Días de estancia de turistas internacionales para el circuito
OPERADORA DE TURISMO
3) Políticas de operación
There are several limitations to this study that could b addressed in the future. The first limitation is from the approximation of firm value, Tobin’s Q. In our study, Tobin’s Q is defined as the ratio of total assets minus book value of equity plus market value of equity to the book value of total assets, which is a simple and general method to calculate Tobin’s Q. while there are other complicated methods to construct Tobin’s Q that are not used in this study.
Another limitation in this study is lack of time-series analysis. In this study, the association between hedging with FCD and firm value is only tested based on year of 2012. Thus, the conclusion of negative relation between hedging with FCD and firm value is biased. In addition, a biased conclusion that hedging may decrease firm value might come from uncontrolled endogeneity.
33
Appendix:
Appendix 1: empirical evidences on hedging incentives.
Hedging theory Source Summary
A. Financial distress
Smith and Stulz(1985)
Based on Smith and Stulz(1985) model, probability of hedging is higher for firms with higher expected financial distress costs. Firm with a higher level of leverage and debt to equity which exposure to a greater financial distress. Dolde (1995) They construct a direct measure of the expected costs of
financial distress and find some evidence that hedging mitigates the effects of leverage.
Berkman and Bradbury (1996)
This study provides evidence on the corporate use of derivative instruments from the 1994 audited financial statements of 116 firms. And they find that greater expected financial distress costs cause greater hedging.
Gay and Nam (1998) They find a positive relation between hedging and leverage. Nance et al. (1993) Since direct financial distress costs are less than proportional firm size, Nance et al. (1993) argue that smaller firms are more likely to hedge than large firms.
Graham and Rogers (2002)
They find a positive relation between hedging and leverage, consistent with the view that greater expected financial distress costs cause greater hedging.
Wang and Fan (2011) They collect data from 102 oil and gas firms in U.S during the period 2003-1004 and the results indicate that hedging has a useful effect on higher leveraged firms.
B. Taxes
Smith and Stulz (1985)
When firms face a convex tax function, reducing the volatility of taxable income may reduce the expected value of tax liabilities
Nance, Smith and Smithson (1993)
They survey 169 firms attempting to test the determinants of real hedging activity. They propose that firms with more convex tax schedules hedge more
Leland (1988) Hedging can also increase a firms’ debt capacity, therefore generating greater tax advantages from greater leverage. Graham and smith
(1999)
They conduct a research to empirically test tax convexity theory for a large sample of U.S. firms. The results show that firms facing a convex tax schedule can achieve averagely $120,000 tax savings by reducing income volatility by 5%.
Graham and Rogers (2002)
They find that tax function convexity does not influence a firm’s hedging activities
Bessembinder (1991) Result shows that corporate hedging with forward contracts can increase firm value by reducing underinvestment
C. Underinvestment
problems.
Froot et al. (1993) Evidence shows that a firm’s hedging activity can increase value because it ensures that a firm has sufficient cash flow available to make value enhancing investments.
Géczy, Minton and Schrand (1997)
They argue that firms with greater growth opportunities and tighter financial constraints are more likely to hedge. Gay and Nam (1998) They find evidence of a positive relation between a firm's
derivatives use and its growth opportunities, as proxy by several alternative measures.
Allayannis and Ofek (2001)
They are argue that a firm with more growth opportunities would face higher underinvestment costs and have a greater incentive to hedge.
Bartram, Brown and Fehle (2006)
The analysis shows that capital expenditure has a positive and significant relationship with hedging.
Manager utility
maximization theory
Smith and Stulz(1985)
They argue that stock options introduce a convexity between managerial wealth and stock value, offsetting the concavity in the managers’ utility function. It in turn makes managers behave less risk aversion, which reduces the need for corporate hedging.
Tufano (1996) His evidence is consistent with manager utility maximization. Managers who hold more stock tend to hedge more, while managers who hold more options tend to hedge less.
Graham and Rogers (2002)
They find that derivatives usage is associated to managers’ equity positions.
