The Value of Corporate Risk Management
建模并估计企业风险管理的价值，发现对冲收入凹性风险或暴露成本凹性风险分别占企业价值的2%至3%，对34家炼油企业的实证结果支持模型。
ABSTRACT We model and estimate the value of corporate risk management. We show how risk management can add value when revenues and costs are nonlinearly related to prices and estimate the model by regressing quarterly firm sales and costs on the second and higher moments of output and input prices. For a sample of 34 oil refiners, we find that hedging concave revenues and leaving concave costs exposed each represent between 2% and 3% of firm value. We validate our approach by regressing Tobin's q on the estimated value and level of risk management and find results consistent with the model.