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Does Hedging Affect Firm Value? Evidence from a Natural Experiment

Erik Gilje

出版	SSRN, 2019
URL	http://books.google.com.hk/books?id=2ET-zgEACAAJ&hl=&source=gbs_api

註釋

We exploit an exogenous change in basis risk in the oil and gas industry to analyze the channels through which hedging affects firm value. Using a difference-in-differences framework, we find that firms affected by a basis risk shock reduce investment, have lower valuations, sell assets, and reduce debt. Our findings are driven by firms with ex ante high leverage. Overall, our results provide evidence that reducing the probability of financial distress and underinvestment risk are first-order channels through which hedging affects firm value.