Critical Finance Review, 2016, 5: 351–398

公司應該怎樣對沖市場風險？

作者：Bhagwan Chowdhry (University of California, Los Angeles), Eduardo Schwartz (University of California, Los Angeles)

摘要：考慮一家公司，其股票收益受到市場收益和一個特質的與市場正交的因子的影響。因為複合的作用，公司的現金流水平由市場的水平和特質因子的水平聯乘決定。雖然針對市場指數的大規模對沖使現金流的波動最小化，但是這種對沖不能最小化由真實現金流低于帳務阈值而導緻的财務困境的成本。因而，基于資産收益率回歸估計的對沖比率是不正确的，這一結論甚至在連續時間和動态對沖政策的條件下也成立。我們的文章為那些希望對沖掉由市場風險帶來不良後果的公司提供了一些簡單的啟發。

How Should Firms Hedge Market Risk?

Bhagwan Chowdhry (University of California, Los Angeles), Eduardo Schwartz (University of California, Los Angeles)

ABSTRACT

Consider a firm whose stock returns are affected by market returns and an idiosyncratic market-orthogonal factor. The level of the firm’s cash flows depends on the level of the market and the level of the idiosyncratic factor multiplicatively because of compounding. Although a large hedge against the market index minimizes the variance of cash flows, such a hedge does not minimize the costs of financial distress associated with low cash flow realizations below a debt threshold. A hedge ratio based on asset-rate-of-return regression estimates is then incorrect. This holds even in continuous time and with dynamic hedging policies. Our paper provides a simple heuristic for corporations wishing to hedge out the adverse consequences of market risk.

原文鍊接：http://cfr.ivo-welch.info/readers/pub/cfr-0023.pdf

翻譯：任兆月