被套期项目及其套期的风险信息披露与投资者判断

发布时间：2018-06-18 04:53

本文选题：套期保值 + 风险信息　；参考：《南开大学》2014年博士论文

【摘要】：为规避汇率、利率、商品价格等大幅变动对公司业绩造成的不利影响,越来越多的公司使用期货、期权等衍生金融工具进行套期保值。如何合理、恰当地向公司的外部利益相关者、尤其是向投资者传递公司被套期项目及其套期工具的相关风险信息,使投资者能够较好地感知公司套期保值的风险状况,并作出比较恰当的投资判断,是提高会计信息质量、保护投资者利益的一个重要方面。本文以心理学中的相关理论为基础,采用实验研究方法检验了被套期项目及其套期工具的风险信息披露内容、形式对个体投资者判断的影响。本文共分六章。第一章为引言；第二章为文献综述,分别回顾了市场风险信息披露、衍生金融工具使用的经济后果、信息披露内容形式等相关文献的研究现状；第三章基于心理学的个体认知能力有限性、启动效应、风险判断行为观等相关理论,分析了被套期项目及其套期工具的风险信息披露内容、形式对个体投资者判断的影响,提出了本文的研究假设；第四章介绍了实验总体设计及实验参与者；第五章对实验数据进行详细地分析,检验了研究假设；第六章对本文的研究结论进行总结,并讨论了可能存在的研究局限及未来研究方向。本文的主要研究结论包括： 1.理论分析表明：由于个体投资者认知的局限性和启动效应等原因,被套期项目及其套期保值工具的风险披露内容和形式,会影响个体投资者的投资判断。这些内容和形式包括：仅披露被套期项目及其套期保值工具的损失风险,同时披露被套期项目及其套期保值工具的损失和收益风险,以及增加或单独披露套期保值后的净风险等。此外,投资者对被套期项目价格上升风险的担忧程度、净利润波动程度会中介风险信息披露内容、形式对投资者投资判断的影响。 2.实验结果表明：(1)不进行套期保值且对燃油价格波动风险仅披露损失信息,与进行套期保值且对燃油(被套期项目)价格波动风险及其套期保值工具风险仅披露损失信息,两种情况下,个体投资者判断的投资风险和投资吸引力均没有显著差异,即个体投资者未能够感知到套期保值带来的风险降低,并作出了不恰当的投资判断。 (2)与对燃油(被套期项目)价格波动风险及其套期保值工具风险仅披露损失信息相比,在此基础上增加披露套期保值后净风险的损失信息时,个体投资者判断的投资风险更低、投资吸引力更高,即个体投资者能够感知到套期保值带来的风险降低,并作出比较恰当的投资判断。但与前述的增加披露套期保值后净风险的损失信息相比,在仅披露套期保值后净风险的损失信息的情况下,个体投资者判断的投资风险更高、投资吸引力更低。 3.实验结果表明：(1)与对燃油价格波动风险及其套期保值工具风险仅披露损失信息相比,当对燃油价格波动风险及其套期保值工具风险同时披露损失和收益信息时,个体投资者判断的投资风险更低、投资吸引力更高,即个体投资者能够感知到套期保值带来的风险降低,并能够作出比较恰当的投资判断。 (2)与不进行套期保值时对燃油价格波动风险同时披露损失和收益信息相比,在进行套期保值的情况下,对燃油价格波动风险及其套期保值工具风险同时披露损失和收益信息时,个体投资者判断的投资风险更低、投资吸引力更高,即个体投资者能够感知到套期保值带来的风险降低,并作出比较恰当的投资判断。 (3)在对燃油价格波动风险及其套期保值工具风险同时披露损失和收益信息的情况下,无论是否增加披露套期保值后净风险的损益信息,个体投资者判断的投资风险和投资吸引力均没有显著差异；但与前述的增加披露套期保值后净风险的损益信息相比,仅披露套期保值后净风险的损益信息时,个体投资者判断的投资风险更高、投资吸引力更低。 4.实验结果表明,个体投资者在进行投资判断的过程中,感知的燃油价格上升风险的担忧程度分别部分中介了净风险信息披露形式、风险信息披露内容对投资者判断的净利润波动程度的影响；净利润波动程度完全中介了燃油价格上升风险的担忧程度对投资风险判断的影响；投资风险判断完全中介了净利润波动程度对投资吸引力评价的影响。以上结果表明,对于燃油价格波动风险及其套期保值工具风险,仅披露损失信息,未能使投资者感知到套期保值带来的风险降低,并使得投资者作出不恰当的投资判断；对燃油价格波动风险及其套期保值工具风险,同时披露损失和收益信息,或者在仅披露损失信息的基础上增加披露套期保值后净风险损失信息,均能够使投资者感知到套期保值带来的风险降低,并使得投资者能够作出比较恰当的投资判断。
[Abstract]:In order to avoid the adverse effects of large changes in exchange rate, interest rate and commodity price on company performance, more and more companies use derivative financial instruments such as futures and options to hedge. How to properly and appropriately transfer to the external stakeholders of the company, especially to the investor, is related to the company's hedging and hedging tools. Risk information is an important aspect of improving the quality of accounting information and protecting the interests of investors by making investors better aware of the risk status of hedging and making a more appropriate investment judgment. This paper, based on the related theories in psychology, examines the hedged projects and their hedges based on the empirical research method. The influence of risk disclosure content and form on individual investors' judgment.
This article is divided into six chapters. The first chapter is the introduction; the second chapter is the literature review, which reviewed the research status of the market risk information disclosure, the economic consequences of the use of derivative financial instruments, the form of information disclosure content and so on. The third chapter is based on the limitations of the individual cognitive ability, starting effect, and the behavior view of risk judgment based on psychology. The fourth chapter introduces the overall design of the experiment and the participants in the experiment; the fifth chapter analyzes the experimental data in detail to test the hypothesis of the research, and the sixth chapter to this article. The research conclusions are summarized, and possible research limitations and future research directions are discussed.
The main conclusions of this paper are as follows:
1. theoretical analysis shows that the content and form of risk disclosure by hedging items and hedging tools will affect the investment judgment of individual investors because of the limitations of individual investors' cognition and starting effect. These contents and forms include only disclosing the loss risks of the hedged items and their hedging tools. The loss and return risks of hedged items and their hedging tools are disclosed, and the net risk after hedging is added or individually disclosed. In addition, the extent to which investors are concerned about the risk of the price rise of the hedged items, the extent to which the net profit fluctuates will affect the disclosure of the risk information, and the influence of the form on the investor's investment judgment.
