Determinantes de la cobertura del riesgo de cambio con productos derivadosevidencia para el mercado español

  1. Otero González, Luis
  2. Vivel Búa, Milagros
Revista:
Revista española de financiación y contabilidad

ISSN: 0210-2412

Ano de publicación: 2008

Número: 140

Páxinas: 723-764

Tipo: Artigo

DOI: 10.1080/02102412.2008.10779657 DIALNET GOOGLE SCHOLAR

Outras publicacións en: Revista española de financiación y contabilidad

Resumo

Este trabajo analiza los factores que determinan el uso de productos derivados para la cobertura del riesgo cambiario en el mercado de capitales español. La investigación se centra en las razones aportadas desde las teorías de la cobertura óptima, diferenciando entre aquellas que se refieren a las imperfecciones de los mercados financieros, a factores propios de la exposición cambiaria y a elementos de coste. A través de modelos de regresión binaria multivariante se ha encontrado que los factores que impulsan a las empresas españolas a cubrirse del riesgo de cambio son las economías de escala, los costes de insolvencia, las asimetrías informativas y los problemas de subinversión. Asimismo, se ha obtenido que en la determinación de la cuantía de la cobertura influye, principalmente, el nivel de riesgo asumido y en menor medida el beneficio empresarial, la rentabilidad económica y el porcentaje de capital en manos del directivo. Finalmente, se ha comprobado como la deuda en divisa se utiliza con ánimo de cobertura y actúa como instrumento complementario del uso de productos derivados

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