Do firms hedge in order to avoid financial distress costs? New empirical evidence using bank data
提出新方法检验财务困境成本理论，利用德国189家中型企业的衍生品合约数据、巴塞尔II违约概率和历史会计信息，发现对冲比率差异可被财务困境成本解释，支持该理论。
Abstract We present a new approach to test empirically the financial distress costs theory of corporate hedging. We estimate the ex‐ante expected financial distress costs, which serve as a starting point to construct further explanatory variables in an equilibrium setting, as a fraction of the value of an asset‐or‐nothing put option on the firm's assets. Using single‐contract data of the derivatives' use of 189 German middle‐market companies that stems from a major bank as well as Basel II default probabilities and historical accounting information, we are able to explain a significant share of the observed cross‐sectional differences in hedge ratios. Hence, our analysis adds further support for the financial distress costs theory of corporate hedging from the perspective of a financial intermediary.