Risk Management with Variable Capital Utilization and Time-Varying Collateral Capacity

References

• Ai H, Li K, Yang F (2020) Financial intermediation and capital reallocation. J. Financial Econom. 138(3):663–686.Crossref, Google Scholar
• Almeida H, Hankins KW, Williams R (2019) Do firms hedge during distress? Preprint, submitted June 10, https://dx.doi.org/10.2139/ssrn.3393020.Google Scholar
• Alquist R, Kilian L, Vigfusson RJ (2013) Forecasting the price of oil. Handbook of Economic Forecasting (Elsevier, New York), 427–507.Crossref, Google Scholar
• Anderson ST, Kellogg R, Salant SW (2018) Hotelling under pressure. J. Political Econom. 126(3):984–1026.Crossref, Google Scholar
• Babenko I, Tserlukevich Y (2019) Embracing risk: Hedging policy for firms with real options. Preprint, submitted August 17, http://dx.doi.org/10.2139/ssrn.1785334.Google Scholar
• Babenko I, Bessembinder HH, Tserlukevich Y (2023) Risk hedging and loan covenants. Preprint, submitted January 27, http://dx.doi.org/10.2139/ssrn.3675898.Google Scholar
• Bailey M, Cao R, Kuchler T, Stroebel J (2018) The economic effects of social networks: Evidence from the housing market. J. Political Econom. 126(6):2224–2276.Crossref, Google Scholar
• Bakke T-E, Mahmudi H, Fernando CS, Salas JM (2016) The causal effect of option pay on corporate risk management. J. Financial Econom. 120(3):623–643.Crossref, Google Scholar
• Basu S, Bundick B (2017) Uncertainty shocks in a model of effective demand. Econometrica 85(3):937–958.Crossref, Google Scholar
• Bolton P, Chen H, Wang N (2011) A unified theory of Tobin’s q, corporate investment, financing, and risk management. J. Finance 66(1):1545–1578.Crossref, Google Scholar
• Bolton P, Chen H, Wang N (2013) Market timing, investment, and risk management. J. Financial Econom. 109(5):40–62.Crossref, Google Scholar
• Bolton P, Wang N, Yang J (2019) Optimal contracting, corporate finance, and valuation with inalienable human capital. J. Finance 74(3):1363–1429.Crossref, Google Scholar
• Bonaimé AA, Hankins KW, Harford J (2014) Financial flexibility, risk management, and payout choice. Rev. Financial Stud. 27(4):1074–1101.Crossref, Google Scholar
• Doshi H, Kumar P, Yerramilli V (2018) Uncertainty, capital investment, and risk management. Management Sci. 64(12):5769–5786.Link, Google Scholar
• Dou WW, Ji Y, Tian D, Wang P (2021) Asset pricing with misallocation. Working paper, Wharton School of Business, Philadelphia.Google Scholar
• Drechsel T (2023) Earnings-based borrowing constraints and macroeconomic fluctuations. Amer. Econom. J. Macroeconomics 15(2):1–34.Google Scholar
• Dumas B (1991) Super contact and related optimality conditions. J. Econom. Dynamic Control 15(4):675–685.Crossref, Google Scholar
• FED (2022) Capacity utilization: Mining, quarrying, and oil and gas extraction: Oil and gas extraction (naics = 211) [caputlg211s]. Technical report, Federal Reserve Economic Data, St. Louis.Google Scholar
• Ferriani F, Veronese GF (2019) U.S. shale producers: A case of dynamic risk management? Preprint, submitted March 18, https://dx.doi.org/10.2139/ssrn.Google Scholar
• Froot KA, Scharfstein DS, Stein JC (1993) Risk management: Coordinating corporate investment and financing policies. J. Finance 48(5):1629–1658.Crossref, Google Scholar
• Gamba A, Triantis AJ (2014) Corporate risk management: Integrating liquidity, hedging, and operating policies. Management Sci. 60(1):246–264.Link, Google Scholar
• Garlappi L, Song Z (2017) Capital utilization, market power, and the pricing of investment shocks. J. Financial Econom. 126(3):447–470.Crossref, Google Scholar
• Gilje EP, Loutskina E, Murphy D (2020) Drilling and debt. J. Finance 75(3):1287–1325.Crossref, Google Scholar
