Hedging firm's idiosyncratic risk from commodity financialization

被引：1

作者：

Yang, Baochen ^{[1
]}

Geng, Peixuan ^{[1
,3
]}

Fan, Ying ^{[2
]}

机构：

[1] Tianjin Univ, Coll Management & Econ, Tianjin 300072, Peoples R China

[2] Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China

[3] 92,Weijin Rd, Tianjin, Peoples R China

来源：

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2023年 / 88卷

关键词：

Commodity financialization; Firm 's idiosyncratic risk; Derivative usage; Diversification strategy; Business setting; CRUDE-OIL; MARKET VOLATILITY; INDEX FUNDS; EQUITY; PERFORMANCE; COST; INVESTMENT; EXPOSURE; DIVERSIFICATION; DETERMINANTS;

D O I：

10.1016/j.iref.2023.07.012

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the effect of commodity financialization on firm's idiosyncratic risk. Our results reveal a positive effect of commodity financialization on firm's idiosyncratic risk. Derivative usage and diversification strategy can negatively moderate the positive effect. Moreover, the positive effect of commodity financialization and the moderating effects of derivative usage and diversification strategy are more pronounced in firms with lower-quality information environ-ment, lower hedging efficiency, and higher cash flow volatility. Additionally, we find that the relationship between the two hedging instruments is complementary, and the increased idio-syncratic risk caused by commodity financialization can be priced into the cost of equity.

引用

页码：815 / 842

页数：28

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