企业外汇衍生品套期保值的动因及价值效应分析

发布时间：2018-02-17 01:30

本文关键词： 外汇衍生品套期保值企业价值　出处：《杭州电子科技大学》2016年硕士论文　论文类型：学位论文

【摘要】：20世纪70年代,布雷顿森林体系瓦解后,浮动汇率制度取代固定汇率制逐渐成为世界的主流。汇率管制政策逐渐取消,国际经济活动也日益频繁,进一步加剧了汇率的波动。为了满足投资者转移和规避汇率风险的需要,外汇衍生品应运而生。然而外汇衍生品犹如一把双刃剑,使用得当可以提高企业避险能力,但使用不当或过度投机时则可能给企业带来巨大损失。中信泰富、中国国航、深南电等企业运用外汇衍生品进行风险管理导致巨亏的事件屡见不鲜,导致许多投资者陷入谈“衍”色变的恐慌中,却很少有人去探讨企业发生巨亏背后的内在原因:企业持有外汇衍生品的到底是做套期保值还是从事投机获利?如何判断?如果是套期保值,那么又受哪些因素的影响?在当前环境下,使用外汇衍生品套期保值又能否提升企业价值?故本文将带着上述问题展开研究。本文以2010-2014年沪深两市中外汇衍生品业务信息披露较为详细的的非金融上市企业作为研究对象,在实证分析前,先将套期保值企业与投机获利企业区分开来,获取套期保值样本,然后按照相同行业、相同规模、相同外汇风险敞口的原则选择配对样本,最后实证检验上市企业运用外汇衍生品套期保值的动因及其效果。本文的实证结论主要包括:(1)规避汇率风险和经理层自身利益最大化是我国企业运用外汇衍生品套期保值的主要动因,减少税负、降低财务困境成本和缓解投资不足等衡量企业价值最大化的动机并未得到验证与支持,西方理论界提出的套期保值动机理论不适用于解释我国企业运用外汇衍生品套期保值的行为。(2)企业运用外汇衍生品套期保值和企业价值负相关,与预期假设不相符。最主要的原因是,所选样本期间,美元持续贬值,而大部分外汇衍生品套保公司针对美元负债从事套期保值,给企业创造的是损失而不是利润,所以企业外汇衍生品套期保值导致企业价值下降也是合乎情理的。
[Abstract]:In 1970s, after the collapse of Bretton Woods system, the floating exchange rate system replaced the fixed exchange rate system and gradually became the mainstream of the world. In order to meet the needs of investors to transfer and avoid exchange rate risks, foreign exchange derivatives came into being. However, foreign exchange derivatives are like a double-edged sword and can be used properly to improve the ability of enterprises to avoid risks. Companies such as CITIC Pacific, Air China and Shennan Electric use foreign exchange derivatives to manage their risks. As a result, many investors are caught in the panic of talking about "spreading" changes, but few people go to explore the underlying reasons behind the huge losses of enterprises: is the firm holding foreign exchange derivatives to hedge or to engage in speculative profits? How to judge? If hedging, then by what factors? In the current environment, can the use of foreign exchange derivatives hedging enhance corporate value? Therefore, this paper will carry out the research with the above questions. This paper takes the non-financial listed companies with detailed information disclosure of foreign exchange derivatives business in Shanghai and Shenzhen stock markets from 2010 to 2014 as the research object, before the empirical analysis, First, the hedging enterprises are distinguished from the profit-making enterprises, and then the hedging samples are obtained, and then matched samples are selected according to the principle of the same industry, the same scale and the same foreign exchange risk exposure. Finally, empirical tests are made on the motivation and effect of hedging of foreign exchange derivatives in listed enterprises. The empirical conclusions of this paper mainly include: 1) avoiding exchange rate risk and maximizing the interests of managers is the use of foreign exchange derivatives by Chinese enterprises. The main motivation of hedging, The motivation to reduce the tax burden, reduce the cost of financial distress and alleviate the underinvestment is not verified and supported. The theory of hedging motivation proposed by western theorists is not applicable to explain the behavior of foreign exchange derivatives hedging in Chinese enterprises. (2) there is a negative correlation between foreign exchange derivatives hedging and firm value. The main reason is that the dollar continued to depreciate during the selected sample period, while most foreign exchange derivatives hedging companies hedged against dollar liabilities, creating losses rather than profits for businesses. So it is reasonable that the hedging of foreign exchange derivatives leads to the decline of enterprise value.
【学位授予单位】：杭州电子科技大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.5

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