| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4742 |
| DP4742 Complementarities and Games: New Developments | |
| Xavier Vives | |
| 发表日期 | 2004-11-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We analyse the demand for hedging and insurance by a firm that faces liquidity risk. The firm's optimal liquidity management policy consists of accumulating reserves up to a threshold and distributing dividends to its shareholders whenever its reserves exceed this threshold. We study how this liquidity management policy interacts with two types of risk: a Brownian risk that can be hedged through a financial derivative, and a Poisson risk that can be insured by an insurance contract. We find that the patterns of insurance and hedging decisions as a function of liquidity are poles apart: cash-poor firms should hedge but not insure, whereas the opposite is true for cash-rich firms. We also find non-monotonic effects of profitability and leverage. This may explain the mixed findings of empirical studies on corporate demand for hedging and insurance. |
| 主题 | Financial Economics |
| 关键词 | Liquidity risk Risk management Corporate hedging |
| URL | https://cepr.org/publications/dp4742 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533659 |
| 推荐引用方式 GB/T 7714 | Xavier Vives. DP4742 Complementarities and Games: New Developments. 2004. |
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