《金融衍生产品影响上市公司财务政策与公司价值吗？》(1)

RESEARCHREPORT123412……………………………………………………………………………1203912321OfficeofComptrolleroftheCurrency1993133AccountingforInstrumentsandHedgingActivities1998June1UnderlyingNotionalAmountPaymentProvision23Swap1ZZ20050831InterestRateFuturesForeignCurrencyFuturesStockIndexFuturesForwardRateOptionsSwapsInterestRateOptionsForeignCurrencyOptionsStockIndexOptionsIndividualStockOptionsOptionsOnFuturesCapsFloorsCollarsSwapOptions4Hedging20062412312352006241.Off-Balance-Sheet1ForwardContract2FutureContract3OptionContract4SwapContract2.On-Balance-Sheet6ModiglianiMiller1958ModiglianiMiller195872Homemade3GrinblattTitman1998MayersSmith1982SmithStulz1985SmithStulz1985Nance1993Nance1993Froot1993GayNam1998SmithStulz1985SmithStulz1985Froot1993FrootStein1998Géczy1997SmithStulz19851InvestmentTaxCredits2Income2GrinblattTitman199838TaxLosses3ConvexFunctionDeAngeloMasulis1980Nance19931Dolde1995TaxLossCarryforwardsNance1993Mian19969MayersSmith1982SmithStulz1985Nance1993FinancialDistressWarner1977BlockGallagher1986BoothSmithStolz1984Nance19934Mian1996Géczy1996Fehle20044BlockGallagher1986WallPringle1989Dolde1995Samant199610Froot1993FrootStein1998UnderinvestmentMyers1977Froot1993Nance1993Géczy1996Dolde1995Samant199611Smithson19981ActingonaView234Jensen197612SmithStulz1985FriendHasbrouck1987FriendLang1988Tufano1996BerkemanBradbury1996GeczyMintonSchrand1997FrootScharfsteinStein1993DeMarzoDuffie1991Geczy1997BreedenViswanathan1996DeMarzoDuffie199513DeMarzoDuffie19921995Performance-basedContractsNain200514Dolde1995TaxLossCarryforwardsNance1993BerkmanBradbury1996Main1996Tufano1996Geczy1997Nance19935Mian1996Géczy1996Dolde1995BerkemanandBradbury1996NanceSmithSmithson1993GeczyMintonSchrand199719931994t-198820001986Nance1993Géczy1996Dolde1995Samant19965BlockGallagher1986WallPringle1989Dolde1995Samant199615GayNam1998Tufano1996Lookman2004FrictionalCostsHypothesis16AllayannisWeston2001Allayannis2003Bartram2003Carter2004GrahamRogers2002Tufano1998ConvergenceofInterestHypothesisMorckShleiferVishny198840AllayannisWeston2001Tobin’sQ38Carter20041216Bartram200317‘Small’SecondaryRisksBrown2001GuayKothari2003234Off-balance-sheetOn-balance-sheet18NanceSmithSmithson1993DividendPreferenceCumulativeNoncumulativeParticipatingNonparticipatingFrootScharfsteinStein1993Underinvestment19On-balance-sheetOn-balance-sheetNanceSmithSmithson1993SmithWarner1979AllayannisWeston2001Allayannis2003Bartram2003Carter2004GrahamRogers2002AllayannisWeston2001Tobin’sQ38Carter20041216Bartram200320GuayKothari2003GuayKothari2003234HentschelKothari2001Freeman1984DonaldsonPreston19952112Wang2003Nance1993Nance1993BlockGallagher1986WallPringle198922ShapiroandTitman1986;Wentges200023Off-balance-sheetNance199324123BankforInternationalSettlements90231998803092004248288200210,328.10200520,431.5020041873402957543851439252“InternationalEvidenceonFinancialDerivativesUsage”,workingpaper.307019734472409019921993UMPEC3Bartram200545.233.110.020042003200413416612961872313.526261380A20052004200530123345671300005500006000061200063000080700083100087700087800096000203260029660036260053129.54%2005161711965320056302118275232420052.48693.59%2.48200420041215.542005916(CBOT)4660714CBOT20052580020056335000620043300062036701060802004200520071134222437123456200735MayersSmith1982SmithStulz1985UnderinvestmentFroot1993Nance199336NanceSmithSmithson1993ManagerialRiskHypothesisJensen1976371/382/SmithStulz1985Nance1993Geczy199720001Market/bookRatio23/Nance1993Geczy199720001P/E23Market/bookRatio''11()()(1)(1)mttittitiiiimeeEDPSEDPSPrr∞++==+=+++∑∑1111112'''''112(1)(1)(1)()()(1)()(1)mmmmeeeeeDDgDggrgrgrrgr++++=−+−−+−+PtEtDPSt+1re1D1g2gmm31g392gmtNance1993Geczy1997SmithStulz1985Tufano1996Geczy1997200040610/Nance1993Sinkey2000Nance1993Berkman1996+/Nance1993Geczy19971998Nance1993Geczy19971998Berkman1996Gay1998///Main1996/////Main1996Berkman19961402005391423120042413200445T730%719.383023.550221.44430.0962-0.203219.38300.000033.13969.73141.17310.13430.00007.8450763.970350.27675.628933.42917.8450-16.8260167.347647.82911.02062.4677-16.82600.888910.63552.30393.864318.47830.88891.27404238.6226121.72226.239038.94861.27400.01900.15700.04592.33518.77950.01900.01580.14570.05371.92854.48860.01580.24007.31001.15623.843418.25540.240016.230071.430046.5713-0.1895-0.782216.23000.00000.00130.00012.96859.64670.00008TT428TTPTP2.410.0313.170.0112.730.021-1.210.250-1.550.1500