衍生工具套期保值与企业价值关系研究

发布时间：2018-05-12 00:18

本文选题：衍生工具 + 套期保值　；参考：《北方工业大学》2013年硕士论文

【摘要】：随着中国企业国际化经营步伐的加快,不可避免的面临着利率、汇率、重要商品价格波动风险,有越来越多的中国企业开始利用衍生工具进行风险管理,套期保值已成为许多企业经营活动中的关键组成部分。但是,由于衍生工具的杠杆性、复杂性和投机性等特点,使其具有高收益性和高风险性并存的天然属性,使用不当、贸然参与都有可能给企业带来巨大损失。在此背景之下,企业究竟是否应该使用衍生工具,如何客观公正的看待衍生工具,衍生工具对我国企业价值又有何影响值得关注。本文以衍生工具为基础,以企业价值研究为核心,通过分析我国企业使用衍生工具套期保值对企业风险,进而对企业价值的影响,以期加强企业对衍生工具的认识。本文使用EVA作为企业价值的替代指标,与传统的会计收益指标相比,EVA更加全面,更注重企业的长期利益与可持续发展,且在目前我国资本市场有效性、价值发现功能等方面尚不成熟的情况下,比现金流量折现法、托宾Q法等对企业价值的评估更加可靠。首先,对文中涉及的三个重要概念——衍生工具、套期保值与企业价值进行了阐述,对风险管理价值理论,以及企业价值评估方法与影响企业价值的因素进行了论述。其次,运用我国制造业中机械、设备、仪表行业的上市公司2009年至2011年的数据对企业使用衍生工具套期保值与企业风险、企业价值的关系进行实证分析,得出结论如下：运用衍生工具套期保值与企业价值之间存在显著的正相关关系,证明套期保值有利于提高企业价值。文章最后对研究结论进行总结,并结合我国现状,对加强企业使用衍生工具的外部监管和内部监控进行了探讨,提出相关建议,进而指出本次研究的局限性并进行了展望。
[Abstract]:With the accelerated pace of internationalization of Chinese enterprises, it is inevitable to face the risk of fluctuation of interest rates, exchange rates and important commodity prices. More and more Chinese enterprises begin to use derivatives for risk management. Hedging has become a key component of many business activities. However, because of the characteristics of leverage, complexity and speculation, derivatives have the natural properties of high profitability and high risk, which may bring huge losses to the enterprises if they are used improperly and rashly take part in them. Under this background, whether the enterprise should use the derivative instrument, how to treat the derivative instrument objectively and fairly, and what influence the derivative instrument has on the enterprise value of our country is worth paying attention to. Based on the derivative instruments and the research on the enterprise value, this paper analyzes the influence of the hedging of the derivative instrument on the enterprise risk and the enterprise value, in order to strengthen the enterprise's understanding of the derivative instrument. In this paper, EVA is used as an alternative index of enterprise value. Compared with the traditional accounting income index, EVA is more comprehensive, pays more attention to the long-term interests and sustainable development of enterprises, and is effective in the capital market of our country at present. When the function of value discovery is not mature, it is more reliable than the discounted cash flow method, Tobin Q method and so on. First of all, the paper expounds the three important concepts involved in this paper, namely, derivatives, hedging and enterprise value, and discusses the theory of risk management value, the method of enterprise value evaluation and the factors influencing enterprise value. Secondly, using the data from 2009 to 2011 of the listed companies in the machinery, equipment and instrumentation industry of our country, the paper makes an empirical analysis on the relationship between the hedging of enterprises using derivative instruments and the risk and value of enterprises. The conclusions are as follows: there is a significant positive correlation between the hedging of derivative instruments and the enterprise value, which proves that hedging is beneficial to the improvement of enterprise value. In the end, the paper summarizes the conclusions of the study, and combines with the present situation in China, discusses the external and internal supervision of the use of derivatives in enterprises, puts forward some relevant suggestions, and then points out the limitations of this study and looks forward to the future.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.5;F224

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