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1 RESEARCH REPORT

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9 1 Office of Comptroller of the Currency Accounting for Instruments and Hedging Activities 1998 June 1 Underlying Notional Amount Payment Provision 2 3 Swap 1 ZZ

10 1 Interest Rate Futures Foreign Currency Futures Stock Index Futures Forward Rate Options Swaps Interest Rate Options Foreign Currency Options Stock Index Options Individual Stock Options Options On Futures Caps Floors Collars Swap Options 3

11 Hedging

12 Off-Balance-Sheet 1 Forward Contract 2 Future Contract 3 Option Contract 4 Swap Contract 2. On-Balance-Sheet 5

13 Modigliani Miller 1958 Modigliani Miller

14 2 Homemade 3 Grinblatt Titman 1998 Mayers Smith 1982 Smith Stulz 1985 Smith Stulz 1985 Nance 1993 Nance 1993 Froot 1993 Gay Nam 1998 Smith Stulz 1985 Smith Stulz 1985 Froot 1993 Froot Stein 1998 Géczy 1997 Smith Stulz Investment Tax Credits 2 Income 2 Grinblatt Titman

15 Tax Losses 3 Convex Function DeAngelo Masulis 1980 Nance Dolde 1995 Tax Loss Carryforwards Nance 1993 Mian

16 Mayers Smith 1982 Smith Stulz 1985 Nance 1993 Financial Distress Warner 1977 Block Gallagher 1986 Booth Smith Stolz 1984 Nance Mian 1996 Géczy 1996 Fehle Block Gallagher 1986 Wall Pringle 1989 Dolde 1995 Samant

17 Froot 1993 Froot Stein 1998 Underinvestment Myers 1977 Froot 1993 Nance 1993 Géczy 1996 Dolde 1995 Samant

18 Smithson Acting on a View Jensen

19 Smith Stulz 1985 Friend Hasbrouck 1987 Friend Lang 1988 Tufano 1996 Berkeman Bradbury 1996 Geczy Minton Schrand 1997 Froot Scharfstein Stein 1993 DeMarzo Duffie 1991 Geczy 1997 Breeden Viswanathan 1996 DeMarzo Duffie

20 DeMarzo Duffie Performance-based Contracts Nain

21 Dolde 1995 Tax Loss Carryforwards Nance 1993 Berkman Bradbury 1996 Main 1996 Tufano 1996 Geczy 1997 Nance Mian 1996 Géczy 1996 Dolde 1995 Berkemanand Bradbury 1996 Nance Smith Smithson 1993 Geczy Minton Schrand t Nance 1993 Géczy 1996 Dolde 1995 Samant Block Gallagher 1986 Wall Pringle 1989 Dolde 1995 Samant

22 Gay Nam 1998 Tufano 1996 Lookman 2004 Frictional Costs Hypothesis 15

23 Allayannis Weston 2001 Allayannis 2003 Bartram 2003 Carter 2004 Graham Rogers 2002 Tufano 1998 Convergence of Interest Hypothesis Morck Shleifer Vishny Allayannis Weston 2001 Tobin s Q 3 8 Carter Bartram

24 Small Secondary Risks Brown 2001 Guay Kothari Off-balance-sheet On-balance-sheet 17

25 Nance Smith Smithson 1993 Dividend Preference Cumulative Noncumulative Participating Nonparticipating Froot Scharfstein Stein 1993 Underinvestment 18

26 On-balance-sheet On-balance-sheet Nance Smith Smithson 1993 Smith Warner 1979 Allayannis Weston 2001 Allayannis 2003 Bartram 2003 Carter 2004 Graham Rogers 2002 Allayannis Weston 2001 Tobin s Q 3 8 Carter Bartram