Knopf, Nam and Thornton (2002)
The results indicate a positive relation between hedging and managerial share ownership, which is consistent with the managerial risk aversion argument.
Géczy et al.(1997); Haushalter (2000)
They find no evidence that managerial risk aversion or shareholdings affect corporate hedging. Conversely, the results of these studies are consistent with value maximization theory.
Appendix 2 summarizes the empirical evidence on relation between hedging risks and firm value:
Source Sign Summary
Allayannis and Weston (2001) + They test the potential impact of foreign currency derivatives (FCDS) usage on firm value with a sample of 720 large U.S. nonfinancial firms in the period of 1990-1995.And they find that there is a positive relation between firm value and use of FCDS. Graham and Rogers (2002) + Study results show that hedging can increase debt
capacity of firms by 3.03%. This increased debt capacity produces tax savings of 1% to 2% and an
35
equivalent increase in firm value. Guay and Kothari (2003) Insignificant
positive
They use a sample of 234 large non-financial firms using derivatives to survey the impact of hedging on firm value. They propose that derivatives usage does not have a significant influence on firm value. Lookman (2004) - He investigates the impact of hedging on firm value
with a sample of oil and gas exploration and production firms. He suggests that hedging does not lead to higher firm value
Nelson, Moffitt and Affleck-Graves (2005)
+ They use a sample of 1,308 publicly-traded US corporations from the period of 1995-1998 and found that firms using derivatives generally have abnormal returns of about 4% per year.
Rogers and Simkins (2006) + They find hedging to create a premium of 14.94% -16.08% on firm value, statistically significant at the level of 10% and 1%.
Jin and Jorion (2006) Insignificantly positive
They use a sample of 119 U.S. oil and gas producers from the period of 1998-2001 to evaluate effect of hedging activities on firm value. In their investigation, hedging gas prices leads to a 3.7% discount in firm value, while oil hedging adds firm value by 0.7%, in both cases without statistical significance.
Mackay and Moeller (2007) + For a sample of 34 oil refiners, we find that hedging concave revenues and leaving concave costs exposed each represent between 2% and 3% of firm value. Júnior& Laham(2008) + This paper examines the impact of company’s hedging
activities on firm value for a sample of non-financial Brazilian companies from 1996 to 2005. The results show that hedging activities do increase the firm value.
Kapitsinas (2008) + This paper presents evidence on the use of derivative contracts in the risk management process of Greek non-financial firms. He finds that the value of companies using derivatives is, on average, 4.6% higher than the value of companies that do not use these instruments.
Bartram et al. (2009) + They consider a large sample of 7319 non financial firms from 50 countries for the period of 2000-2001 to investigate the relationship between the use of derivatives and firm value. Their results show that hedging is a value enhancing activity.
Magee (2009) Positive or no relationship
He use a sample of 408 large US firms to investigate the impacts of foreign currency derivatives on Tobin’s
Q.Study results show positive relationship between foreign currency derivatives and firm value. But found no relationship between firm value and foreign currency hedging after controlling the dependence of foreign currency hedging on past amount of firm value.
Fauver & Naranjo (2010) - Using derivative usage data on over 1746 firms headquartered in the U.S. during the 1991 through 2000 time period, they find a negative association between Tobin's Q and derivative usage.
Khediri (2010) - They use a sample of 250 non-financial firms from the French market over the period of 2000-2002 to examine the relation between hedging and firm value. They find that the decision to use derivatives has a negative effect on firm valuation.
Brown and Conrad (2011) + They find strong evidence that financial derivative usage can reduce both total risks and systematic risks. Bashir, Sultan & Jghef (2013). No relationship Results of this study are in consistent with the theories
of no relationship between the use of derivatives and firm value. The current study finds no significant impact of derivatives usage on firm value while using Tobin’s Q is used as valuation measure. However use of FCD is associated with lower firm value while use of IRD adds value only in case when alternative measures of firm value (Alt. Q1 and Alt. Q2) are considered.
