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1、JOURNALOFFINANCIALANDQUANTITATIVEANALYSISVol.46,No.4,Aug.2011,pp.967–999COPYRIGHT2011,MICHAELG.FOSTERSCHOOLOFBUSINESS,UNIVERSITYOFWASHINGTON,SEATTLE,WA98195doi:10.1017/S0022109011000275TheEffectsofDerivativesonFirmRiskandValueS¨ohnkeM.Bartram,GregoryW.Bro
2、wn,andJenniferConrad∗AbstractUsingalargesampleofnonfinancialfirmsfrom47countries,weexaminetheeffectofderivativeuseonfirmriskandvalue.Wecontrolforendogeneitybymatchingusersandnonusersonthebasisoftheirpropensitytousederivatives.Wealsouseanewtechniquetoestimate
3、theeffectofomittedvariablebiasonourinferences.Wefindstrongevidencethattheuseoffinancialderivativesreducesbothtotalriskandsystematicrisk.Theeffectofderivativeuseonfirmvalueispositivebutmoresensitivetoendogeneityandomittedvariableconcerns.However,usingderivati
4、vesisassociatedwithsignificantlyhighervalue,abnormalreturns,andlargerprofitsduringtheeconomicdownturnin2001–2002,suggest-ingthatfirmsarehedgingdownsiderisk.I.IntroductionDerivativesarefinancialweaponsofmassdestruction.—WarrenE.Buffett,2003BerkshireHathawayAnn
5、ualReportThefinancialcrisisof2008–2009hasbroughtnewscrutinytotheuseoffinancialderivatives.Recentproposalsinmajorcountries,includingtheUnitedStates,callforgreaterregulationofover-the-counter(OTC)derivatives,includ-ingconditionsformarkingpositionstomarketpric
6、es,traderegistration,tradeclearing,exchangetrading,andhighercapitalandmarginrequirements.∗Bartram,s.m.bartram@lancaster.ac.uk,LancasterUniversity,ManagementSchool,LancasterLA14YX,UnitedKingdom,andStateStreetGlobalAdvisors;Brown,gregwbrown@unc.edu,Con-rad,
7、jconrad@unc.edu,Kenan-FlaglerBusinessSchool,UniversityofNorthCarolinaatChapelHill,CB3490,ChapelHill,NC27599.WethankHendrikBessembinder(theeditor),EvgeniaGolubeva,ReintGropp,PeterPope,PeterTufano(thereferee),GautamVora,TracyYueWang,ChuZhang,andseminarparti
8、cipantsatthe2009MeetingsoftheWesternFinanceAssociation,18thAnnualCon-ferenceonFinancialEconomicsandAccounting,2006FinancialIntermediationResearchSocietyConference,2007MeetingsoftheFinancialManagementAssociation,DePa
