衍生金融工具对我国上市公司价值影响研究

发布时间：2018-08-06 08:45

【摘要】：伴随着全球经济一体化的发展,利率、汇率等指标的变化更加频繁,经济活动更加复杂,出于规避风险的考虑,越来越多的企业选择使用衍生金融工具,但是衍生金融工具本身也具有极大的风险性,企业需要在这之间作出权衡。在此背景下,衍生金融工具对公司价值的影响研究的受到越来越多的关注,本文对企业使用衍生金融工具的公司价值影响问题进行了理论与实证研究。首先从衍生金融工具以及公司价值的相关基础理论出发,介绍本文的相关概念,接着将两者结合,回顾以前学者对衍生金融工具和公司价值之间关系的研究。在此基础上,分析当前国内使用衍生金融工具的现状以及使用过程中存在的问题。其后,也是本文的核心部分,选取使用衍生金融工具最多的银行业上市公司2008-2010年年报作为研究对象,构建多元线性回归模型,实证研究我国企业使用衍生金融工具对公司价值的影响。实证过程中,本文选择市场价值指标和财务绩效指标两个维度来衡量公司价值,文中市场价值指标选择托宾Q值和市值账面比作为代理变量,财务绩效指标选择营业利润率和每股营业作为代理变量,实证结果显示,衍生金融工具的使用可以显著提高公司的托宾Q值和市值账面比,而对营业利润率以及每股盈余却无法证实显著提高。本文推测产生这种情况的原因可能是由于市场价值反映公司的长期价值,衍生金融工具对公司长期价值的影响可能比较显著,而对反映公司历史状况的财务绩效指标影响却不显著,另一方面,由于上市银行的利润来源比较集中(主要是存贷差和中间业务),所以实证结果显示衍生金融工具对营业利润率和每股盈余的影响并不明显。最后,本文根据理论和实证分析结果对我国衍生金融工具的发展分别从公司层面、衍生金融工具市场层面以及政府监管层面提出相关建议。
[Abstract]:With the development of global economic integration, interest rate, exchange rate and other indicators change more frequently, and economic activities become more complex. In order to avoid risks, more and more enterprises choose to use derivative financial instruments. But the derivative financial instrument itself also has the great risk, the enterprise needs to make the tradeoff between this. In this context, more and more attention has been paid to the influence of derivative financial instruments on corporate value. This paper makes a theoretical and empirical study on the impact of derivative financial instruments on corporate value. Starting from the basic theory of derivative financial instruments and corporate value, this paper introduces the relevant concepts of this paper, and then combines them to review the previous researches on the relationship between derivative financial instruments and corporate value. On this basis, this paper analyzes the current situation and problems in the use of derivative financial instruments in China. Then, it is the core part of this paper, which selects the banking listed companies with the most derivative financial instruments as the research object of 2008-2010 annual report, and constructs the multiple linear regression model. Empirical study on the impact of derivative financial instruments on corporate value. In the empirical process, this paper chooses two dimensions of market value index and financial performance index to measure the company value, and chooses Tobin Q value and market value book ratio as proxy variables. The results show that the use of derivative financial instruments can significantly improve the Tobin Q value and the market value to book ratio. On the operating margin and earnings per share can not prove a significant increase. This paper speculated that the reason for this may be that the market value reflects the long-term value of the company, and the influence of derivative financial instruments on the long-term value of the company may be more significant. However, the impact on the financial performance indicators, which reflect the historical situation of the company, is not significant, on the other hand, Because the profit sources of listed banks are relatively concentrated (mainly the difference between deposit and loan and intermediate business), the empirical results show that the influence of derivative financial instruments on operating profit margin and earnings per share is not obvious. Finally, according to the theoretical and empirical analysis results, the development of derivative financial instruments in China from the corporate level, derivative financial instruments market level and government regulatory level put forward the relevant recommendations.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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