財務(wù)風(fēng)險管理這是一個增值活動？[外文翻譯]

1、外文翻譯Financialriskmanagement:isitavalueaddingactivityMaterialsource:EmeraldAuth:RidFairchildAbstractConsiderswhetherfinancialriskmanagementisvalueadding.Althoughriskmanagementcanreducetotalriskthismaynotaffectthecostofcap

2、italfirmvalue.WelldiversifiedinvestshavealreadyeliminatedallofthespecificriskriskmanagementmaybeseenasazeroNPVactivityatbestatwstavaluereducingactivity.Howeverthereisarolefriskmanagement.Reductionoftotalriskmayreducethee

3、xpectedcostsoffinancialdistresshenceincreasingexpectedcashflows.Thisincreasesfirmvalue.Presentsamethodofinvestmentappraisalthattakesaccountoftotalriskthroughexpectedfinancialdistresscosts.Suchamethodcanresultinthreepossi

4、bledecisionsrelatingtoanewprojectrejecttheprojectinvestintheprojectriskmanageinvestintheprojectbutdonotriskmanage.Finallypresentswkedexamples.BackgroundWhenconsideringafirm’sfinancialriskmanagementactivitieswemayasktwoqu

5、estionsWhydofirmsengageinsuchactivitieshowdotheydoitHowfirmsengageinriskmanagementhasbeenextensivelyconsidered.Methodstypicallyinvolvecombiningfinancialinstrumentssuchassharesbondsoptionsfuturesindertoobtainadesiredpayof

6、fprofile(seeSmithSmithson(1998)fanexcellentanalysis).InthispaperweconsiderthemecontroversialquestionwhybotherwithfinancialriskmanagementIsfinancialriskmanagementvalueaddingShapiroTitman(1998)considerthisquestionofwhether

7、riskmanagementisdesirable.Afirm’stotalriskconsistsoftwoelementsmarketrisk(whichmeasuresthesensitivityofthefirm’sstockpricetomarketwidemovements)specificrisk(whichmeasuresthestockpricemovementswhicharespecifictothefirmind

8、ependentofmarketmovements).AccdingtotheCAPMAPTmodelswelldiversifiedinvestsholdptfoliosthathavealreadyeliminatedallofafirm’sspecificriskbutinvestscannoteliminatemarketrisk.Theequilibriummarketpriceofeachfirm’ssharesinthep

9、tfolioissuchthatexpectedreturnsonlyvaluation.ShouldweadjustthediscountrateShimko(2001)arguesthatwelldiversifiedinvestsdonotexist.TherefetheNPVmethodofinvestmentappraisalmaybeflawedsinceitusesadiscountratethatonlyreflects

10、marketrisk.HeproposesanadjustmenttotheNPVmethodindertotakeaccountoftotalrisk.Hisriskadjustedpresentvalue(RPV)methodattackstheproblembyadjustingthediscountrate.Shimko’sRPVapproachisderivedasfollows.Consideraoneperiodinves

11、tmentprojectwithpresentvalueV0attime0(thisistheamountthattheinvestispreparedtopayattime0isdefinedascashcapital).Thetime1cashflowprovidedbytheprojectisanmallydistributedromvariablewithmeanμ1starddeviationσ1.Shimkoassumest

12、hatthecashflowisnotcrelatedwithanymarketriskfacts.Theriskfreerateisr.Theinvestrequiresareturnonhishercashcapitalhisherriskcapital.Riskcapitalisthemaximumamountthattheinvestmightloseontheprojectovertheyear.Indertoderiveri

13、skcapitalthefirmmustdefinea“wstcase”time1cashflowW1=μ1?z1.Thatisthewstcasecashflowiszstarddeviationsbelowthemean.ThepresentvalueofthewstcasecashflowisW0=W1(1r).Henceriskcapital=V0?W0.Theexpectedcapitalgainovertheyearis:(

14、seeequation2)Thelefthsideshowsthattheexpectedcapitalgainistheexpectedtime1value(thatisthemean)minustheinitialcashinvestment.TherighthsidepartitionsthisexpectedgainintothereturnoncashcapitalrV0plusthereturnonriskcapitalk(

15、V0?W0).Shimkorearranges(2)toprovidethefollowingfmulation:(seeequation3)ThissuggeststhatthevalueoftheprojectequalsitsNPVvalueminusariskgethatisproptionaltothedifferencebetweentheexpectedvaluethewstcasevalue.Notethatsincei

16、tisassumedthattheproject’scashflowsarenotcrelatedwiththemarkettheNPVisfoundbydiscountingtheexpectedcashflowattheriskfreerate.ShimkopointsoutthatweobtaintheNPVfmulationV0=μ1(1r)asaspecialcasewhenk=0.Furthermeask=≥∞thevalu

17、eoftheassetapproachesitswstcasevalueW0.Hencethevalueoftheassetisaffectedbytotalriskparticularlythevalueatrisk.Thisapproachemphasisesthatwhentherearelimitationstoptfoliodiversificationinvests(managers)becomeconcernedwitht