投资者对衍生金融工具运用及其收效的反应

1、本科毕业论文（设计）外 文 翻 译外文题目 Investor reactions to derivative use and outcomes 外文出处 http:/www.Springer 418/2007:2-6 外文作者 Lisa Koonce;Marlys Gascho Lipe;Mary Lea McAnally原文：Investor reactions to derivative use and outcomesAbstract How do investors evaluate managers who choose whether or not to use derivativ

2、es once the outcomes of those decisions become known? Different theories offer different predictions, and we test these in three experiments. Results show that investors are more satised with rm managers and assign a higher value to rms when managers use derivatives (that address rm risks) than when

3、 they do not. This result occurs even though we hold constant the economic differences typically present when comparing derivative use versus non-use (that is, exante risk and expost outcome), suggesting that investors reward rms that use derivatives. Additional tests reveal that investors believe t

4、hat managers who use derivatives in these situations exhibit a higher level of decision-making care than those who do not use derivatives. We also document that these inferences about greater decision- making care do not apply to the speculative use of derivatives. Overall, our study adds to our und

5、erstanding of how investors judge companies that use derivatives, given the resulting outcomes of such use.Keywords Derivatives ； Investors ； Psychology ； OutcomesEvidence suggests that rm managers are concerned about how current and potential investors perceive the rms use of derivatives. For examp

6、le, a survey of managers of U.S. nonnancial rms found that 65% of them reported concern over investor, regulator, and public perceptions of derivative use (Bodnar et al. 1998). Many of these managers cited this concern as an important determinant in their decision not to use derivatives. Prior resea

7、rch suggests that these concerns may be justied. Koonce et al. (2005) report that investors perceive derivatives to be riskier than nonderivative nancial instruments. Although the Koonce et al. results suggest that managers concerns may be reasonable ex ante, it is unclear how investors think about

8、companies use of derivatives in the common situation where outcomes related to their use are known (that is, ex post). This situation is the focus of our study. Outcomes from the use of derivatives are readily available to investors from several sources, most notably from the nancial statements. 1 S

9、pecically, SFAS133 requires that rms report derivative-related outcomes in the nancial statements, including the comprehensive income statement, balance sheet, and footnotes (Kawaller 2004; Ahmed et al. 2006). Investors also can obtain outcome information from press releases in which rms may volunta

10、rily disclose results from derivative use, typically with a focus on favorable outcomes (for example, Southwest Airlines 2005). Finally, investors can infer outcomes given generally available information regarding market rate changes and information disclosed in prior nancial statements about the ty

11、pe of derivatives used by a rm (Hodder et al. 2001). Investigating investors perceptions of derivative use once actual outcomes are known is important for several reasons. First, studies provide evidence that derivative use can add value to rms. For example, Allayannis and Weston (2001) document a 4

12、% increase in rm value (that is, a hedging premia) for large rms that hedge their foreign currency exposure by using derivatives. Guay (1999) shows that market-based rm risk is lower for new users of derivatives. These studies suggest that there may be important benets from derivative use so that if

13、 rms avoid using derivatives due to a mistaken concern over potentially negative investor reactions, both the rms and investors may suffer economically. Second, research has not addressed whether the negative ex ante perceptions of derivative use documented in prior research (Koonce et al. 2005) wil

14、l persist once actual outcomes are known (that is, ex post). While psychologys counterfactual reasoning theory suggests that it might, such behavior is not assured. Research shows that how people think in foresight often does not correspond to their thinking in hindsight, given outcome information (

15、Fischhoff and Beyth 1975). Thus, in addition to the possibility of a negative reaction to derivative use, there are two other (also theoretically based) possible investor reactions. Specically, investors may not care whether a rm uses derivatives but rather may react only to the outcome itself (Mitc

16、hell and Kalb 1981). Alternatively, investors may react positively toward companies that use derivatives because of the perceived decision-making care their use implies and do so irrespective of the particular outcome (Reb and Connolly 2007). Because psychology theories support each of these possibl

17、e reactions, research is needed to provide evidence on how investors evaluate rms that use derivatives once actual outcomes are known. In this paper, we report the results of three experiments designed to identify how investors react to derivative use. In our rst experiment, we discriminate among th

18、e three possible theories noted above. Once we establish the most descriptive theory of investor reactions, we then test its validity and generalizability in two subsequently designed and executed experiments. We discuss the three experiments below. As noted above, the rst experiment discriminates a

