Does Hedging Affect Firm Value? Evidence from a Natural Experiment
利用油气行业基差风险的外生变化，通过双重差分法发现套期保值通过降低财务困境和投资不足风险来影响企业价值，尤其对高杠杆企业影响显著。
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. Received October 5, 2015; editorial decision December 22, 2016 by Editor David Denis.