파생상품이 기업위험에 미치는 영향 : 통화파생상품을 중심으로
The Impact of Derivatives on Firm Risk : Focusing on Foreign Currency Derivatives
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초록
본 연구는 위험회피수단으로 통화파생상품을 최초로 사용하는 기업의 경우 통화파생상품의 사용이 기업의 위험에 어떠한 영향을 미치는지를 조사하였다. 구체적으로 파생상품을 사용한 이후 기업위험이 실제로 감소하는지, 기업의 위험 감소정도가 파생상품 포지션의 규모에 따라 달라지는지, 헷징행위와 일치되는 방식으로 기업이 사용하는 파생상품의 유형이 기업이 직면한 위험노출에 의해 결정되고 있는지, 그리고 파생상품 프로그램에 대한 착수 결정이 헷징으로부터 기대되는 효익과 관련되는지를 조사하였다. 분석 결과에 의하면 기업이 위험을 증가시키기 위해서가 아니라 감소시키기 위해 파생상품을 사용한다는 가설과 일치하였다. 월별주식수익률의 표준편차로 측정한 기업위험이 파생상품 사용 이전 연도에 비하여 감소하였다. 한편 기업이 선택한 파생상품 유형이 헷징행위와 일치하였으며, 파생상품 보유규모는 헷징유인(재무부실비용, 과소투자문제, 기업규모)과의 상호작용을 통해 기업위험을 감소시키는 효과를 가지고 있음을 보였다. 추가분석으로, 파생상품의 최초사용기업과 비사용기업을 대비시켜 최초사용기업의 파생상품 이용에 대한 결정요인을 살펴보았다. 파생상품 착수의 결정요인은 기업의 규모, 재무부실비용, 과소투자문제 등과 같은 기업의 헷징유인과 관련이 있는 것으로 나타났다.
Abstract
This study examines derivative’roles in firms initiating derivatives use. The results are consistent with firms using derivatives to hedge, and not to increase entity risk. Firm risk (measured the monthly standard deviation of stock returns) declines following derivatives use. My conclusion that firms, on average, initiate derivatives programs to reduce risk is supported by several different analyses. I use direct tests of the relation between derivatives use and changes in risk. I complement the findings from the direct test with the following three indirect test (1) an examination of whether the types of derivative instruments chosen are related to firms's risk exposures in ways that are consistent with hedging behavior, (2) an analysis of the extent to which the reduction in firms's risk varies with the magnitude of the derivatives position held, and (3) a test of whether the decision to begin using derivatives is associated with the expected benefits from hedging.
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