This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Productivity shocks and hedging: theory and evidence

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Marcello SPANO' ()
Abstract

This work compares two models of corporate hedging, to show how optimal investment, debt, and hedging strategy can be strongly depen-dent on the mechanism linking the firm's internal funds to its return on investment. Approximated analytical solutions for hedging are ob-tained to shed light on the di .erent empirical implications associated with the two mechanisms. The latter appear to be distinguishable by observing the correlation between investment and debt under a pro-ductivity shock. Empirical evidence on the two mechanisms provides mixed results

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.economia.unimi.it/uploads/wp/wp167.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Department of Economics University of Milan Italy in its series Departemental Working Papers with number 2003-26.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length:
Date of creation: 01 Jan 2003
Date of revision:
Handle: RePEc:mil:wpdepa:2003-26

Contact details of provider:
Postal: Via Conservatorio 7, I-20122 Milan - Italy
Phone: +39 02 50321522
Fax: +39 02 50321505
Web page: http://www.economia.unimi.it
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Daniele Checchi).

Related research
Keywords: Hedging Investment Debt Productivity shocks

Find related papers by JEL classification:
G19 - Financial Economics - - General Financial Markets - - - Other
G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Investment Policy
G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Capital and Ownership Structure

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Froot, Kenneth A & Scharfstein, David S & Stein, Jeremy C, 1993. " Risk Management: Coordinating Corporate Investment and Financing Policies," Journal of Finance, American Finance Association, vol. 48(5), pages 1629-58, December. [Downloadable!] (restricted)
    Other versions:
  2. Mark Rubinstein, 1976. "The Valuation of Uncertain Income Streams and the Pricing of Options," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 407-425, Autumn. [Downloadable!] (restricted)
  3. Schiantarelli, Fabio, 1996. "Financial Constraints and Investment: Methodological Issues and International Evidence," Oxford Review of Economic Policy, Oxford University Press, vol. 12(2), pages 70-89, Summer.
  4. Rebello Michael J., 1995. "Adverse Selection Costs and the Firm's Financing and Insurance Decisions," Journal of Financial Intermediation, Elsevier, vol. 4(1), pages 21-47, January. [Downloadable!] (restricted)
  5. John R. Graham & Daniel A. Rogers, 2002. "Do Firms Hedge in Response to Tax Incentives?," Journal of Finance, American Finance Association, vol. 57(2), pages 815-839, 04. [Downloadable!] (restricted)
  6. Lamont, Owen, 1997. " Cash Flow and Investment: Evidence from Internal Capital Markets," Journal of Finance, American Finance Association, vol. 52(1), pages 83-109, March. [Downloadable!] (restricted)
  7. Kaplan, Steven N & Zingales, Luigi, 1997. "Do Investment-Cash Flow Sensitivities Provide Useful Measures of Financing Constraints," The Quarterly Journal of Economics, MIT Press, vol. 112(1), pages 169-215, February.
  8. Jack E. Triplett, 1999. "The Solow productivity paradox: what do computers do to productivity?," Canadian Journal of Economics, Canadian Economics Association, vol. 32(2), pages 309-334, April. [Downloadable!] (restricted)
  9. Bruce C. Greenwald & Joseph E. Stiglitz, 1993. "Financial Market Imperfections and Business Cycles," NBER Working Papers 2494, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  10. Chris Mallin, Kean Ow-Yong, Martin Reynolds, 2001. "Derivatives usage in UK non-financial listed companies," European Journal of Finance, Taylor and Francis Journals, vol. 7(1), pages 63-91, March. [Downloadable!] (restricted)
  11. DeMarzo, Peter M & Duffie, Darrell, 1995. "Corporate Incentives for Hedging and Hedge Accounting," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 8(3), pages 743-71. [Downloadable!] (restricted)
  12. Perfect, Steven B. & Wiles, Kenneth W., 1994. "Alternative constructions of Tobin's q: An empirical comparison," Journal of Empirical Finance, Elsevier, vol. 1(3-4), pages 313-341, July. [Downloadable!] (restricted)
  13. Erik Brynjolfsson & Lorin Hitt, 1997. "Information Technology as a Factor of Production: The Role of Differences Among Firms," Working Paper Series 201, MIT Center for Coordination Science. [Downloadable!]
    Other versions:
  14. Michael Devereux & Fabio Schiantarelli, 1989. "Investment, Finacial Factors and Cash Flow: Evidence From UK Panel Data," NBER Working Papers 3116, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  15. Froot, Kenneth A. & Dabora, Emil M., 1999. "How are stock prices affected by the location of trade?," Journal of Financial Economics, Elsevier, vol. 53(2), pages 189-216, August. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? IDEAS uses the data collected within the RePEc project, the largest online bibliographic database in Economics.

This page was last updated on 2008-7-29.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.