Coberturas financieras con derivados y su incidencia en el valor de mercado en empresas colombianas que cotizan en Bolsa

Translated title of the contribution: Financial hedging with derivatives and its impact on the Colombian market value for listed companies

César Augusto Giraldo-Prieto, Gabriel Jaime González Uribe, Cristhian Vesga Bermejo, Diana Carolina Ferreira Herrera

Research output: Contribution to journalArticlepeer-review

6 Scopus citations

Abstract

The financial theory (Modigliani & Miller, 1958) presents risk management as a matter without importance in companies, given that the shareholders themselves managed their hedges, diversifying their portfolios. However, subsequent studies dispute said premise and present evidence that business financial hedging improves performance and increases the value of the same (Ahmed, Azevedo, & Guney, 2014; Allayannis & Weston, 2001; Kapitsinas, 2008). The efficient market risk management is supported in the financial derivatives, and demands strategic and efficient administrators in hedges that add value, especially in the face of clashes and macroeconomic and financial imbalances. The empirical evidence analyzes the behavior of the Q-Tobin as an indicator of the effect of the hedge strategies for the exchange rate associated to the market value. The aim of this work is to find evidence in Colombia on the effect of the use of derivatives in the market value of the company. Its added value lies in the analysis that is done by economic sectors, identified by ISIC codes and grouped into five (5) macro sectors (Agriculture and livestock, Commercial, Industrial or Manufacture, Services, and Construction). The methodology used includes the estimation of several regression models in data panels, using a Pooled regression model with fixed and random effect estimators through the maximum likelihood estimator. In general, a statistical and financially significant premium for hedges was found for companies exposed to exchange rate risks that use derivatives of a 6.3% average on the market value. Additionally, mixed results were found in relation to the variables analyzed in the model.

Translated title of the contributionFinancial hedging with derivatives and its impact on the Colombian market value for listed companies
Original languageSpanish
Pages (from-to)1572-1590
Number of pages19
JournalContaduria y Administracion
Volume62
Issue number5
DOIs
StatePublished - Dec 2017

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