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Dynamic risk management: Theory and evidence

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  • Fehle, Frank
  • Tsyplakov, Sergey
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-4G361PX-1/2/03ab3eaee2bfe8e9de769a675a9a02d0
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 78 (2005)
    Issue (Month): 1 (October)
    Pages: 3-47

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    Handle: RePEc:eee:jfinec:v:78:y:2005:i:1:p:3-47

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    Web page: http://www.elsevier.com/locate/inca/505576

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    References

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    1. Koppenhaver, G D, 1985. " Bank Funding Risks, Risk Aversion, and the Choice of Futures Hedging Instrument," Journal of Finance, American Finance Association, vol. 40(1), pages 241-55, March.
    2. Langetieg, Terence C., 1986. "Stochastic Control of Corporate Investment when Output Affects Future Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(03), pages 239-263, September.
    3. Hayne E. Leland., 1998. "Agency Costs, Risk Management, and Capital Structure," Research Program in Finance Working Papers RPF-278, University of California at Berkeley.
    4. Stulz, René M., 1984. "Optimal Hedging Policies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(02), pages 127-140, June.
    5. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July.
    6. Tufano, Peter, 1996. " Who Manages Risk? An Empirical Examination of Risk Management Practices in the Gold Mining Industry," Journal of Finance, American Finance Association, vol. 51(4), pages 1097-1137, September.
    7. Adam, Tim Rene, 2002. "Risk management and the credit risk premium," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 243-269, March.
    8. Flam, Sjur D & Wets, Roger J-B, 1987. "Existence Results and Finite Horizon Approximates for Infinite Horizon Optimization Problems," Econometrica, Econometric Society, vol. 55(5), pages 1187-1209, September.
    9. Mercenier, Jean & Michel, Philippe, 1994. "Discrete-Time Finite Horizon Appromixation of Infinite Horizon Optimization Problems with Steady-State Invariance," Econometrica, Econometric Society, vol. 62(3), pages 635-56, May.
    10. Geczy, Christopher & Minton, Bernadette A & Schrand, Catherine, 1997. " Why Firms Use Currency Derivatives," Journal of Finance, American Finance Association, vol. 52(4), pages 1323-54, September.
    11. Walter Dolde, 1993. "The Trajectory Of Corporate Financial Risk Management," Journal of Applied Corporate Finance, Morgan Stanley, vol. 6(3), pages 33-41.
    12. Morgan, George Emir & Shome, Dilip K & Smith, Stephen D, 1988. " Optimal Futures Positions for Large Banking Firms," Journal of Finance, American Finance Association, vol. 43(1), pages 175-95, March.
    13. Mian, Shehzad L., 1996. "Evidence on Corporate Hedging Policy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(03), pages 419-439, September.
    14. Barraquand, Jérôme & Martineau, Didier, 1995. "Numerical Valuation of High Dimensional Multivariate American Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(03), pages 383-405, September.
    15. Huang, Roger D & Masulis, Ronald W, 1999. "FX Spreads and Dealer Competition across the 24-Hour Trading Day," Review of Financial Studies, Society for Financial Studies, vol. 12(1), pages 61-93.
    16. Mitchell A. Petersen & S. Ramu Thiagarajan, 2000. "Risk Measurement and Hedging: With and Without Derivatives," Financial Management, Financial Management Association, vol. 29(4), Winter.
    17. René M. Stulz, 1996. "Rethinking Risk Management," Journal of Applied Corporate Finance, Morgan Stanley, vol. 9(3), pages 8-25.
    18. Gibson, Rajna & Schwartz, Eduardo S, 1990. " Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, American Finance Association, vol. 45(3), pages 959-76, July.
    19. Opler, Tim C & Titman, Sheridan, 1994. " Financial Distress and Corporate Performance," Journal of Finance, American Finance Association, vol. 49(3), pages 1015-40, July.
