értekezés - Budapesti Corvinus Egyetem

8. függelék - Az FSS [1993] modellt alátámasztó empirikus eredmények
To empirically validate the impact of hedging on the coordination of investment and
financing policies, the relationship between corporate risk management and liquidity can
be analyzed. The results show that companies with low liquidity (small quick ratio or
current ratio) are more likely to hedge than companies with high liquidity, which suggests
that firms hold liquid assets as a substitute for hedging. 176 By the same token, Gay and
Nam [1998] demonstrate that firms with a strong correlation between cash flow and
investment expenses are naturally hedged and thus use fewer derivatives. Allayannis and
Mozumdar [2000] show that investment cash flow sensitivity is lower for firms that hedge
with foreign currency derivatives, consistent with Froot et al. [1993]. 177
Deshmukh and Vogt [2000] test whether the difference in the sensitivity of investment
spending to cash flow is significant across hedgers and non-hedgers, and find that, other
things equal, the investment spending of hedgers is less sensitive to cash flow than for nonhedgers.
Furthermore, their results suggest that the sensitivity of investment to cash flow is
lower when the extent of hedging is higher, supporting the notion that firms appear to
hedge to reduce their cash flow volatility and their reliance on external funds.
Nance, Smith, and Smithson [1993] show that high R&D firms are more likely to hedge,
which fits very well into the Froot et. al. [1993] model. First, it may be more difficult for
R&D-intensive firms to raise external finance either because their principally intangible
assets are not good collateral, or because there is likely to be more asymmetric information
about the quality of their new projects. Second, R&D growth options are likely to represent
valuable investments whose attractiveness is not correlated with easily hedgeable risks
impacting internal cash flows, which would imply full hedging as per the model. 178
176
Graham/Rogers [1999], Geczy/Minton/Schrand [1997], Berkman/Bradbury [1999],
Nance/Smith/Smithson [1993]
177 Carter et al. [2003], however, criticizes the nature of Allayannis/Mozumdar’s [2000] test as it can not
differentiate between whether the given results suggest that firms hedge to ensure sufficient amounts of cash
to take advantage of valuable investment opportunities during unfavorable cash flow stock (as per Froot et
al., 1993), or hedgers may be insulating investment from the scrutiny of outside investors (put forward by
Tufano, 1998) so that managers can obtain private benefits from ‘pet projects’. See below for Tufano’s
[1998] ‘pet project’ hypothesis.
178 Allayannis and Ofek [2001], Dolde [1995], Gay and Nam [1998], Géczy et al. [1997] also find that
hedging increases with the level of R&D expenditures.
176