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Does hedging of macroeconomic risk effect corporate credit ratings? - An empirical investigation on the role of hedging of macroeconomic risk by the use of derivatives in determining corporate credit ratings

Terike, Daniel and Möller, David (2010)
Department of Business Administration
Abstract
Abstract Title: Does hedging of macroeconomic risk affect corporate credit ratings? - An empirical investigation on the role of hedging of macroeconomic risk by the use of derivatives in determining corporate credit ratings. Seminar date: June 7th 2010. Course: BUSM36 Degree Project in Corporate and Financial Management, 15 ECTS-credits. Authors: David Möller, Daniel Terike. Advisor: Lars Oxelheim. Size: 89 pages. Key words: Risk Management, Credit rating, Macroeconomic risk, Hedging, Derivative contracts. Purpose: To investigate if hedging of macroeconomic risk by the use of derivative contracts significantly affects the credit rating of corporations listed on the New York Stock Exchange. Methodology: This paper has an inductive approach... (More)
Abstract Title: Does hedging of macroeconomic risk affect corporate credit ratings? - An empirical investigation on the role of hedging of macroeconomic risk by the use of derivatives in determining corporate credit ratings. Seminar date: June 7th 2010. Course: BUSM36 Degree Project in Corporate and Financial Management, 15 ECTS-credits. Authors: David Möller, Daniel Terike. Advisor: Lars Oxelheim. Size: 89 pages. Key words: Risk Management, Credit rating, Macroeconomic risk, Hedging, Derivative contracts. Purpose: To investigate if hedging of macroeconomic risk by the use of derivative contracts significantly affects the credit rating of corporations listed on the New York Stock Exchange. Methodology: This paper has an inductive approach and consists of statistical comparisons of gathered explanatory data and regression analysis. Theoretical perspectives: We emphasize on theories explaining the field of risk management and hedging of macroeconomic risk by the use of derivatives. We also discuss corporate credit ratings and their perceived determinants. Finally we enlighten the professed connection between corporate credit ratings and hedging of macroeconomic risk. Empirical foundation: Explanatory variables, deemed as determinants of credit ratings along with a defined hedging of macroeconomic risk variable, from 91 corporations, listed on NYSE, are gathered. Also, Credit ratings are gathered for all companies included. The empirical data is analyzed through statistical comparison and regression analysis to investigate the above stipulated purpose. Conclusions: The determination coefficient of 60,8% in the regression and the number of corporations included in our research are deemed as insufficient for generalization purposes which means that we cannot give a formative answer to our stated research question. However, the significance of the defined hedging variable, gives us an indication that hedging of macroeconomic risk by the use of derivative contracts might have an effect on the credit rating of a firm listed on NYSE. (Less)
Please use this url to cite or link to this publication:
author
Terike, Daniel and Möller, David
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Risk Management, Credit rating, Macroeconomic risk, Hedging, Derivative contracts, Management of enterprises, Företagsledning, management
language
Swedish
id
1625319
date added to LUP
2010-06-07 00:00:00
date last changed
2012-04-02 18:03:48
@misc{1625319,
  abstract     = {Abstract Title:	Does hedging of macroeconomic risk affect corporate credit ratings? - An empirical investigation on the role of hedging of macroeconomic risk by the use of derivatives in determining corporate credit ratings. Seminar date:	June 7th 2010. Course:	BUSM36 Degree Project in Corporate and Financial Management, 15 ECTS-credits. Authors: David Möller, Daniel Terike. Advisor:	Lars Oxelheim. Size:	89 pages. Key words:	Risk Management, Credit rating, Macroeconomic risk, Hedging, Derivative contracts. Purpose:	To investigate if hedging of macroeconomic risk by the use of derivative contracts significantly affects the credit rating of corporations listed on the New York Stock Exchange. Methodology:	This paper has an inductive approach and consists of statistical comparisons of gathered explanatory data and regression analysis. Theoretical perspectives:	We emphasize on theories explaining the field of risk management and hedging of macroeconomic risk by the use of derivatives. We also discuss corporate credit ratings and their perceived determinants. Finally we enlighten the professed connection between corporate credit ratings and hedging of macroeconomic risk. Empirical foundation:	Explanatory variables, deemed as determinants of credit ratings along with a defined hedging of macroeconomic risk variable, from 91 corporations, listed on NYSE, are gathered. Also, Credit ratings are gathered for all companies included. The empirical data is analyzed through statistical comparison and regression analysis to investigate the above stipulated purpose. Conclusions:	The determination coefficient of 60,8% in the regression and the number of corporations included in our research are deemed as insufficient for generalization purposes which means that we cannot give a formative answer to our stated research question. However, the significance of the defined hedging variable, gives us an indication that hedging of macroeconomic risk by the use of derivative contracts might have an effect on the credit rating of a firm listed on NYSE.},
  author       = {Terike, Daniel and Möller, David},
  keyword      = {Risk Management,Credit rating,Macroeconomic risk,Hedging,Derivative contracts,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Does hedging of macroeconomic risk effect corporate credit ratings? - An empirical investigation on the role of hedging of macroeconomic risk by the use of derivatives in determining corporate credit ratings},
  year         = {2010},
}