Finance Research Letters ( IF 10.4 ) Pub Date : 2023-05-18 , DOI: 10.1016/j.frl.2023.104012 Neeru Chaudhry, Aastha Gupta
We show that for a sample of 1,882 publicly listed Indian firms and sample period from 2016 to 2021, derivative-usage significantly reduces the idiosyncratic stock return volatility. The negative effect of derivative-usage on idiosyncratic volatility is more pronounced for firms with poor information environment, and financially-constrained and distressed firms. The quality of corporate governance does not influence the relationship between derivative-usage and firm risk. The valuation of derivative-user firms is significantly higher than that of non-derivative-user firms. Overall, using derivatives benefits the firms using them, both in terms of reducing risk and creating value for the shareholders.
中文翻译:
衍生品对股东有利吗?来自印度的证据
我们表明,对于 1,882 家印度上市公司的样本和 2016 年至 2021 年的样本期,衍生品的使用显着降低了特殊股票收益的波动性。对于信息环境差的公司、财务受限和陷入困境的公司,衍生品使用对异质波动率的负面影响更为明显。公司治理的质量不影响衍生品使用与公司风险之间的关系。衍生品用户公司的估值明显高于非衍生品用户公司。总的来说,使用衍生品有利于使用它们的公司,既可以降低风险,也可以为股东创造价值。