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原文：Financialriskmanagement:isitavalue-addingactivity？Financialriskmanagementisaprocesstodealwiththeuncertaintiesresultingfromfinancialmarkers.Itinvolvesassessingthefinancialrisksfacinganorganizationanddevelopingmanagementstrategiesconsistentwithinternalprioritiesandpolicies.Addressingfinancialrisksproactivelymayprovideanorganizationwithacompetitiveadvantage.Italsoensuresthatmanagement,operationalstaff,stakeholders,andtheboardofdirectorsareinagreementonkeyissuesofrisk.Consideringwhetherfinancialriskmanagementisvalue-adding.Althoughriskmanagementcanreducetotalrisk,thismaynotaffectthecostofcapitalorfirmvalue.Well-diversifiedinvestorshavealreadyeliminatedallofthespecificrisk,andrisk-managementmaybeseenasazeroNPVactivityatbest,andatworst,avalue-reducingactivity.However,thereisaroleforriskmanagement.Reductionoftotalriskmayreducetheexpectedcostsoffinancialdistress,thisincreasesfirmvalue.Presentamethodofinvestmentappraisalthattakesaccountoftotalriskthroughexpectedfinancialdistresscosts.Suchamethodcanresultinthreepossibledecisionsrelatingtoanewproject;rejecttheprojectinvestintheproject;andrisk-manage;orinvestintheprojectbutdonotrisk-manage.Finally,presentsworkedexamples.Whenconsideringafirm’sfinancialriskmanagementactivities,wemayasktwoquestions;whydofirmsengageinsuchactivities,andhowdotheydoit?Howfirmsengageinrisk-managementhasbeenextensivelyconsidered.Methodstypicallyinvolvecombiningfinancialinstrumentssuchasshares,bonds,optionsandfutures,inordertoobtainadesiredpayoffprofile(seeSmithandSmithson(1998)foranexcellentanalysis).Inthispaper,weconsiderthemorecontroversialquestion;whybotherwithfinancialrisk-management?Isfinancialrisk-managementvalueadding?ShapiroandTitman(1998)considerthisquestionofwhetherriskmanagementisdesirable.Afirm’stotalriskconsistsoftwoelements;marketrisk(whichmeasuresthesensitivityofthefirm’sstockpricetomarket-widemovements),andspecificrisk(whichmeasuresthestockpricemovementswhicharespecifictothefirm,andindependentofmarketmovements).AccordingtotheCAPMandAPTmodels,well-diversifiedinvestorsholdportfoliosthathavealreadyeliminatedallofafirm’sspecificrisk,butinvestorscannoteliminatemarketrisk.Theequilibriummarketpriceofeachfirm’ssharesintheportfolioissuchthatexpectedreturnsonlycompensateinvestorsforholdingmarketrisk,asembodiedinafirm’sbeta.Assuch,risk-managementactivitiesbythefirmareirrelevantinthesensethattheyareunabletoaddvalue.Theseactivitiesmayreducetotalrisk,butdiversifiedinvestorshavealreadydonesobyeliminatingallofthespecificrisk.Hence,riskmanagementactivitieswillnotincreasethemarketpriceofthefirm’sshares.ShapiroandTitman(1998)arguethat,sincefinancialinstrumentsarefairlypriced,andcompensateinvestorsformarketriskonly,hedgingriskthroughfinancialinstrumentsis,atbest,azeronetpresentvalue(NPV)activity.Intheworstscenario,riskmanagementmayactuallybevaluereducing,sinceitmaybeacostlyactivityintermsoftimeandresources.Riskmanagementirrelevancecanbeanalysedasfollows.Considerthevalueofthefirmasthesumofthediscountedvalueofexpectedfuturecashflows.Thatis,ifthefirmisexpectingcashflowsofX1inyeari,andthefirmdiscountsatacostofcapitalr,thenfirmvalueVisgivenby:V1=X1/(1+r)+X2/(1+r)^2+…(1)Thecostofcapital(ortheinvestors’requiredreturn)includesanelementformarketrisk.Thefirm’sriskmanagementactivitiesreducetotalrisk,butthiswillnotaffectthemarketrisk.Therefore,thefirm’sbetawillbeunchanged,andhencethecostofcapitalrwillremainthesame.Havingdemonstratedhowriskmanagementmaybe(atbest)anirrelevantactivity,SheperdandTitman(1998)proceedtorescueriskmanagementbyshowingthatitcanhaveaneffectonfirmvalue.Theyarguethattotalriskdoesmatter,throughitseffectsonthecashflows.Ahighleveloftotalriskmayincreaseexpectationsoffinancialdistress,hencereducingtheexpectedcashflows,andreducingfirmvalue.Riskmanagementaimedatreducingtotalrisk,althoughnotaffectingthediscountrate,mayincreaseexpectedcashflows,whichwouldbevalueincreasing.Furthermore,afirm’smanagershaveanincentivetoengageinriskmanagement,evenifthisisnotvalueincreasing.Asinglefirm’sfinancialdistressmaynotbeofmuchconcernforawell-diversifiedinvestor.However,itcouldbedisastrousforthemanagementofthatfirm,intermsoflossofemploymentandreputation.Itmaybearguedthatmanagementhasaprivatediscountratewhichreflectstotalrisk,andhenceexceedsthesocialdiscountrater.Sincethefirmisvaluedinthemarketusingr,themanagementwouldhavealowerprivatevaluationofthefirmthanthemarket.Riskmanagementcouldthenbeviewedasmanagement’sattemptstoincreasetheirprivatevaluationtowardsthemarketvaluation.Shouldweadjustthediscountrate?Shimko(2001)arguesthatwell-diversifiedinvestorsdonotexist.Therefore,theNPVmethodofinvestmentappraisalmaybeflawed,sinceitusesadiscountratethatonlyreflectsmarketrisk.HeproposesanadjustmenttotheNPVmethodinordertotakeaccountoftotalrisk.Hisrisk-adjustedpresentvalue(RPV)methodattackstheproblembyadjustingthediscountrate.Shimko’sRPVapproachisderivedasfollows.ConsideraoneperiodinvestmentprojectwithpresentvalueV1attime0(thisistheamountthattheinvestorispreparedtopayattime0,andisdefinedascashcapital).Thetime1cashflowprovidedb