19、mong the three possible theories for investor reaction to the use of derivatives once derivative-use outcomes are known. We vary whether a company uses a derivative (that is, forward contract) to lock in the price of a planned inventory purchase, and we also vary the outcome (that is, poor or good)

20、that results from the derivative or nonderivative use. Our results show that, holding outcome constant, investors are more satised when a company uses derivatives. Specically, they reward companies for using derivatives by boosting their evaluation of management; this result is consistent with inves

21、tors inferring that the managers exercised high decision-making care in choosing to use the derivative to address the risk exposure. Given that experiment one points to decision-making care as a theory of investor reaction to outcomes from derivative use, our second experiment tests the validity of

22、this theory by directly varying information regarding decision-making care (that is, whether the company discloses extensive policies and procedures for its corporate nancing decisions) as well as whether management uses a derivative instrument. Results conrm the descriptive validity of the decision

23、-making care theory. Without information regarding careful decision-making, investors are more satised and assign a higher rm value when managers use derivatives that address an exposure than when managers do not. In contrast, when investors are provided with information about the managers careful d

24、ecision-making process (as often found in nancial statement footnotes and MD&A disclosures), the derivative effect is eliminated because perceived decision-making care has been held constant. While experiment one results are consistent with the decision-making care theory, experiment two conrms

25、that perceived decision-making care is causing the heightened investor satisfaction associated with derivative use. Our third experiment tests whether the decision-making care perspective is comprehensive. In this experiment, participants evaluate a situation where a poor outcome resulted from a rm

26、using a derivative either for purposes of taking a view (that is, speculating) on commodity prices or for addressing a commodity- price risk exposure. Results indicate that participants perceive lower (higher) decision-making care in the situation where managers use derivatives to take a view (addre

27、ss an exposure). Even though the derivative use leads to the same economic outcome in both cases, participants judge different levels of satisfaction with management depending on the level of perceived decision-making care. This nding reiterates that perceived decision-making care guides how investo

28、rs react to managers derivative decisions and to the resulting outcomes .In sum, perceived decision-making care comprehensively explains investor reaction to derivative use. For several reasons, we use experiments to test our hypotheses (Libby et al. 2002). First, experiments allow us to directly me

29、asure how individual investors view companies use (or non-use) of derivatives. Although normative models do not exist to indicate whether investors impressions are correct in this context, it is important to understand what investors think because managers may base their derivative decisions in part

30、 on how they believe investors view derivatives (Bodnar et al. 1998). Second, through experimentation, we are able to hold constant the economic differences typically present when comparing derivative use versus non-use (that is, actual economic ex ante risk and ex post outcome). This key design fea

31、ture differentiates our tests from prior archival research on derivative use. By intent, prior archival research focuses on comparing rm value or economic risk in situations where derivatives are used to those where they are not used (Allayannis and Weston 2001;Guay 1999). Because these studies are

32、interested in whether risk and earnings outcomes do, in fact, differ in these two situations, controlling for both would eliminate the effect of interest. However, such control is central to our tests as we are concerned with whether investors react incrementally to rms and managers who use versus d

33、o not use derivatives, without the confounding effects of different ex ante actual risk and ex post outcomes. Our study has both practical and theoretical implications. On a practical level, our results provide assurance to rm managers who want to increase derivative use to address exposures and are

34、 faced with the subsequent reporting of the actual outcomes in the nancial statements. That is, managers concerns that investors always view derivative use negatively are unfounded. Indeed, our results suggest just the opposite: investors infer decision-making care on the part of managers who use de

35、rivatives to address risk exposures, even if the resulting outcomes are unfavorable. As a result, investors give more credit to managers who use derivatives as compared with managers who do not, even when the underlying economics (that is, ex ante risk and ex post outcome) are identical. Although on

36、e could argue that it should not matter how a company achieves a particular outcome as long as ex ante risk and other economics are identical among the alternative paths, our results suggest that the path to an outcome does matter to investors and that managers who use derivatives are given more cre

37、dit than those who do not. Our study also has implications for auditors who provide assurance on companies nancial reporting about derivatives. It is possible that rms are not actually exhibiting decision-making care when they use derivatives to manage exposures but are merely biasing their derivati

38、ve disclosures to give the impression of such care. For example, anecdotal evidence suggests that some rms use the phrase economic hedge when they do not meet the technical SFAS 133 hedge accounting requirements (Koonce et al. 2005). Firms may do this to give the impression of effective management o

39、f an exposure and thus, careful decision- making. Consequently, our study suggests that auditors should attend to how rms disclose their derivative use. On a theoretical level, we contribute to the existing literature by identifying and testing competing theories regarding investor reaction to compa

