The use of Fx derivatives and the cost of capital: Evidence of Brazilian companies

Coutinho, Joao Ricardo Ribeiro; Sheng, Hsia Hua; Lora, Mayra Ivanoff

doi:10.1016/j.ememar.2012.07.001

Cited by 17 publications

(6 citation statements)

References 18 publications

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“…They claim that derivative markets have been effective tools for firms in these countries, at least in the post-crisis era. In the study of Coutinho et al (2012) a sample with 47 non-financial Bovespa Listed Brazilian companies from 2004 and 2010 was used to test the hypothesis that use of derivatives as a risk management policy tool reduces companies' cost of capital. In contrast to other countries, results rejected this hypothesis, showing that in Brazil there is a positive relationship between using these tools and cost of capital.…”

Section: Literature Reviewmentioning

confidence: 99%

How using derivatives affects bank stability in emerging countries? Evidence from the recent financial crisis

Keffala

2015

Research in International Business and Finance

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Section: Literature Reviewmentioning

confidence: 99%

How using derivatives affects bank stability in emerging countries? Evidence from the recent financial crisis

Keffala

2015

Research in International Business and Finance

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“…As a result of the study, it was determined that there was a negative relationship between the use of derivatives and total risk and systematic risk, while there was a positive relationship between firm value and systematic risk. In the study carried out by Coutinho et al (2012), the effect of the use of derivatives as a risk management instrument by 47 non-financial corporations that were active in Brasil during the period of 2004-2010 on capital risk and cost was analyzed. The results of the analysis demonstrat-ed that the use of derivatives affected capital cost in a negative way contrary to what was expected.…”

Section: Literature Reviewmentioning

confidence: 99%

The relationship between derivative instruments and systematic risk: a study on banks trading on BIST

Topaloğlu

Korkmaz

2019

Banks and Bank Systems

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This study is aimed to analyze the relationship between the use of derivative financial instruments for speculative and hedging purposes and systematic risk. The effect of the use of derivatives by seven banks trading on Borsa Istanbul during the period of June 2007 – December 2017 on systematic risk was studied using panel cointegration, causality and regression analyses. Banking sector was examined within the scope of the study, since the level of use of derivatives is high in this sector. It was identified in the study that there is a long-run cointegration relationship between the use of derivatives and systematic risk. It was also identified that there is a significant and negative relationship between the use of derivatives for speculative purposes and systematic risk. Furthermore, it was determined that there is a one-way causality relationship from the use of derivatives for speculative purposes towards systematic risk. However, there was no relationship identified between the use of derivatives for hedging purposes and systematic risk. On the other hand, significant and negative relationship was identified between swap transactions that banks use for speculative purposes and systematic risk, while there was no significant relationship determined between forward and option contracts and systematic risk.

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“…Igualmente importantes são os resultados descritos para o período pós-crise (2009)(2010)(2011). Nesse período, não encontramos evidência de comportamento especulativo, em linha com os resultados de Coutinho et al (2012). Fundamentalmente, não se encontrou relação entre o valor do derivativo (ou seu retorno) e a antecipação de sua liquidação, e apenas uma pequena parcela das antecipações foram feitas no momento de máximo valor de mercado, o que não permite descartar a hipótese fundamental de que as antecipações podem ter sido motivadas por extinção ou modificação da exposição operacional nesse período.…”

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Hedge e especulação com derivativos cambiais: evidências de operações cotidianas

2013

Self Cite

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Este trabalho investiga a dinâmica no uso de derivativos de moedas por parte de empresas não financeiras brasileiras a partir de um banco de dados único, que contém 29 mil operações de balcão efetivamente contratadas por essas empresas junto a um grande banco internacional, entre 2003 e 2011. Embora pesquisas no Brasil (Novaes & Oliveira, 2005; Rossi, 2011) e nos EUA (Géczy, Milton, & Schrand, 2007) apontem para a existência de uma conduta especulativa nas decisões dos gestores, o efetivo impacto desse tipo de comportamento nas decisões da empresa ainda é pouco conhecido, bem como suas implicações para a gestão financeira de riscos e a governança corporativa. Nossa metodologia compara os retornos de contratos que foram mantidos até o vencimento, com os de contratos cuja liquidação foi antecipada pelas empresas. Os resultados mostram que, no período de 2003 a 2008, houve um forte componente especulativo nas decisões cotidianas de tomada e desmonte de posições com derivativos cambiais das empresas. Já no período de 2009 a 2011, não se identifica tal comportamento especulativo, em linha com os resultados de Coutinho, Sheng e Lora (2012). Os resultados reforçam a evidência de que as grandes perdas com derivativos cambiais em 2008 tenham funcionado como um alerta para gestores, conselheiros, investidores e reguladores, que passaram a monitorar mais atentamente as operações com derivativos.

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The use of Fx derivatives and the cost of capital: Evidence of Brazilian companies

Cited by 17 publications

References 18 publications

How using derivatives affects bank stability in emerging countries? Evidence from the recent financial crisis

How using derivatives affects bank stability in emerging countries? Evidence from the recent financial crisis

The relationship between derivative instruments and systematic risk: a study on banks trading on BIST

Hedge e especulação com derivativos cambiais: evidências de operações cotidianas

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