If the creditworthiness of a counterparty is a derivative of a commodity price, there is the potential to have right … stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …

Purpose – This study develops a non-traditional measure of risk, an Exposure-Based Volatility, for the non … applied in order to provide a reliable Exposure-Based Volatility measure. The empirical analysis is applied on a particular … Bulgarian transport company.Findings – The current analysis concludes that the proposed measure of exposure-based volatility …

companies' risk management strategies and provide information on the effectiveness of hedging. In this study, we attempt to …

Disclosure standards mandate the quantitative disclosure of hedging-instrument related risks but not the disclosure of … item disclosures alongside quantitative hedging instrument risk disclosures, affects investors' integration of information … result, risk and investment judgments were influenced by the more prominent quantitative hedging instrument disclosures. Our …

Disclosure standards mandate the quantitative disclosure of hedging-instrument related risks but not the disclosure of … item disclosures alongside quantitative hedging instrument disclosures, affects investors' integration of information from …, risk and investment judgments were influenced by the more prominent quantitative hedging instrument disclosures. Our second …

volatility associated with derivative hedging post-FAS 133. These results are robust to the use of various model and method … derivative hedging are partial substitutes in smoothing earnings before 1999. In this study, we investigate whether FAS 133 … S&P 500 non-financial firms during 1996-2006, we find that the substitution relation between derivative hedging and …

This paper is the first to study the effect of enhanced derivative and hedging footnote disclosures on information … asymmetries in bank loan contracting. Utilizing the issuance of SFAS 161, we employ a difference-in-differences design to evaluate … 3,732 bank loans for 1,126 firms in the United States between 2002 and 2017. We find that borrowers whose disclosures …

complementary measures: (1) actual changes in firms' derivative and hedging disclosures, and (2) pre-SFAS 161 levels of firms …' derivative and hedging activities. Both measures provide consistent evidence that bid-ask spreads decreased more for firms whose … reduced information asymmetry among investors regarding the effects of derivative and hedging activities on firm value. These …

This paper investigates corporate hedging under regret aversion. Regret-averse firms try to avoid deviations of their … hedging policy from the ex post best policy, an intuitive consideration if one has to justify one's decisions afterward. The … aversion reduces the hedging of price risk to avoid large regret in the case of increasing prices. The results show that regret …