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only slightly. Therefore, the corresponding increase in firm value through higher debt tax
shield is negligible.
As Lookman [2005b] states, the marked difference between the estimated benefit of
hedging developed from a structural model based on hedging primary risk and the
empirical estimate of Graham and Rogers [2002] based on hedging secondary risks further
supports the conclusion that hedging does not significantly increase firm value.
Some caution is required though in applying Lookman’s [2005b] empirical results to the
entire universe of firms. Since his analysis is based on the oil and gas industry, with pureplay
firms being highly concentrated in E&P activities, the real option property of these
firms’ assets might distort the results. As shown before, the value of oil and gas reserves
increases with increasing future product price uncertainties. Hence, in case of such firms,
the discount for hedging primary (commodity) risks might be the straight result of the bulk
of firm value coming from this real option. Examining whether the aliasing hypothesis can
explain away the hedging premium in a broad cross-industry sample, where real
optionality cannot distort results, will help shed light on this important issue and is a topic
for future research.
Az Adam-Fernando [2003] modell
Adam and Fernando [2003] extend the topic of the impact of hedging on firm value with a
very special case: when derivative instruments have positive expected fair values. The
existing theory of corporate risk management implicitly assumes that the expected return
of a derivatives portfolio is zero, which would be the case if, for example, the unbiased
expectations hypothesis holds. 202 However, numerous studies have documented contrary
evidence. 203 If the unbiased expectations hypothesis does not hold, corporations may use
derivatives not only for hedging purposes, but also to benefit from persistent risk premia.
In this case, derivatives could add value not only by mitigating market imperfections, but
also by generating positive cash flows on average. Alternatively, even when firms use
202 Under the unbiased expectations hypothesis the forward price is an unbiased predictor of the future spot
price.
203 See, for example, Hansen/Hodrick [1980] or Hsieh/Kulatilaka [1982].
198