The DOI matches its Crossref record; 42 of the 42 references it cites were found in a registry or an index.
The Effects of Derivatives on Firm Risk and Value
Abstract
Using a large sample of nonfinancial firms from 47 countries, we examine the effect of derivative use on firm risk and value. We control for endogeneity by matching users and nonusers on the basis of their propensity to use derivatives. We also use a new technique to estimate the effect of omitted variable bias on our inferences. We find strong evidence that the use of financial derivatives reduces both total risk and systematic risk. The effect of derivative use on firm value is positive but more sensitive to endogeneity and omitted variable concerns. However, using derivatives is associated with significantly higher value, abnormal returns, and larger profits during the economic downturn in 2001–2002, suggesting that firms are hedging downside risk.
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Citations
Cites
The central role of the propensity score in observational studies for causal effects
ROSENBAUM, P. R., & RUBIN, D. B. (1983) · Biometrika · doi:10.1093/biomet/70.1.41 · Cited by 31,241
Sample Selection Bias as a Specification Error
Heckman, J. J. (1979) · Econometrica · doi:10.2307/1912352 · Cited by 28,779
Newey, W. K., & West, K. D. (1987) · Econometrica · doi:10.2307/1913610 · Cited by 16,936
FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY
Altman, E. I. (1968) · The Journal of Finance · doi:10.1111/j.1540-6261.1968.tb00843.x · Cited by 14,888
The Cost of Capital, Corporation Finance and the Theory of Investment
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A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
The cost of capital, corporation finance and the theory of investment
Terra, P. R. (2008) · Revista de Administração e Contabilidade da Unisinos · doi:10.4013/base.20082.07 · Cited by 8,615
The Determinants of Firms' Hedging Policies
Smith, C. W., & Stulz, R. M. (1985) · The Journal of Financial and Quantitative Analysis · doi:10.2307/2330757 · Cited by 3,255
Rosenbaum, P. R. (2002) · Springer Series in Statistics · doi:10.1007/978-1-4757-3692-2 · Cited by 2,394
Agency Costs, Risk Management, and Capital Structure
Leland, H. E. (1998) · The Journal of Finance · doi:10.1111/0022-1082.00051 · Cited by 1,496
Metadata
- Authors
- Bartram, S. M., Brown, G. W., & Conrad, J.
- Venue
- Journal of Financial and Quantitative Analysis
- Publisher
- Cambridge University Press (CUP)
- Published
- 2011-05-17
- Volume
- 46
- Issue
- 4
- Pages
- 967-999
- ISSN
- 0022-1090 (ISSN-L)
- 1756-6916
- OpenAlex
- W3123478206
- Cited by
- 429
- References
- 42
- FWCI
- 70.93
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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