On-Balance-Sheet Duration Hedging and Firm Value
Abstract
In this study we consider the determinants and effects of on-balance-sheet duration hedging for non-financial US firms. The difference between the duration of assets and liabilities, or duration gap, is negatively related to growth opportunities, and positively related to profitability, corporate cash holdings, and managerial ownership. We find that both a lower duration gap and a lower absolute value of duration gap are associated with higher firm values. Moreover, we find some evidence that firms with larger duration gaps performed worse during the market-wide liquidity shock accompanying the Lehman Brothers bankruptcy.
Recommended Citation
Dai, Y., Guo, L., Zhang, H., & Liu, Y. (2020). On-Balance-Sheet Duration Hedging and Firm Value. International Review of Financial Analysis, 71 Elsevier.
The definitive version is available at https://doi.org/10.1016/j.irfa.2020.101517
Department(s)
Business and Information Technology
Keywords and Phrases
Duration gap; Liquidity; Valuation
International Standard Serial Number (ISSN)
1057-5219
Document Type
Article - Journal
Document Version
Citation
File Type
text
Language(s)
English
Rights
© 2020 Elsevier Inc., All rights reserved.
Publication Date
Oct 2020
