Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/288727 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] Review of Quantitative Finance and Accounting [ISSN:] 1573-7179 [Volume:] 56 [Issue:] 2 [Publisher:] Springer US [Place:] New York, NY [Year:] 2020 [Pages:] 789-818
Verlag: 
Springer US, New York, NY
Zusammenfassung: 
This study analyzes the interaction effects of corporate hedging activities of electric utility firms facing a manifold risk exposure consisting of several market price risks. We employ 16 recent introductions of markets for trading electricity derivatives as a quasi-natural experiment. The results show that electric utilities generally favor domestic markets for trading electricity derivatives, which might be reduced to their usual high market power and the related good predictability of electricity prices. As a consequence, electricity output hedging eliminates a major part of overall market risk. Further, we identify several spillover effects of electricity output hedging: The sensitivities to input commodity prices decrease, while the sensitivities to foreign exchange rates and interest rates increase. Furthermore, electricity output hedging increases debt capacities and the availability of internal funds. These results are relevant for electric utility firms, market operators, and policy makers, since the selective presence of derivatives markets might let financing policies globally diverge.
Schlagwörter: 
Corporate hedging
Difference-in-differences, market access
Market introduction
Utility industry
JEL: 
G32
G38
L94
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Dokumentart: 
Article
Dokumentversion: 
Published Version

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