2. experimental results show that: (1) no hedging and only disclosure of loss information on the risk of fuel price volatility, and the risk of hedging and the price volatility of fuel (the hedged item) and the risk of hedging tools only disclosure of loss information, in the two cases, the individual investors have no investment risk and investment attraction. The significant difference is that individual investors can not perceive the risk reduction caused by hedging and make inappropriate investment judgments.
(2) on the basis of increasing the loss information of the net risk after disclosure of hedging, the individual investor's investment risk is lower and the investment attraction is higher, that is, the individual investor can perceive the hedging. The risk is lower, and a more appropriate investment judgment is made. But compared with the above information on the loss of the net risk after the hedging, the individual investor's investment risk is higher and the investment attractiveness is lower in the case of only disclosure of the net risk loss information after the hedging.
3. experimental results show that: (1) compared with the risk of fuel price volatility and the risk of hedging tool disclosure only loss information, when the risk of fuel price volatility and the risk of hedging tools disclose loss and income information simultaneously, the investment risk of individual investors is lower and the investment attraction is higher, that is, individual investors can It is enough to perceive the risk reduction caused by hedging and make a more appropriate investment judgement.
(2) compared with the disclosure of loss and income information at the same time, when the hedging risks are disclosed at the same time, when the hedging is carried out, the investment risk of the individual investors is lower and the investment attraction is higher, that is, the individual investor is more attractive, that is, the individual investor, when the hedging is carried out. Investors can perceive the risk reduction caused by hedging and make a more appropriate investment judgment.
(3) in the case of the risk of fuel price volatility and its hedging tool risk simultaneously disclosing the loss and income information, no matter whether or not it increases the profit and loss information of the net risk after the disclosure of hedging, there is no significant difference between the investment risk and the investment attraction of the individual investors. Compared with the profit and loss information of insurance, when the information about profit and loss of net risk after hedging is disclosed, the investment risk of individual investors is higher and the investment attraction is lower.
4. experimental results show that, in the process of investment judgment, individual investors' perceived risk of rising risk of fuel price rises partially mediates the disclosure form of net risk information, and the content of risk information disclosure affects the net profit volatility of investors, and the degree of net profit volatility is a complete medium for the rise of fuel price. The impact of risk degree on investment risk judgment; investment risk judgment completely mediated the impact of net profit volatility on investment attractiveness evaluation.
The above results show that, for the risk of fuel price volatility and its hedging tool risk, only disclosure of loss information can not cause investors to perceive the risk of hedging, and make investors make inappropriate investment judgments; the risk of fuel price volatility and hedging tools risk, and disclosure of losses and returns. Information, or on the basis of only disclosure of loss information, can increase the net risk loss information after the disclosure of hedging, which can make investors feel the risk of hedging and make investors make more appropriate investment judgments.
【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51;F275

【参考文献】