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

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

Resultado de la investigación: Artículos / NotasArtículo Científicorevisión exhaustiva

7 Citas (Scopus)

Resumen

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.

Título traducido de la contribuciónFinancial hedging with derivatives and its impact on the Colombian market value for listed companies
Idioma originalEspañol
Páginas (desde-hasta)1572-1590
Número de páginas19
PublicaciónContaduria y Administracion
Volumen62
N.º5
DOI
EstadoPublicada - dic. 2017

Palabras clave

  • Derivative instruments
  • Financial hedging
  • Market risk
  • Market value

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