Hedging and Performance Evaluation
Hedging and Performance Evaluation
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对冲和绩效评估
DOI：
10.2139/ssrn.137428
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发表时间：
1999
期刊：
影响因子：
--
通讯作者：
B. Jorgensen
中科院分区：
文献类型：
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作者：
B. Jorgensen
本文首先研究一期代理环境中对冲的价值，其中经理的行为影响公司的营业利润和对冲利润。对冲发生在期货市场，一些交易者可能会被告知（关于未来现货价格）。该文件确定了经理的对冲活动对股东有价值的条件。如果经理是一个不知情的交易者，对冲就很有价值，因为它减轻了经理和股东之间的道德风险问题。我还确定，如果没有交易者被告知，股东的利益比如果某些交易者（但不是经理）被告知的利益更大。此外，股东可能更喜欢经理不知情而不是知情，即使知情的经理可以获得正的交易利润。随后，本文评估了两期代理框架中递延对冲会计和按市值计价会计的经济后果，其中经理的活动仅限于收集有关期货合约基差风险的信息。我证明，在递延对冲会计中，管理者永远不会偏离第一最佳对冲策略，而在按市值计价的会计中，必然会出现对冲扭曲。
This paper begins by investigating the value of hedging in a one-period agency setting, where the manager's actions affect both the operating profits and hedging profits of the firm. Hedging takes place in a futures market in which some traders may be informed (about the future spot price). The paper identifies conditions under which the manager's hedging activities are valuable to shareholders. If the manager is an uninformed trader, hedging is valuable because it alleviates the moral hazard problem between the manager and the shareholders. I also establish that the shareholders' benefits are greater if no traders are informed than if some trader (but not the manager) is informed. Moreover, shareholders may prefer that the manager is uninformed rather than informed, even though an informed manager earns positive trading profits. Subsequently, this paper evaluates the economic consequences of deferred hedge accounting and mark-to-market accounting in a two-period agency framework where the manager's activities are confined to collecting information about the basis risk of a futures contract. I show that, with deferral hedge accounting, the manager never deviates from a first best hedging strategy, whereas with mark-to-market accounting, hedging distortions must occur.