• Greenwood J, Hercowitz Z, Huffman GW (1988) Investment, capacity utilization, and the real business cycle. Amer. Econom. Rev. 78(3):402–417.Google Scholar
• Grigoris F, Segal G (2024) The utilization premium. Management Sci. 70(1):207–224.Google Scholar
• Haushalter GD (2000) Financing policy, basis risk, and corporate hedging: Evidence from oil and gas producers. J. Finance 55(1):107–152.Crossref, Google Scholar
• Hayashi F (1982) Tobin’s marginal q and average q: A neoclassical interpretation. Econometrica 50(1):213–224.Crossref, Google Scholar
• Hennessy CA, Whited TM (2007) How costly is external financing? Evidence from a structural estimation. J. Finance 62(4):1705–1745.Crossref, Google Scholar
• Hotelling H (1931) The economics of exhaustible resources. J. Political Econom. 39(2):137–175.Crossref, Google Scholar
• Jaimovich N, Rebelo S (2009) Can news about the future drive the business cycle? Amer. Econom. Rev. 99(4):1097–1118.Crossref, Google Scholar
• Jensen MC, Meckling WH (1976) Theory of the firm: Managerial behavior, agency costs and ownership structure. J. Financial Econom. 3(4):305–360.Crossref, Google Scholar
• Jin Y, Jorion P (2006) Firm value and hedging: Evidence from U.S. oil and gas producers. J. Finance 61(2):893–919.Crossref, Google Scholar
• Jordà Ò (2005) Estimation and inference of impulse responses by local projections. Amer. Econom. Rev. 95(1):161–182.Crossref, Google Scholar
• Keynes JM (1936) The General Theory of Employment, Interest, and Money (Prometheus Books, Buffalo, NY).Google Scholar
• Kilian L (2009) Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. Amer. Econom. Rev. 99(3):1053–1069.Crossref, Google Scholar
• Kumar P, Rabinovitch R (2013) CEO entrenchment and corporate hedging: Evidence from the oil and gas industry. J. Financial Quant. Anal. 48(3):887–917.Crossref, Google Scholar
• Leland HE (1998) Agency costs, risk management, and capital structure. J. Finance 53(4):1213–1243.Crossref, Google Scholar
• Li S, Whited TM, Wu Y (2016) Collateral, taxes, and leverage. Rev. Financial Stud. 29(6):1453–1500.Google Scholar
• Lian C, Ma Y (2020) Anatomy of corporate borrowing constraints. Quart. J. Econom. 136(1):229–291.Crossref, Google Scholar
• Lievenbrück M, Schmid T (2014) Why do firms (not) hedge?—Novel evidence on cultural influence. J. Corporate Finance 25(1):92–106.Crossref, Google Scholar
• Nikolov B, Schmid L, Steri R (2019) Dynamic corporate liquidity. J. Financial Econom. 132(1):76–102.Crossref, Google Scholar
• OCC (2018) Comptroller’s Handbook: Oil and Gas Exploration and Production Lending (Office of Comptroller of the Currency, Washington, DC).Google Scholar
• Purnanandam A (2008) Financial distress and corporate risk management: Theory and evidence. J. Financial Econom. 87(3):706–739.Crossref, Google Scholar
• Rampini AA, Viswanathan S (2010) Collateral, risk management, and the distribution of debt capacity. J. Finance 65(6):2293–2322.Crossref, Google Scholar
• Rampini AA, Viswanathan S (2013) Collateral and capital structure. J. Financial Econom. 109(2):466–492.Crossref, Google Scholar
• Rampini AA, Sufi A, Viswanathan S (2014) Dynamic risk management. J. Financial Econom. 111(2):271–296.Crossref, Google Scholar
• Riddick LA, Whited TM (2009) The corporate propensity to save. J. Finance 64(4):1729–1766.Crossref, Google Scholar
• Staiger D, Stock JH (1997) Instrumental variables regression with weak instruments. Econometrica 65(3):557–586.Crossref, Google Scholar
• Tufano P (1996) Who manages risk? An empirical examination of risk management practices in the gold mining industry. J. Finance 51(4):1097–1137.Crossref, Google Scholar
• Xu Y, Liu X, Hu Z, Duan X, Chang J (2022) Pressure drawdown management strategies for multifractured horizontal wells in shale gas reservoirs: A review. ACS Omega 7(17):14516–14526.Crossref, Google Scholar