40、nies derivative use once outcomes are known. Our ndings indicate that perceived decision-making care is a pervasive component of how investors react to derivative use, whether for risk management or for speculation. These results are particularly intriguing in light of Koonce et al. (2005), who show

41、 that investors evaluate derivatives as riskier than nonderivatives (a result we replicate in this study). Indeed, how investors view derivative use in foresight differs from how they think about it in hindsight once outcomes are known, suggesting that investor reaction to derivative use is more com

42、plex than previously thought. Indeed, our results suggest that rm managers who avoid using derivatives may be unaware of (or may not fully consider) how investors view derivatives in hindsight, once actual outcomes are known. Thus, future research should explore the interplay of perceived risk (a po

43、tential negative) and perceived decision-making care (a positive) to determine how the two separately and jointly affect asset prices. The remainder of the paper is organized as follows. In the next section, we describe the prior research on investor perceptions of derivative use and review psycholo

44、gy theories to develop hypotheses regarding investors reactions to companies use of derivatives. The following three sections describe our experiments designed to test these theories. The nal section provides concluding remarksPrior research and hypothesesPrior researchPrior research suggests that r

45、m managers believe that investors are concerned about derivatives, and as a result, managers may intentionally reduce their use of derivatives. Specically, Bodnar et al. (1998) survey managers of nonnancial U.S. rms about their derivative use. They nd that 40% of managers whose rms do not use deriva

46、tives indicate concerns about perceptions of derivative use by investors, regulators and the public as one of their three top reasons for not using derivatives (1998, p. 87). Of respondents using derivatives, 90% indicate apprehension about the reaction by analysts or investors, with 53% indicating

47、that this concern is moderate to high (1998, p. 88). Bodnar and Gebhardt (1999) nd similar concerns among German rm managers, with 35% indicating moderate to high concern about public perceptions of derivatives.Research suggests one possible reason for such concern on the part of rm managers. Koonce

48、 et al. (2005) nd that investors perceive nancial instruments as more risky if the instrument includes a derivative. These researchers experimentally vary whether a xed-rate debt exposure involves a derivative, and they test whether the derivative causes investors to judge risk differently. They nd

49、that investors judge a debt instrument that involves a swap (that is, a derivative) as riskier than a debt instrument that does not involve a derivative, even though the underlying actual risk is similar. This result occurs because derivatives are linked in investors minds to large losses.Taken toge

50、ther, these studies suggest that managers concerns about negative investor perception of derivative use may be reasonable. However, it is important to also study how investors react to derivative use when outcomes from such use are known. The prior research was focused on risk assessments which are,

51、 by denition, ex ante in nature. Focusing on investor evaluations in light of outcome information, which is ex post in nature and commonly available, is necessary as psychology research suggests this information also may systemat-ically inuence how investors react to rms use of derivatives (Fischhof

52、f and Beyth 1975).From: Lisa Koonce;Marlys Gascho Lipe.Investor reactions to derivative use and outcomes,http:/www.Springer 2007:2-6译文：投资者对衍生金融工具运用及其收效的反应摘要：一旦资金管理员对衍生金融工具的投资决策被大众知悉，那么投资者将如何评估经理人的投资选择是否合理？不同的理论给出了不同的预测，为此，我们在三个实验中对这些理论进行了测试。结果表明，与其什么都不做，投资者对公司经理更为满意，他们能够使用衍生金融工具带来更高的收益。该结果仍会出现，即使我们在

53、比较衍生金融工具使用者和非使用者时保持恒定的经济差异，这表明投资者鼓励企业使用衍生金融工具。额外的测试显示，投资者认为在这种情况下经理人使用衍生金融工具是更高水准的市场决策能力的体现。我们也证明了这样一些推论，衍生金融工具并不适用于大规模的市场决策。总体来说，我们增加了对投资者判断和了解公司如何利用衍生金融工具及其运用效果的研究。关键词：衍生金融工具；投资者；心理；成果有证据表明，企业管理者关注现金流量和潜在投资者对公司衍生金融工具使用的态度。例如，一项针对美国非金融公司经理的调查发现，65%的人员报告了他们对投资者、监管机构的关注，并十分关心公众对衍生金融工具使用的看法（博德纳尔等，1998