Appendix 3 describes how to select the samples and the list of final samples
Product name Orbis
Update number 120
Software version 128.00
Data update 27/02/2014 (n° 12012)
Username Universiteit Twente-755
Export date 02/03/2014
Step result Search result
1. All active companies and companies with unknown situation 1,510,814 1,510,814
2. World region/Country/Region in country: Netherlands 41,506 30,771
3. Accounting practice: IFRS (International Financial Reporting Standards) 75,550 246
4. Years with available accounts: 2012 946,279 208
5. Listed/Unlisted companies: Publicly listed companies 62,973 124
Boolean search : 1 And 2 And 3 And 4 And 5
TOTAL 124
37
with available accounts: 2012; Listed/ Unlisted companies: Publicly listed companies; Accounting practice: IFRS. After setting these four criteria for searching the samples I get 124 firms. The second step is that remove the firms with the SIC of 6000-6999 and remove some firms that have missing data (like leverage, assets, sales, etc.), then I get 93 samples in total. The following table is the list of final sample in this study:
The Standard Industrial Classification (SIC) is a system for classifying industry by a four-digit code. From 0100 till 0999 is the division Agriculture, Forestry and Fishing, from 1000 till 1499 is the division Mining, from 1500 till 1799 is Construction, 1800 to 1999 is not used, from 2000 till 3999 is the division Manufacturing, from 4000 till 4999 is the division Transportation, Communications, Electric, Gas and Sanitary service, from 5000 till 5199 is the division Wholesale Trade, from 5200 till 5999 is the division Retail Trade, from 6000 till 6799 is the division Finance, Insurance and Real Estate, from 7000 till 8999 is the division Services and from 9100 till 9729 is the division Public Administration. Tobin’s Q is defined as the ratio of total assets minus the book value of equity plus the market value of equity divided by the book value of assets. Log of total assets is as a proxy for size of firm. ROA as a proxy for profitability of the firm is calculated by net income divided by total assets. The dividend dummy is built for proxy of access to financial markets: it equals to 1 if the firm pay dividends in 2012 and 0 otherwise. Leverage is defined as long-term debt to total assets. The ratio of capital expenditure to total sales is employed as a proxy for investment opportunities. And industry diversification is included at a dummy variable at 4-digit SIC Code which 1 refers to more one than business segments.
Company name US SIC
Primary code Log of Tobin's Q
