Derivatives and firm risk : a study of korean banking industry = 파생상품과 기업의 위험a study of korean banking industry

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In October 2001, Enron Gas Service, one of the largest US Corporations failed because of huge loss of 1.2 billion dollars in derivatives transactions and window dressing of debt amounting to 1 billion dollars. Considering that derivatives have been devised to partly resolve market imperfection and thus to decrease risk contained in financial transactions, Enron``s failure coupled with the prevalence of derivatives usage by firms has raised concerns that derivative activities increase the risk of the firm rather than decrease it. This study investigates the empirical relationship between a bank``s derivatives disclosure under the Korean GAAP and firm risk. In doing so, we employ two alternative measures to proxy for firm risk; systematic risk and ex ante earnings volatility (i.e. dispersion in analysts`` forecast errors). Contrary to the general concerns of the bank``s risk-increasing derivative products, the results indicate that banks`` derivatives are, on average, associated with two measures of risk in negative ways. The evidence is consistent with the conjectures that derivatives reduces noise related to exogenous factors and hence decreases the level of firm risk (e.g., Riffe, 1996; McAnally, 1996, DaDalt, Gay and Nam, 2001).
Advisors
Yang, Dong-Hoon양동훈
Description
한국정보통신대학원대학교 : 전자상거래,
Publisher
한국정보통신대학교
Issue Date
2002
Identifier
392191/225023 / 020013995
Language
eng
Description

학위논문(석사) - 한국정보통신대학원대학교 : 전자상거래, 2002, [ v, 56 p. ]

Keywords

Derivatives; 주당순이익; 전문가 수익예상; 체계적 위험; 통화; 이자율; Risk; Banking; equity beta; Analysts & forecasts; EPS; 파생상품; 기업위험; 은행

URI
http://hdl.handle.net/10203/54348
Link
http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=392191&flag=dissertation
Appears in Collection
School of Management-Theses_Master(경영학부 석사논문)
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