant for US and non-alliance firms. Moreover, our results show that the risk-taking behavior of executives and the tendency to avoid financial distress are important determinants for the jet fuel hedging activities of non-US airline companies. Alleviating the problem of underinvestment is also an important factor to explain the jet fuel hedging activities of US and non-alliance firms. Our results add support to the growing body of literature which finds that hedging increases firm value for global airline companies.
In the second essay, we examine the extent analysts revise their earnings forecasts in response to oil price, interest rate and foreign exchange rate shocks they have observed during the year, and whether these revisions contain additional information about how current and past price shocks affect reported earnings, using the sample of the global airline industry. Empirical results indicate that jet fuel hedging can increase analysts’ forecast revisions in the total sample, and in the sub-sample of the volatile fuel price period. These results can also be seen in US and non-US airlines, and airlines with both strong and weak governance. Overall, our results show that oil price shocks play an important role in investor and analyst information uncertainty with regard to the global airline industry. Consequently, corporate risk disclosures only provide limited information about firms’ financial risk exposures.
List of Figures and Tables…………………………………………………………….iii
Preface………………………………………………………………………………...iv
Acknowledgements……………………………………………………………………v
Abstract……………………………………………………………………………….vi
Chapter I. Introduction…………………………………………………………..…1
Chapter II. Does Hedging Add Value? Evidence from the Global Airline Industry
1. Introduction……………………………………………………………..4
2. Literature Review…………………………………………….…………8
2.1 Hedging and Firm Value………………………………………...……8
2.2 Incentives for Hedging Activities……………………………….…..10
2.2.1 Tax Incentives…………………………………………….......10
2.2.2 Managerial Incentives………………………………………..11
2.2.3 Financial Distress and Underinvestment Costs………...........12
3. Sample Description………………………………………………........13
3.1 Hedging Variables……………………………………………….….14
3.2 Proxy for Firm Value……………………………………….……….15
3.3 Other Variables………………………………………………...……16
4. Does Jet Fuel Hedging Increase Airlines’ Value?...................................20
5. The Determinants of Jet Fuel Hedging of Global Airlines……….……25
5.1 What Factors Explain Airlines’ Hedging Behavior?..........................25
5.2 Does Underinvestment Problem Play An Important Role in Explaining Airlines’ Hedging Behavior?...........................................28
6. Sensitivity Checks……………………………………………………..31
6.1 Using Different Proxy to Measure Firm Value……………………...31
6.2 Does “Trend” or “Volatility” of Jet Fuel Price Affect Firms’
Hedging Behavior?.............................................................................32
7. Conclusions……………………………………………………...….....32
Chapter III. Corporate Hedging Activities and Analyst Forecast Accuracy: Evidence from the Global Airline Industry
1. Introduction…………………………………………………..……..53
2. Sample Selection and Variables Description………………....……..55
2.1 Sample Selection…………………………………………..……..55
2.2 Variables Description…………………………….……..….…….55
3. Empirical Analysis and Results…………………………….….……56
3.1 The Impact of Changes in Fuel Price, Interest Rate and Foreign Exchange Rate on Earnings Announcement Returns…..…….…..56
3.2 The Impact of Changes in Fuel Price, Interest Rate and Foreign Exchange Rate on Analysts’ Forecast Errors …………………....60
3.3 The Impact of Changes in Fuel Price, Interest Rate and Foreign Exchange Rate on Revisions in Analysts’ Forecasts……...……...65
4. Conclusions………………………………………………..………..66
Chapter IV. Conclusions and Future Research…………………….…………………83
Appendix……………………………………………………………………………..85
References………………………………………………..…………………………..87

List of Figures and Tables

Figures
Figure 2-1. Average Monthly Jet Fuel Prices (Cents per Gallon)……..………..……35

Tables
Table 2-1. Global Airline Companies in the Sample………………………....…..….36
Table 2-2. Summary Statistics of Variables Used in Regression Models……….…...37
Table 2-3. The Impact of Hedging Behavior on Firm Value……………………...….41
Table 2-4. Determinants of Jet Fuel Hedging by Global Airlines………………..…..45
Table 2-5. The Influence of Hedging on Firm Value via Capital Expenditures…..….49
Table 3-1. Summary Statistics of Macroeconomic Risk Exposures……………….....68
Table 3-2. Summary Statistics of Earnings Announcement Returns and Macroeconomic Control Variables Used in Regressions…………….…..69
Table 3-3. The Impact of Fuel, interest rate and foreign exchange rate Changes on Three-day Earnings Announcement Returns……………………………..70
Table 3-4. Summary Statistics of Analysts’ Forecast Errors and Other Control Variables Used in Regressions……………………………………..…….74
Table 3-5. The Impact of Fuel, interest rate and foreign exchange rate Changes on Absolute Analysts’ Forecast Errors……………………………….…..….75
Table 3-6. The Impact of Fuel, interest rate and foreign exchange rate Changes on Revisions in Analysts’ Forecasts………………………………..………..79
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