The Impact of Hedging on Stock Return and Firm Value:New Evidence from Canadian Oil and Gas Companies
This paper analyzes the impact of hedging activities of large Canadian oil and gas companies on their stock return and firm value. Differing from the existing literature this research pays attention to the nonlinear payoffs of hedging, which may not be fully revealed in the traditional linear framework. By using generalized additive models, which is semi-parametric in nature and can accommodate potential nonlinear relationships, this research finds that the impacts of hedging are indeed nonlinear. The large Canadian oil and gas firms are able to hedge against downside induced by unfavorable oil and gas price changes. But oil hedging appears to be more effective than gas hedging in protecting the stock return when downside risk presents. In addition, oil and gas reserves tend to have a positive (negative) impact on stock returns when the oil and gas prices are increasing (decreasing). Finally, hedging, in particular hedging on gas, together with profitability and leverage, has significant impacts on firm value.
hedging risk management oil and gas equity returns Tobin’s Q ratio generalized additive model semi-parametric model nonlinearity
Chang Dan Hong Gu Kuan Xu
Department of Economics Department of Mathematics and Statistics Dalhousie University Department of Economics, Dalhousie University, Halifax, Nova Scotia,Canada B3H 3J5;
国际会议
西安
英文
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）