We examine how firms hedge in financial distress. Using hand-collected data from oil and gas producers, we find that derivative portfolios in these firms are characterized by short put options. These positions are part of a composite three-way collar strategy that combines buying put options and selling put and call options with differing strike prices. We show that because liquidity demand varies with the degree of financial distress, the three-way collar strategy is the optimal risk management strategy that preserves incentives for future growth. The sample consists of publicly traded oil and gas producers in the US (SIC code 1311) between Q1:2013 and Q4:2015. Hedging strategies are hand-coded based on quarterly reports (10Q/10-Q reports). We sum each firm's outstanding derivatives positions regardless of maturity for each quarter and create a variable per hedging strategy that takes the value 1 if the sum is positive, zero otherwise. We classify individual firms’ hedge portfolios into five distinct hedging strategies based on the character of the provided protection and the cash flow impact. The dataset contains the classifiers for these five hedging strategies and is identified by quarter and global company key (GVKEY).
Vi undersöker hur företag i finansiellt trångmål använder derivat för hedging. Vi studerar amerikanska oljeproducenter under perioden Q1:2013 till Q4:2015. Hedgingstrategier handkodas med hjälp av företagens kvartalsrapporter. Vi skapar en variabel per hedgingstrategi som antar vardet 1 om företaget använder hedgingstrategin, noll annars. Vi klassificerar företags derivatportföljer i fem distinkta hedgingstrategier baserat på det skydd de erbjuder och hur de påverkar företagets kassaflöden. Datasetet innehåller variablerna för de fem hedgingstrategierna och identifieras per kvartal och global company key (GVKEY).
The sample consists of publicly traded oil and gas producers in the US (SIC code 1311) between Q1:2013 and Q4:2015. The sample period is Q1:2013 to Q4:2015. Firms are eligible for inclusion in the sample if their headquarters are in the US, they are publicly listed, and they have at least $1mn in total assets in all quarters. We furthermore require that 10-Qs (quarterly reports) be available from the online EDGAR database, and that firms report their derivative positions in sufficient detail to quantify different hedging strategies. The latter criterion essentially means that firms must report their hedging position in tabular form. Finally, a firm is eligible if it uses derivatives in at least one quarter of the sample period.
Urvalsperioden är Q1:2013 till Q4:2015. Företag inkluderas i samplet om huvudkontoret ligger i USA, de är börsnoterade och har totala tillgångar om minst $1mn varje kvartal. Vi kräver att kvartalsrapporter är tillgängliga och derivatpositioner rapporteras tillräckligt detaljerat för att möjliggöra kvantifiering av hedgingstrategier. Slutligen måste företag ha derivat i minst ett kvartal under urvalsperioden.
Total universe/Complete enumeration
Hela populationen/total räkning
Coding of derivatives positions in quarterly reports
Kodning av derivatpositioner i kvartalsrapporter
Content coding
Kodning av innehåll
