Hedging to market-wide shocks and competitive selection

IF 1.2 4区 管理学 Q3 ECONOMICS
Richard Friberg, Isak Trygg Kupersmidt
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引用次数: 1

Abstract

This paper examines hedging against a large market-wide shock in a model with heterogeneous firms and sunk costs of entry. If hedging is voluntary only the most efficient firms hedge against this shock, a finding in line with empirical evidence but at odds with standard motivations for risk management. Hedging affects the critical level of the marginal cost needed to operate in the market. A setting with mandatory hedging is associated with stronger competition than when hedging is voluntary which, in turn, is associated with stronger competition than when hedging is unavailable.

Abstract Image

对冲市场范围的冲击和竞争选择
本文研究了在具有异质性企业和进入沉没成本的模型中,对大规模市场冲击的套期保值。如果对冲是自愿的,那么只有最有效的公司才能对冲这种冲击,这一发现符合经验证据,但与风险管理的标准动机不一致。套期保值影响市场运作所需的边际成本的临界水平。与套期保值是自愿的情况相比,具有强制性套期保值的设置与更强的竞争有关,而这反过来又与不可套期保值的情况相比与更强的竞争力有关。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
3.20
自引率
5.30%
发文量
43
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