Document Type Master's Dissertation Author Towle, NIcholas Richard URN etd-04012010-125509 Document Title The impact of corporate hedging on stock price performance Degree MBA Department Gordon Institute of Business Science Supervisor
Advisor Name Title Prof A Saville Supervisor Keywords
- hedge funds
Date 2007-04-07 Availability unrestricted Abstract A database of derivative usage was constructed from the annual reports of all non-financial JSE-listed companies. The data was used to quantify the extent of derivative usage in South African and to construct the portfolios necessary to calculate the risk factors for the regression model. The Fama and French four-factor model was used as the basis for the regression analysis necessary to show whether or not hedging has a positive impact on annual stock price performance.
The results show that hedging is prevalent in South Africa. However, the results provide evidence that corporate hedging through the use of derivative instruments is only a value-adding strategy for firms that exclusively use currency derivatives. The use of commodity or interest rate derivatives is not a value-adding strategy, nor is the use of currency derivatives in conjunction with commodity or interest rate derivatives.
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Please cite as follows:
Towle, NR 2006, The impact of corporate hedging on stock price performance, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-04012010-125509/ >
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