27 Guay Kothari 2003 Guay Kothari Hentschel Kothari 2001 Freeman 1984 Donaldson Preston

28 1 2 Wang 2003 Nance 1993 Nance 1993 Block Gallagher 1986 Wall Pringle

29 Shapiro and Titman 1986; Wentges

30 Off-balance-sheet Nance

31 1 2 3 Bank for International Settlements , ,

32 Dolde Wharton survey COMPUSTAT 25

33 Dolde 1995 Alkeback Hagelin Bodnar Gebhardt Wharton Survey 1995 Wharton Survey Aldeback Hagelin

34 Wharton survey Bodnar Gebhardt Aldebackand Hagelin Horng Wei 1999 Wharton survey 1995 Jesswein Horng Wei Over the Counter

35 Bartram , OECD OECD 64.3 OECD Swaptions Captions Collars Floortions 28

36 5 Bartram., 2005, International Evidence on Financial Derivatives Usage,working paper. 29

37 UMPEC 3 Bartram

38 A %

39 % (CBOT) CBOT

42 Mayers Smith 1982 Smith Stulz 1985 Underinvestment Froot 1993 Nance

43 Nance Smith Smithson 1993 Managerial Risk Hypothesis Jensen

44 1 / 37

45 2 / Smith Stulz 1985 Nance 1993 Geczy Market/book Ratio 2 3 / Nance 1993 Geczy P/E 2 3 Market/book Ratio E ( DPS ) E ( DPS ) m t t+ i t t+ i t = + ' i ' i i= 1 (1 + r e) i= m+ 1 (1 + r e) P D D (1 + g ) D (1 + g ) (1 + g ) = + ( r g ) ( r g )(1 r ) ( r g )(1 r ) m+ 1 m ' ' ' m ' ' m e 1 e 1 + e e 2 + e P t E t DPS t+1 r e D 1 g 1 g 2 m m 3 g 1 38

46 g 2 m t Nance 1993 Geczy 1997 Smith Stulz 1985 Tufano 1996 Geczy

47 6 1 / 0 Nance 1993 Sinkey 2000 Nance 1993 Berkman 1996 Nance 1993 Geczy + / Nance 1993 Geczy Berkman 1996 Gay 1998 / / / Main 1996 / / / / / Main 1996 Berkman

48 T 7 30% T T 41

49 T P 8 T T P ROE EPS ROA Q % 0 9 Pearson 0.6 Logistic 9 Pearson Correlation

50 Logistic p Logit( p) = L = ln( ) = α + βx + u 1 p 1 Y Y = 1 Y = 0 a a1 a2 a N = (,, K ) β 1 s β = ( β1, β2, L, β s ) x = ( x, x, L, x ) s N i i i1 i2 is i N s 1 j s u N 1 u u1 u2 u N = (,, L, ) N ( i) p = Pr Y = 1 x Logistic i β x L p i = E( Y = 1 x i) = 1+ 1 ( x) e α + β 2 α β 10 LR 10-2 Log likelihood Cox & Snell R Nagelkerke R % 43

51 %

52 10 LR *** *** Log likelihood Cox & Snell R Square Nagelkerke R Square *** ** *

53 i 0 1 i j ji i j= 2 n Y = β + βd + β X + ε Y i D i 1 0 X i β 1 β

54 12 T T t R F Prob>F P P

55 Off-balance-sheet On-balance-sheet i 0 1 i j ji i j= 2 n Y = β + βd + β X + ε Y i D i 48

56 1 0 X β 1 β i

57 14 T T R F Prob>F P P

58 7 + + / 51

59 Daqing Qi Market/book Ratio

60 / 2005 / Daqing Qi 2000 / / / 2005 / i 0 1 i j ji i j= 2 n Y = β + βd + β X + ε Y i D i 1 0 X β 1 β 1 i ROE ROA Q ROE 53

61 ROE ROA Q

62 17 ROE ROA Q * * * * * ** ** * * R F Prob>F ** 5% * 10% On-balance-sheet Nance Smith Smithson 55