    20. Antonio S. Mello & John E. Parsons, 1995. "Maturity Structure Of A Hedge Matters: Lessons From The Metallgesellschaft Debacle," Journal of Applied Corporate Finance, Morgan Stanley, vol. 8(1), pages 106-121.
    21. Christopher C. Geczy & Bernadette A. Minton & Catherine Schrand, . "Choices Among Alternative Risk Management Strategies: Evidence from the Natural Gas Industry," Rodney L. White Center for Financial Research Working Papers 28-99, Wharton School Rodney L. White Center for Financial Research.
    22. DeMarzo, Peter M & Duffie, Darrell, 1995. "Corporate Incentives for Hedging and Hedge Accounting," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 743-71.
    23. Gregory W. Brown & Klaus Bjerre Toft, 2002. "How Firms Should Hedge," Review of Financial Studies, Society for Financial Studies, vol. 15(4), pages 1283-1324.
    24. Narayan Y. Naik & Pradeep K. Yadav, 2003. "Risk Management with Derivatives by Dealers and Market Quality in Government Bond Markets," Journal of Finance, American Finance Association, vol. 58(5), pages 1873-1904, October.
    25. Christopher L. Culp & Merton H. Miller, 1995. "Metallgesellschaft And The Economics Of Synthetic Storage," Journal of Applied Corporate Finance, Morgan Stanley, vol. 7(4), pages 62-76.
    26. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, 09.
    27. Nance, Deana R & Smith, Clifford W, Jr & Smithson, Charles W, 1993. " On the Determinants of Corporate Hedging," Journal of Finance, American Finance Association, vol. 48(1), pages 267-84, March.
    28. Ferguson, Michael F & Mann, Steven C, 2001. "Execution Costs and Their Intraday Variation in Futures Markets," The Journal of Business, University of Chicago Press, vol. 74(1), pages 125-60, January.
    29. Fama, Eugene F & French, Kenneth R, 1988. " Business Cycles and the Behavior of Metals Prices," Journal of Finance, American Finance Association, vol. 43(5), pages 1075-93, December.
    30. Kerkvliet, Joe & Moffett, Michael H., 1991. "The Hedging of an Uncertain Future Foreign Currency Cash Flow," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(04), pages 565-578, December.
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    Cited by:
    1. Viral V. Acharya & Lars A. Lochstoer & Tarun Ramadorai, 2011. "Limits to Arbitrage and Hedging: Evidence from Commodity Markets," NBER Working Papers 16875, National Bureau of Economic Research, Inc.
    2. Tim R. Adam & Chitru S. Fernando & Evgenia Golubeva, 2012. "Managerial Overconfidence and Corporate Risk Management," SFB 649 Discussion Papers SFB649DP2012-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. João Teixeira, 2014. "Outsourcing with long term contracts: capital structure and product market competition effects," Review of Quantitative Finance and Accounting, Springer, vol. 42(2), pages 327-356, February.
    4. Gatopoulos, Georgios & Loubergé, Henri, 2013. "Combined use of foreign debt and currency derivatives under the threat of currency crises: The case of Latin American firms," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 54-75.
    5. Acharya, Viral V. & Lochstoer, Lars A. & Ramadorai, Tarun, 2013. "Limits to arbitrage and hedging: Evidence from commodity markets," Journal of Financial Economics, Elsevier, vol. 109(2), pages 441-465.
    6. : Andrea Gamba & : Alexander J. Triantis, 2013. "Corporate Risk Management: Integrating Liquidity, Hedging and Operating Policies," Working Papers wpn13-07, Warwick Business School, Finance Group.
    7. Rampini, Adriano A. & Sufi, Amir & Viswanathan, S., 2014. "Dynamic risk management," Journal of Financial Economics, Elsevier, vol. 111(2), pages 271-296.
    8. Lookman, Aziz A., 2009. "Bank borrowing and corporate risk management," Journal of Financial Intermediation, Elsevier, vol. 18(4), pages 632-649, October.
    9. Purnanandam, Amiyatosh, 2008. "Financial distress and corporate risk management: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 87(3), pages 706-739, March.

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