Critical Finance Review, 2016, 5: 351–398

公司应该怎样对冲市场风险？

作者：Bhagwan Chowdhry (University of California, Los Angeles), Eduardo Schwartz (University of California, Los Angeles)

摘要：考虑一家公司，其股票收益受到市场收益和一个特质的与市场正交的因子的影响。因为复合的作用，公司的现金流水平由市场的水平和特质因子的水平联乘决定。虽然针对市场指数的大规模对冲使现金流的波动最小化，但是这种对冲不能最小化由真实现金流低于帐务阈值而导致的财务困境的成本。因而，基于资产收益率回归估计的对冲比率是不正确的，这一结论甚至在连续时间和动态对冲政策的条件下也成立。我们的文章为那些希望对冲掉由市场风险带来不良后果的公司提供了一些简单的启发。

How Should Firms Hedge Market Risk?

Bhagwan Chowdhry (University of California, Los Angeles), Eduardo Schwartz (University of California, Los Angeles)

ABSTRACT

Consider a firm whose stock returns are affected by market returns and an idiosyncratic market-orthogonal factor. The level of the firm’s cash flows depends on the level of the market and the level of the idiosyncratic factor multiplicatively because of compounding. Although a large hedge against the market index minimizes the variance of cash flows, such a hedge does not minimize the costs of financial distress associated with low cash flow realizations below a debt threshold. A hedge ratio based on asset-rate-of-return regression estimates is then incorrect. This holds even in continuous time and with dynamic hedging policies. Our paper provides a simple heuristic for corporations wishing to hedge out the adverse consequences of market risk.

原文链接：http://cfr.ivo-welch.info/readers/pub/cfr-0023.pdf

翻译：任兆月