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Journal of Business & Financial Affairs

ISSN: 2167-0234

Open Access

James M Nelson

Department of Finance, East Carolina University, Mail Stop, Greenville, North Carolina, USA

Publications
  • Research Article   
    The Impact of Hedging on the Market Value of Equity: A New Look Through a New Sample
    Author(s): James M Nelson*

    I use the Fama and French five-factor model to reexamine the seemingly anomalous result of Nelson, Moffitt, and Affleck-Graves, who document significant abnormal returns for firms that hedge. Applying the latest five-factor model on a new sample of U.S. firms from 2013-2021, I observe significant monthly abnormal returns of 0.274% (3.34% annually) for firms using derivative securities (hedgers). Additional analysis shows mixed results regarding the economies of scale and managerial sophistication hypotheses that predict any abnormal returns from hedging should be confined only to large firms... Read More»
    DOI: 10.37421/ 2167-0234.2024.12.468

    Abstract HTML PDF

Google Scholar citation report
Citations: 1726

Journal of Business & Financial Affairs received 1726 citations as per Google Scholar report

Journal of Business & Financial Affairs peer review process verified at publons

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