ВЕСТНИК Санкт-Петербургского университета. Серия менеджмент.
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Issue 3, 2012

Okulov V. L., Skripiuk V. I. The Effect of Hedging Activities on the Stock Price Performance of Russian Companies.

We analyzed the reports (2007–2010) from Russian non-financial companies whose shares are traded on the MICEX, for direct indication of hedging their production and financial activities. According to the analysis of reports were formed two portfolios: shares of hedging companies, and shares of companies which not listed in its reports on the use of hedging. Analysis of the daily returns of portfolios showed that the portfolio of hedging companies demonstrate an average the best results in the crisis period of 2008–2009. However, during the rapid recovery of the market in 2009, the shares of non-hedging companies had the higher abnormal return. Results of portfolio simulation show that the difference between the portfolio of hedging companies and portfolio of non-hedging companies is statistically significant. Keywords: Russian Non-Financial Companies, Company Reporting, Hedging, Stock Price Performance, Financial Crisis, Portfolio Simulation.

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Released: Issue 1, 2018
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