Financial risk exposures and risk management: evidence from european nonfinancial firms

A exposição ao risco financeiro e a gestão do risco: o caso das empresas europeias não financeiras

La exposición al riesgo financiero y la gestión de riesgos: el caso de las empresas europeas no financieras

Abstracts

Previous empirical studies concerning corporate risk management have attempted to show that the use of derivatives as a hedging mechanism can be value enhancing. Implicit to these tests has been the assumption that firms use derivatives solely for the purpose of hedging. There is substantial literature concerning nonfinancial firms that suggest that changes in financial prices affect firms' value. Furthermore, it is a common belief that financial price exposures are created via firms' real operations and are reduced through the implementation of financial hedging strategies. We use monthly returns of 304 European firms traded in Euronext over the period from 2006-2008 to analyse whether risk management practices are associated with lower levels of risk. We pursue Jorion (1990) and Allayannis and Ofek (2001) two stages framework to investigate, firstly, the relationship between firm value and financial risk exposures; subsequently, the risk behaviour inherent to firms' real operations and to the use of derivatives and other risk management instruments. So, we argue that hedging policies affect the firm's financial risk exposures; however, we do not discard the fact that the magnitude of a firm's exposure to risks affects hedging activities. The interaction between financial price exposures and hedging activities is tested by using the Seemingly Unrelated Regression (SUR) procedure. Our major findings are as follows: Firstly, we find evidence that the sample firms exhibit higher percentages of exposure to the three categories of risks analysed when compared to previous empirical studies. Secondly, we find that hedging is significantly associated with financial price exposure. Our results are also consistent with the idea that financial risk exposure and hedging activities are endogenously related, but only in what respects the exchange risk and commodity risk exposure.

Exposure; Derivatives; Financial risk; Hedging; Risk management

Estudos recentes têm procurado demonstrar que as empresas que utilizam instrumentos derivados com a finalidade de cobrir o risco apresentam valores de mercado superiores. Implícita nessa questão está a suposição de que as empresas utilizam os instrumentos derivados exclusivamente com o propósito de gerir a sua exposição ao risco. No âmbito das empresas não financeiras, verifica-se a existência de vasta literatura que analisa as alterações do valor da empresa impulsionadas por alterações nos preços dos ativos financeiros. É consensual que a exposição aos riscos financeiros emerge por via das atividades operacionais da empresa e que pode ser reduzida mediante a implementação de estratégias de gestão do risco financeiro. Assim, consideraram-se as rendibilidades mensais de 304 empresas europeias cotadas na Euronext no período de 2006-2008, de forma a analisar se as práticas de gestão do risco estão associadas a menores níveis de risco. Adotou-se a metodologia em dois estágios proposta por Jorion (1990) e Allayannis e Ofek (2001), de forma a investigar, primeiro, a relação existente entre o valor da empresa e a exposição aos riscos financeiros, e, posteriormente, o impacto das atividades operacionais da empresa e da utilização de instrumentos de cobertura de risco no nível de exposição ao risco. No entanto, não se desconsidera a hipótese de que a magnitude da exposição possa afetar a decisão de implementar estratégias de cobertura de risco. Essa hipótese de simultaneidade entre a exposição ao risco e a decisão de implementar estratégias de cobertura de risco é investigada por meio da metodologia Seemingly Unrelated Regression (SUR). Entre as principais conclusões, destacamos: 1. existe evidência de que as empresas da amostra exibem níveis de exposição ao risco superiores, quando comparadas com resultados de estudos anteriores; 2. a gestão do risco influencia, de fato, o nível de exposição ao risco financeiro. Finalmente, os resultados confirmam a existência de simultaneidade entre o nível de exposição ao risco e a decisão de empreender actividades de gestão do risco, mas apenas no que respeita à exposição ao risco de taxa de câmbio e ao risco de variação de preço das mercadorias.

Cobertura de risco; Derivados; Exposição ao risco; Gestão do risco; Risco financeiro

Estudios recientes sobre la gestión de riesgos han intentado demostrar que las empresas que promueven el uso de derivados como mecanismo de cobertura de riesgos tienen mayores valores de mercado. Implícita es la suposición de que las empresas utilizan los derivados solamente con el propósito de gestionar su exposición al riesgo. Alguna literatura concerniente a las empresas no financieras sugieren que las fluctuaciones en los precios de los activos financieros afectan el valor de la empresa. Además, es consensual que la exposición a los riesgos financieros erige de las actividades operacionales de la empresa y que se puede reducir mediante la aplicación de estrategias de gestión del riesgo financiero. Tenemos en cuenta los resultados mensuales de 304 empresas europeas cotizadas en el mercado Euronext en el período 2006-2008, para examinar si las prácticas de gestión de riesgos están asociadas con menores niveles de riesgo. Utilizamos la metodología en dos etapas propuesta por Jorion (1990) y Allayannis y Ofek (2001), para investigar, en primer lugar, la relación entre el valor y la exposición a los riesgos financieros y, en última instancia, el impacto de las actividades operativas de la empresa y de lo uso de instrumentos de cobertura en el nivel de la exposición. No obstante, consideramos la hipótesis de que la magnitud de la exposición puede afectar también la decisión de implementar estrategias de cobertura de riesgos. Esta hipótesis de simultaneidad entre la exposición al riesgo y la decisión de implementar estrategias de cobertura es investigada por el método Seemingly Unrelated Regression (SUR). En los resultados destacamos: en primer lugar, evidencia de que las empresas de la muestra revelan porcentajes más altos de exposición al riesgo en comparación con estudios empíricos anteriores; observamos, también, que la gestión de riesgos está significativamente asociada con la exposición al los riesgos financieros. Por último, los resultados confirman la existencia de simultaneidad entre el nivel de exposición al riesgo y la decisión de implementar estrategias de cobertura de riesgos, pero sólo en relación a la exposición al riesgo de cambio y al riesgo de fluctuación de los precios de las mercadorías.

Cobertura de riesgo; Derivados; Exposición al riesgo; Gestión del riesgo; Riesgo financiero

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Publication Dates

• Publication in this collection
  30 Nov 2011
• Date of issue
  Oct 2011

History

• Accepted
  22 July 2011
• Received
  23 Mar 2011