Hedgin g by FCD Log of total assets ROA cash dividends dummy leverage Investment opportunity Industrial diversification Airbus Group N.V. 3728 0.061 1 4.964 1.33 1 0.038 0.058 1 Koninklijke Ahold NV 5411 0.119 1 4.178 5.48 1 0.173 0.028 0 Koninklijke Philips N.V. 3639 0.104 1 4.464 0.88 1 0.128 0.043 1 Heineken NV 2082 0.171 1 4.556 8.20 1 0.318 0.068 0 Randstad Holding NV 7361 0.115 1 3.832 0.44 1 0.000 0.004 1 Akzo Nobel NV 2834 0.106 1 4.254 -12.08 1 0.189 0.054 1 Koninklijke KPN NV 4899 0.053 1 4.350 3.08 1 0.552 0.178 0 X5 Retail Group N.V. 5411 0.106 0 3.861 -1.32 0 0.245 0.057 0 Koninklijke DSM N.V. 2899 0.080 1 4.078 2.32 1 0.161 0.075 0
Koninklijke Bam Groep NV 1521 -0.009 1 3.824 -2.81 1 0.187 0.003 1 TNT Express N.V. 4789 0.151 1 3.652 -1.85 1 0.043 0.017 0 Stmicroelectronics N.V. 3674 -0.036 1 3.935 -10.49 1 0.059 0.110 1 Nutreco N.V. 2048 0.163 1 3.450 6.27 1 0.171 0.026 1 Royal Imtech N.V. 1731 0.106 1 3.595 -5.92 1 0.011 0.015 1 Asml Holding N.V. 3674 0.475 1 3.897 16.52 1 0.096 0.036 0 Postnl N.V. 4311 0.020 1 3.668 14.54 0 0.347 0.047 1 Wolters Kluwer NV 7372 0.170 1 3.817 4.91 1 0.228 0.040 1 Corbion N.V. 2064 0.052 1 3.340 -2.92 1 0.281 0.023 1 Koninklijke Boskalis Westminster NV 1629 0.133 1 3.689 5.12 1 0.124 0.041 1 Fugro NV 8713 0.146 1 3.620 6.99 1 0.280 0.122 0 USG People N.V. 7361 -0.005 0 3.130 -14.23 1 0.161 0.007 0
SBM Offshore N.V. 1389 0.069 1 3.681 -1.26 1 0.301 0.182 1
Arcadis NV 8711 0.160 1 3.248 5.02 1 0.170 0.014 0
Sligro Food Group N.V. 5141 0.153 1 2.986 7.18 1 0.181 0.017 0
Heijmans NV 1522 -0.068 1 3.142 -6.44 1 0.047 0.012 1 Gemalto N.V. 3679 0.380 1 3.434 7.41 1 0.001 0.056 0 Aalberts Industries NV 3492 0.141 1 3.291 6.91 1 0.135 0.051 1 Vimetco N.V. 3354 -0.031 1 3.608 -2.65 1 0.273 0.121 0 Oranjewoud N.V. 7378 -0.055 1 3.049 2.11 0 0.056 0.015 1 Ziggo N.V. 3669 0.228 0 3.715 3.72 1 0.568 0.182 0 ASM International NV 3674 0.204 1 3.190 1.03 1 0.008 0.048 0 Koninklijke Vopak N.V. 4226 0.299 1 3.701 6.40 1 0.415 0.348 0 Ballast Nedam N.V. 1629 -0.016 1 2.947 -4.63 1 0.122 0.019 1 Brunel International NV 8748 0.394 0 2.623 10.52 1 0.000 0.006 1 TKH Group N.V. 3357 0.135 1 3.017 2.77 1 0.195 0.037 1 Tomtom NV 3669 0.002 1 3.237 7.47 0 0.101 0.049 0
Royal Ten Cate NV 2299 0.031 1 2.967 2.41 1 0.238 0.016 0
Macintosh Retail Group NV 5999 0.005 1 2.687 -25.92 1 0.083 0.022 1 Qiagen NV 3826 0.133 1 3.495 3.06 0 0.208 0.081 0 Stern Groep NV 5511 -0.047 0 2.703 -1.37 1 0.077 0.090 1 Advanced Metallurgical Group N.V. 8711 0.011 1 2.856 0.25 0 0.280 0.040 0 Nord Gold N.V. 1041 -0.032 1 3.347 1.93 1 0.158 0.396 0 Grontmij NV 8711 0.011 0 2.863 -4.30 0 0.184 0.012 0 Accell Group NV 3751 0.048 1 2.780 3.85 1 0.026 0.019 0 Core Laboratories N.V. 1389 0.941 0 2.683 33.95 1 0.368 0.034 0 Koninklijke Wessanen NV 2023 0.077 1 2.529 -15.74 1 0.180 0.008 1 Amsterdam Commodities N.V. 5149 0.245 1 2.425 10.17 1 0.061 0.020 0
Telegraaf Media Groep N.V. 2711 -0.025 0 2.903 -1.89 1 0.099 0.047 1 Unit4 N.V. 7372 0.225 1 2.788 3.96 1 0.147 0.079 0 Ordina NV 4899 -0.173 0 2.501 0.14 0 0.029 0.013 0
