.png){kind=icon}
Return
Hedging and competition
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jfineco.2008.10.008.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
We consider firms that, all else equal, wish to minimize variability in their internal capital(due to convex costs of raising external funds). The firms can hedge the cash flow risk of the project, but not that of winning or losing the auction. We characterize optimal hedging and bidding strategies in this competition framework. We show that access to financial markets makes firms bid more aggressively, possibly even above their valuation for the project. In addition, hedging increases the variance of bids and makes firm values more dispersed. Further, with hedging, the covariance of internal capital changes with the risk factor is negative, and is more negative, the higher the correlation of the hedging instrument with the risk factor. (C) 2009 Elsevier B.V. All rights reserved.
Keywords:
Hedging
Competition
Auctions
Contingent risk
Journal
IF:
12
Papers:
3.8K
Citations:
5.5W
Organization
Cited Papers
ShareSaveMethods for Applied Mobile Digital Library Research: A Framework for Extensible Wayfinding Systems
PREAI
ShareSaveShareSaveOn the existence of pure strategy monotone equilibria in asymmetric first-price auctions.png)
ECONOMETRICA
ECONOMETRICAIF7.1
PREAI
ShareSaveRISK MANAGEMENT - COORDINATING CORPORATE-INVESTMENT AND FINANCING POLICIESJOURNAL OF FINANCE
OAAI
JOURNAL OF FINANCEIF9.5
OAAIShareSaveShareSaveShareSave
View more