题目
Let's assume a firm's investors are exposed either to systematic or firm-specific (idiosyncratic, non-systematic) risk. Do the firm's equity investors want its managers to hedge risk?
选项
A.Always, if the firm strategy is to retain the risk.
B.Never, unless hedging enables managers to meet short-term targets linked to their compensation.
C.No, if the investor is diversified and financial markets are perfect and frictionless.
D.Yes, if the investor is diversified and the strategy is sufficiently complex to suit the investor.
答案
C
解析
When markets are perfect and there are no frictions,in theory, internal risk management adds value neither by hedging systematic nor idiosyncratic risks. The value of hedging is revealed by market imperfections (e.g., cost of financial distress) and frictions; e.g., taxes.从理论上讲，当市场完美无摩擦时，内部风险管理既不会通过规避系统风险也不会通过特殊风险来增加价值。 对冲的价值在于市场的不完善（例如财务困境的成本）和摩擦， 例如税收。