Beter Bed Holding NV 2514 0.490 0 2.045 13.01 1 0.009 0.028 1
Astarta Holding N.V. 0119 -0.005 1 2.815 6.92 1 0.237 0.146 0
AVG Technologies NV 7372 0.490 1 2.510 13.38 1 0.263 0.051 1
Head N.V. 3949 -0.079 1 2.568 0.34 0 0.186 0.025 0
Teleplan International NV 4899 0.169 0 2.208 9.67 0 0.311 0.016 0
Roto Smeets Group N.V. 2741 -0.082 1 2.246 -16.56 0 0.026 0.019 1
Milkiland N.V. 2022 -0.091 0 2.511 3.94 0 0.143 0.121 0
Kendrion N.V. 3089 0.134 1 2.362 7.78 1 0.112 0.066 1
Cinema City International N.V. 7832 0.050 1 2.737 4.54 0 0.376 0.312 0
39 Interxion Holding N.V. 7379 0.310 0 2.913 3.86 0 0.352 0.643 0 Neways Electronics International NV 3679 -0.009 1 2.011 -0.40 1 0.007 0.015 0 BE Semiconductor Industries NV 3674 -0.040 1 2.560 4.29 1 0.005 0.058 0 Exact Holding NV 7372 0.381 1 2.313 9.09 1 0.017 0.028 1 Nederlandsche Apparatenfabriek 'Nedap' N.V. 3679 0.304 0 2.118 10.29 1 0.127 0.064 1 Simac Techniek NV 7379 0.039 0 1.909 2.91 1 0.000 0.018 0
Crown Van Gelder N.V. 2621 -0.173 1 1.859 -33.58 0 0.000 0.030 1
Batenburg Techniek N.V. 1796 -0.053 1 1.910 1.26 1 0.000 0.012 1 Docdata NV 3652 0.218 0 1.920 9.03 1 0.000 0.078 0 Xeikon N.V. 3523 -0.191 1 2.417 3.43 0 0.020 0.023 0 Hydratec Industries N.V. 3084 -0.014 1 1.932 5.49 0 0.077 0.042 0 AFC Ajax NV 7941 0.235 0 2.015 10.11 0 0.023 0.183 0 Value8 NV 3679 0.017 0 1.599 5.74 0 0.000 0.031 0 Fortuna Entertainment Group N.V. 7999 1.670 0 1.978 12.96 1 0.144 0.042 0 H.E.S. Beheer NV 4226 0.337 0 2.334 11.85 1 0.279 0.230 0 C/Tac NV 7379 0.034 0 1.601 2.03 0 0.069 0.013 0 ICT Automatisering NV 7372 -0.028 0 1.680 -11.14 1 0.000 0.013 0 Holland Colours NV 2851 -0.025 1 1.612 4.17 1 0.088 0.016 0 DPA Group N.V. 7361 0.164 0 1.821 1.76 0 0.000 0.003 1 Plaza Centers N.V. 4949 -0.191 1 2.981 -8.18 0 0.131 0.036 0 AD Pepper Media International NV 7311 -0.007 1 1.507 -16.42 0 0.000 0.006 0 Cryo-Save Group N.V. 8082 -0.062 0 1.745 -30.75 1 0.058 0.054 0 Catalis S.E. 4899 -0.121 0 1.395 0.42 0 0.000 0.030 0 N.V. Koninklijke Delftsch Aardewerkfabriek 'DE Porceleyne Fles Anno 1653'
3262 -0.088 1 1.313 0.85 0 0.006 0.033 0 Funcom N.V. 7321 0.225 1 1.398 -188.00 0 0.160 0.584 0 Photon Energy N.V. 8741 0.052 0 2.061 -9.38 0 0.403 0.125 0 Jubilant Energy NV 1382 0.101 0 2.573 -2.02 0 0.822 3.474 0 Tie Kinetix N.V. 7372 0.124 0 0.958 7.18 0 0.015 0.083 0 Roodmicrotec N.V. 3679 -0.029 0 1.118 -0.62 0 0.107 0.123 0 Pharming Group NV 2834 0.470 0 1.226 3 0 0.116 0.058 0 Nedsense Enterprises N.V. 7372 0.017 0 1.202 -8.89 0 0.231 0.300 0 And International Publishers NV 7379 -0.165 0 1.103 13.84 0 0.000 0.014 0 Spyker N.V. 3711 0.158 0 1.145 814 0 0.070 0.063 1 Unilever NV 2099 0.388 1 4.664 107.00 1 0.215 0.042 1
41
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