értekezés - Budapesti Corvinus Egyetem

[2003] discovers that corporate governance variables are significant in explaining a firm’s
hedging decision, whereas proxies for frictional costs, such as leverage, are not.
A mintavételezési torzítás hipotézise
Lookman [2005b], hence, tests an alternate hypothesis, referred to as the aliasing
hypothesis, which posits that hedging does not causally increase firm value. Rather, the
apparent valuation effect arises simply because hedging is a noisy proxy for other factors
that have a marked effect on firm value and that have not been previously considered when
analyzing the firm value – hedging relationship. He focuses on agency conflict and
managerial skill explanations as a candidate set of possible omitted factors, and then
examine whether hedging remains significant in explaining firm value after also
controlling for these factors. 200
He finds that controlling only for the operating efficiency (superior managerial skills)
reduces the apparent hedging discount by about 40%, and hedging is no longer statistically
significant in explaining firm value. If also controlling for agency costs, the hedging
discount decreases in magnitude by 60%. Finally, including the financing efficiency index
(CFO’s skill) virtually eliminates the discount, with the total reduction being on the order
of 90+%. His results are consistent with the aliasing hypothesis: with the inclusion of these
factors, the magnitudes of the valuation effects attributed to hedging are considerably
reduced, and hedging is no longer a significant explanatory variable for firm value.
Lookman [2005b] looks for answers to why managerial skills and agency conflicts may
correlate hedging policy and firm value. In firms with high agency conflicts between
managers and shareholders, managers might be engaging in a variety of value-destroying
activities – as described in earlier sections. As suggested by Tufano [1998], for example,
200 Lookman [2005b] uses institutional and insider ownership, and the corporate governance index developed
by Gompers et al. [2003] to construct proxies for agency costs between managers and shareholders, and
develops two indexes based on production information and capital structure to proxy for managerial quality.
His underlying assumption is that if management owns a significant portion of the company, its incentives
will be better aligned with that of outside shareholders, resulting in low agency conflicts. Similarly,
institutional investors are more likely to monitor management and ensure they work in the interest of the
shareholders. With respect to managerial skills, he assumes that firms with superior management will also
have higher levels of production and a higher proportion of productive assets. Furthermore, by measuring of
how close to optimal is the capital structure of the firm from the perspective of the trade-off theory, one can
proxy for the CFO’s skills.
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