财务困境风险与外汇风险对冲

IF 0.9 Q3 BUSINESS, FINANCE

Quarterly Journal of Finance Pub Date : 2013-09-19 DOI:10.1142/S201013921350002X

M. Boyer, Monica Marin

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引用次数: 1

摘要

我们研究了1996-2004年期间美国制造业企业使用外汇对冲工具的情况，并评估了它们对企业财务困境风险的影响。我们使用Black-Scholes-Merton期权定价模型推导出财务困境的度量，并发现使用外币对冲工具减少了公司的财务困境。在考察外汇风险敞口、计量经济指标或财务困境的替代措施时，主要发现得到了证实。

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Financial Distress Risk and the Hedging of Foreign Currency Exposure

We examine the use of foreign currency hedging instruments by US manufacturing firms during 1996–2004, and assess their impact on the firms' risk of financial distress. We derive measures of financial distress using the Black–Scholes–Merton option pricing model and find that the use of foreign currency hedging instruments reduces the firms' financial distress. The main findings are confirmed when examining alternate measures of foreign currency exposure, econometric specifications or measures of financial distress.

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来源期刊

Quarterly Journal of Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.