title: The Value of Corporate Hedging and Market Expectations
metadata.name: dc.contributor.author
metadata.value: Okulov, Vitaly L.
metadata.name: dc.date.accessioned
metadata.value: 2014-02-18T15:40:01Z
metadata.name: dc.date.accessioned
metadata.value: 2014-03-17T05:42:31Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2014-02-18T15:40:01Z
metadata.name: dc.date.available
metadata.value: 2014-03-17T05:42:31Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2010
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/849
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/849
metadata.lang: -
metadata.name: dc.description
metadata.value: Full text in Russian. Executive summary in English is available at pp.37.
metadata.name: dc.description.abstract
metadata.value: We analyze some simple models such as case Tufano and show that companies in its decision to hedging must be guided by market expectations about the dynamics of major risk factors. On the basis of the proposed models we calculate the optimal hedge ratio taking into account the forecast changes in risk factors and its volatility. Based on historical data of the gold market the theoretical hedge ratios are compared with the hedge ratios of companies in the gold mining sector. An unsuccessful hedging is discussed on the case of the Russian gold mining company "Polymetal".
metadata.lang: ru
metadata.name: dc.language.iso
metadata.value: Russian
metadata.lang: ru
metadata.name: dc.publisher
metadata.value: Graduate School of Management, Saint Petersurg State University
metadata.name: dc.relation.ispartofseries
metadata.value: Working paper;#17 (R)-2010
metadata.name: dc.subject
metadata.value: corporate risk
metadata.lang: ru
metadata.name: dc.subject
metadata.value: hedging
metadata.lang: ru
metadata.name: dc.subject
metadata.value: market efficiency
metadata.lang: ru
metadata.name: dc.subject
metadata.value: case Tufano
metadata.lang: ru
metadata.name: dc.subject
metadata.value: portfolio approach
metadata.lang: ru
metadata.name: dc.subject
metadata.value: корпоративные риски
metadata.lang: ru
metadata.name: dc.subject
metadata.value: хеджирование
metadata.lang: ru
metadata.name: dc.subject
metadata.value: эффективность рынка
metadata.lang: ru
metadata.name: dc.subject
metadata.value: кейс Туфано
metadata.lang: ru
metadata.name: dc.subject
metadata.value: портфельный подход
metadata.lang: ru
metadata.name: dc.title
metadata.value: The Value of Corporate Hedging and Market Expectations
metadata.lang: ru
metadata.name: dc.title.alternative
metadata.value: Ценность хеджирования для корпорации и рыночные ожидания
metadata.lang: ru
metadata.name: dc.type
metadata.value: Working Paper
metadata.lang: ru
metadata.name: dc.contributor.altauthor
metadata.value: Окулов, В. Л.
resources.filename: 17(R)_2010.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/849/1/17%28R%29_2010.pdf
resources.format: Adobe PDF
resources.size: 696,36 kB