értekezés - Budapesti Corvinus Egyetem

13. függelék - A közvetlen empirikus megközelítést alkalmazó irodalom áttekintése
This approach was first used by Allayannis and Weston [2001], who examine the effect of
currency derivatives usage on relative market value (as defined by Tobin’s Q) using a
sample of large US non-financial firms with foreign sales. They find a positive relation
between currency hedging and Tobin’s Q, and interpret this as evidence that hedging
improves firm value. They conclude that hedging increases firm value by 3-8%. 192 Graham
and Rogers [2002] test the effect of derivatives hedging on debt in a capital structure
model. They find that hedging has a positive effect on debt ratios and measure the
incremental tax benefits of the additional debt due to derivatives hedging. Bartram et al.
[2003] find that hedging is associated with higher firm value, but only for certain risks.
Carter, Rogers, and Simkins [2003] address the same question – the firm value impact of
hedging – by investigating jet fuel hedging behavior of firms in the US airline industry
during 1994-2000. Their results suggest that jet fuel hedging is positively related to airline
firm value as hedging allows airlines more ability to fund investment during periods of
high jet fuel prices (low operating cash flow). They show a ‘hedging premium’ constituting
a 12-16% increase in firm value.
Allayannis and Weston [2004] test the hypothesis that earnings and cash flow volatility
have a negative effect on firm value. In this sense, they are the first to investigate the
relation between value and the smoothness of financial statements (earnings). Although in
general they find that earnings and cash flow volatility are both significantly and
negatively associated with firm value, they detect that the impact of earnings volatility is
more significant: a one standard deviation increase in earnings volatility decreases firm
value on average by 21%, while it is 14% in case of cash flow. However, when they
analyzed long-term (5 years) volatility changes vis-à-vis its long-term impact on value,
they found that it is only earnings volatility changes that appear to be significantly linked
to value changes (6%). When they separated between positive and negative changes in
earnings volatility, they show that the impact is mostly prevalent during volatility
increases, confirming that the market seems to be concerned rather with volatility
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