63 1993 i 0 1 i j ji i j= 2 n Y = β + βd + β X + ε Y i D 1 0 X β 1 β ROE i i 56

64 19 T T ROE *** R F Prob>F P P

68 61

70 1 Allayannis, G., and J.P. Weston, 2001, The Use of Foreign Currency Derivatives and Firm Market Value, Review of Financial Studies, 14:1, Allayannis, Y., G. Brown and L. Klapper, 2003, Capital Structure and Financial Risk: Evidence from East Asia, Journal of Finance, 58:6, Allayannis, Y., U. Lel, and D. Miller, 2003, Corporate Governance and the Hedging Premium around the World. Darden School working paper. 4 Bartram, S. M., Gregory W. Brown, and Frank R. Fehle,2005, International Evidence on Financial Derivatives Usage,working paper. Kenan-Flagler Business School, University of North Carolina at Chapel Hill. 5 Bodnar, G. M., G. S., Hyat and Marston, R. C., 1996, wharton survey of derivatives usage by us non-financial firms, Financial Management, 25 4, Bodnar, G.M., G. S., Hyat and R.C. Marston, 1998, 1998 Wharton Survey of Financial Risk Management by US Nonfinancial Firms, Financial Management 27:4, Carter, D., Rogers, D., and Simkins, B., 2003, Does Fuel Hedging Make Economics Sense? The Case of the US Airline Industry. Oklahoma State University working paper. 8 DeMarzo, P. M. and Duffie, D., 1995, Corporate inventives for hedging and hedge accounting, Review of Financial Studies, 8 3 : Downie, D., J. McMillan and E. Nosal, 1996, The University of Waterloo Survey of Canadian Derivatives Use and Hedging Activities. In Managing Financial Risk, Yearbook 1996, 10 Froot, K.A., D.S. Scharfstein, and J.C. Stein, 1993, Risk Management: Coordinating Corporate Investment and Financing Policies, Journal of Finance 48:5: Géczy, C., B.A. Minton, and C. Schrand, 1997, Why Firms Use Currency Derivatives, Journal of Finance 52:4: Grinblatt, M. and Titman, S.,1998, Financial markets and Corporate Strategy, Irwin/McGraw-Hill, Boston, MA. 63

71 13 Graham, J. R., 1996, Debt and the Marginal Tax Rate, Journal of Financial Economics, 41: Guay, W., 1999, The Impact of Derivatives on Firm Risk: An Empirical Examination of NewDerivatives Users, Journal of Accounting and Economics 26, Haushalter, D., 2000, Financing policy, basis risk, and corporate hedging: Evidence from oil and gas producers, Journal of Finance 55 1, Mian, S.L., 1996, Evidence on Corporate Hedging Policy, Journal of Financial and Quantitative Analysis 31:3: Modigliani, F., and M.H. Miller, 1958, The Cost of Capital, Corporation Finance, and the Theory of Investment. American Economic Review 48 3, Nance, D.R., C.W. Smith, Jr., and C.W. Smithson, 1993, On the Determinants of Corporate Hedging, Journal of Finance 48 1, Nain, A., 2004, The Strategic Motives for Corporate Risk Management,Working Paper, University of Michigan. 20 Smith, C.W., and R.M. Stulz, 1985, The Determinants of Firms' Hedging Policies, Journal of Financial and Quantitative Analysis 20 4, Stulz, R.M., 1984, Optimal Hedging Policies, Journal of Financial and Quantitative Analysis 19 2, Stulz, R.M., 1990, Managerial Discretion and Optimal Hedging Policies, Journal of Financial Economics 26 1, Tufano, P., 1996, Who Manages Risk? An Empirical Examination of the Risk Management Practicesin the Gold Mining Industry, Journal of Finance 51 4,

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1 CAPM CAPM % % Wippern, aGebhardt Lee Swaminathan % 5.10% 4.18% 2 3 1Gebhardt Lee Swa

1 CAPM CAPM % % Wippern, aGebhardt Lee Swaminathan % 5.10% 4.18% 2 3 1Gebhardt Lee Swa Zingales 2000 Corporate finance is the study of the way firms are financed 1 2 3 1 2 3 4 1 2 1 1 1 CAPM CAPM 2001 2.42% 20002001 1.18% Wippern, 1966 2003aGebhardt Lee Swaminathan 2003 1 1998 2000 1 1998