54、年）。很多经理人认为这一关注是决定是否使用衍生金融工具的关键因素。以前的研究表明，这些担忧是有道理的，昆斯等（2005）的报告指出，投资者认为衍生金融工具的风险更大。虽然昆斯等的研究结果表明管理者的担忧可能是合理的，但目前我们还不清楚投资者对公司在常见情况下使用已知结果的衍生金融工具的态度。这种情况是我们研究的重点。衍生金融工具的使用成果对来自于不同领域的投资者都有效，尤其对来自财务报表的数据。具体来说，SFAS133规定，公司在财务报表中报告衍生金融工具使用成果时，应包括综合收益表、资产负债表和附注（卡瓦楞2004，艾哈麦德等人2006）。投资者还可以从某些自愿披露衍生金融工具使用收效的企业

55、所发布的数据中获得信息。（例如，西南航空公司2005年的信息）。最后，投资者能够推理给出关于现有市场利率变化的一般结论，从前期的财务报表数据中推断公司所使用的衍生金融工具的类型。（霍德乐等2001）。调查得出了几点影响投资者对衍生金融工具实际收效态度的原因。首先，研究提供的证据表明，衍生金融工具的使用可以增加公司的资产价值。；例如，阿拉亚尼斯和韦斯顿（2001年）报告了大型公司由于使用了衍生工具对冲其外汇风险而使公司价值增长了4%。格威（1990）表明，公司能过为衍生工具的新用户降低市场的风险。这些研究表明，衍生金融工具的使用能够为投资者带来重大利益，因此，如果企业由于对潜在的投资者负面反应做

56、出了错误的估计而回避衍生工具的使用，这将会使企业和投资者都蒙受经济损失。第二，研究并没有针对在消极态度下衍生金融工具的使用情况进行记录，以前的研究（昆斯等2005）更注重已知的实际结果。虽然，心理学的反事实推理理论认为这种行为无法让人放心。研究展示了人们由于所取得的结果信息不符合前期预测而进行的事后反思活动（菲斯科菲和贝斯1975）。因此，另外增加了两个投资者对衍生工具使用的可能的消极反应。具体来说，投资者可能不在乎是否使用衍生工具，而只固执地针对结果本身（米切尔和卡尔布1981）。另外，投资者也可能对公司衍生工具的使用做出积极的反应，因为投资者无法知悉公司基于市场而作出的投资决策，也无法估测

57、其可能收益（瑞博和科内瑞2007）。因为心理学的理论支持这些可能的反应，研究需要投资者提供他们如何通过已知的衍生工具使用情况评估公司的信息。本文将报告我们所设计的三个实验结论，以帮助投资者作出正确的衍生金融工具投资决策。在第一个实验中，我们区分了以上可能的三个理论。一旦我们建立了投资者反应理论，再通过随后进行的实验设计和执行，测试有效性和普遍性，接下来我们将讨论三个实验。， 如上所述，第一个实验中，投资者对衍生工具使用的三个反应理论被批判。我们公司对于在固定存货购买计划中是否使用不同的衍生工具呈现不同的决策，也会出现不同的结果，这主要是由于衍生工具或非衍生工具的选择不同。我们的研究结果表明，在

58、控股结构不变的情况下，投资者对于使用衍生工具的公司更为满意。具体来说，报酬的增加提升了对公司的管理评价，这个结果同投资者从经理人基于市场情况作出高水准的衍生金融工具风险投资决策出发所得结论一致。实验一指出决策是投资者对衍生工具使用结果所做反应的理论，我们的第二个实验测试了这一理论直接变为信息服务决策的有效性，以及是否对衍生工具进行系统管理。结果证实了决策反应理论描述的有效性。同没有相关的决策信息相比，投资者将更满意其指定的更高价值的公司使用并披露衍生工具信息。与此相反，当投资者被提供了管理人员决策过程中的相关信息时，衍生工具的影响予以消除，因为他们感觉到决策服务没有发生变化。实验一的结果与决策

59、关注理论一致，而且，实验二也证实了决策关注理论能够提升投资者对衍生工具使用情况的满意度。我们的第三个实验测试决策关注理论是否全面。在该试验中，参与者对以下情形进行评估：公司为保持商品价格而使用衍生工具或者针对商品价格风险进行的投机，而两者的结果均不理想。结果表明，参与者认为在作出更低（更高）的决策时采用决策关注理论。虽然在两种不同的情形下衍生工具的使用导致了相同的经济结果，参与者对管理层的满意程度取决于管理者对决策的关注情况。这一发现再次说明了感知决策投资者如何应对管理者进行的衍生工具投资，总之，感知决策全面介绍了投资者对衍生工具投资的反应。出于对某些原因的考虑，我们用实验来检验我们的假设（利比等2002）。首先，实验允许我们直