衍生工具使用行为对公司价值影响实证研究
发布时间:2018-05-28 18:09
本文选题:衍生工具 + 套期保值 ; 参考:《安徽财经大学》2012年硕士论文
【摘要】:伴随各种不可保风险增多及金融自由化浪潮,公司使用衍生工具规避国际国内各种风险的需求越来越大,衍生工具使用日益普遍。衍生工具为避险而生,但若使用不当,却能给公司带来巨大灾难,近年来国内外发生的众多因衍生工具使用不当引发的巨亏案例一次次为我们敲响了警钟,因此研究如何使用衍生工具及衍生工具与公司价值之间关系已引起理论界和实证界的广泛关注。 国外对衍生工具研究较为成熟,相关实证结论也较统一,即认为衍生工具使用可以通过降低收入波动性减少税收或财务危机成本等来提升公司价值。国内研究相对滞后,相关理论基础及分析框架都是借鉴西方已有成熟的理论,研究内容也多为衍生工具介绍、监管、相关信息披露及风险控制等,方法多为规范研究,较少的实证研究结论也并未统一。 本文在国内外研究的基础上,首先对衍生工具的产生和发展及相关概念进行了系统介绍,然后在理论分析和经验证据的基础上进行实证研究,选取机械,设备,仪表类及金属,非金属类行业2007-2010年数据作为研究样本,通过横向及纵向比较研究我国衍生工具使用行为对公司价值影响,实证结果显示:在我国,相较于未使用衍生工具公司,使用衍生工具显著提升了公司价值;相较于使用衍生工具前,使用衍生工具给公司带来了更高的托宾Q和更低的净资产收益率,前者不显著,后者显著;公司使用衍生工具套期保值效果与公司价值无显著正相关关系。此外,控制变量中资产负债率与固定资产比例均与公司价值显著负相关,营业收入增长率与公司价值显著正相关。 本文经实证研究后,分别从政府层面和公司层面对衍生工具发展相关问题提出一些政策建议,并结合本文研究局限性对未来研究进行了展望。
[Abstract]:With the increase of uninsurable risks and the wave of financial liberalization, the demand for companies to use derivatives to avoid various risks at home and abroad is increasing, and the use of derivatives is becoming more and more common. Derivatives are born to avoid risks, but if they are not used properly, they can bring great disaster to the company. In recent years, many cases of huge losses caused by improper use of derivatives have sounded the alarm for us again and again. Therefore, the study of how to use derivatives and the relationship between derivatives and corporate value has attracted wide attention in both theoretical and empirical circles. Foreign research on derivatives is more mature, and the relevant empirical conclusions are more uniform, that is, the use of derivatives can reduce the volatility of income and reduce the cost of tax or financial crisis to enhance the value of the company. The relative lag of domestic research, the relevant theoretical basis and analysis framework are used for reference from the western mature theory, the research content is mostly derivatives introduction, supervision, related information disclosure and risk control, and the methods are mostly normative research. Less empirical research conclusions are not uniform. Based on the research at home and abroad, this paper first introduces the generation and development of derivatives and related concepts, and then carries out empirical research on the basis of theoretical analysis and empirical evidence, and selects machinery, equipment, instrumentation and metals. The data of non-metal industry from 2007 to 2010 are used as research samples to study the influence of derivatives use behavior on corporate value through horizontal and vertical comparison in China. The empirical results show that: in China, compared with non-used derivative companies, The use of derivatives has significantly increased the value of the company, compared with before the use of derivatives, the use of derivatives to the company brought a higher Tobin Q and a lower return on net assets, the former is not significant, the latter significant; There is no significant positive correlation between the hedging effect and the company value. In addition, the ratio of assets to liabilities and the proportion of fixed assets in the control variables are negatively correlated with the value of the company, and the growth rate of operating income is positively correlated with the value of the company. After empirical research, this paper puts forward some policy suggestions on the development of derivatives from the government level and the company level, and looks forward to the future research combined with the limitations of this study.
【学位授予单位】:安徽财经大学
【学位级别】:硕士
【学位授予年份】:2012
【分类号】:F275;F832.5
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