基于风险的煤炭类上市公司市值管理及套期保值研究

发布时间：2017-12-26 15:51

本文关键词：基于风险的煤炭类上市公司市值管理及套期保值研究　出处：《中国矿业大学(北京)》2016年博士论文　论文类型：学位论文

【摘要】：市值管理的概念从提出至今不过十余年,我国对于市值管理的认识和实践尚处于探索阶段。随着“新国九条”的出台,国家鼓励上市公司将市值管理作为公司管理制度的内容,市值管理受到越来越多的重视。上市公司大多通过资本运作手段,如定向增发、股份回购、整体上市、资产注入、吸收合并、借壳上市、融资融券等开展市值管理。通过对采用资本运作手段前后的市值管理绩效进行评价和比较,我们可以看出资本运作的手段是具有一定效果的。然而随着经济全球化的飞速发展,以及股市进入新常态后呈现的剧烈波动,金融市场风险对公司市值有着前所未有的重要影响,从风险的视角进行市值管理,为股东创造财富的同时保护好财富,势在必行。从风险的视角进行市值管理,主要工作就是利用金融衍生品市场进行套期保值。通过套期保值,可以将风险控制在一定范围内,具体而言,在经济过热时期可以为企业锁定成本,在资金紧缺时期可以为企业降低融资成本,经济低迷或供给过剩阶段通过套期保值可以为企业稳定利润。因此,企业利用套期保值的操作可以在风险可控的基础上实现风险最小化,与市值管理目标相同。企业通过套期保值可以对冲风险,然而利用金融衍生品进行套期保值本身就具有风险,企业进行套期保值的过中如果操作不当,不但不会降低风险,反而会因为使用了不恰当的套期保值而带来更大的损失。因避险能力不足,套期保值亏损已成为公司亏损的重要原因。企业要不要进行套期保值操作,使用金融衍生工具到底降低风险还是增加风险,如何利用金融衍生工具套期保值,成为煤炭企业需要面对的问题。如果使用套期保值策略,如何提高套期保值的有效性成为企业从风险视角进行市值管理的重要问题。煤炭类上市公司面临的主要风险是商品价格波动引起的风险。煤炭处于煤、焦、钢、矿黑色产业链之中,其价格受到产业链的整体影响。黑色产业链期货全面上市后,人们普遍认为会对整个产业链内价格联动性带来促进作用。然而这一认识并没有得到实证检验。本文正是基于以上的问题,以煤炭企业为例,从煤炭企业市值管理现状出发,识别煤炭企业面临的最主要的风险,研究企业进行风险管理(主要指金融衍生品的使用)与公司市值的关系。以持有焦煤期货为例,对使用金融衍生品进行风险管理的风险进行度量。检验煤炭企业所处的黑色产业链主要期货品种上市后,黑色产业链期货品种之间的价格联动性的变化。通过对多品种套期保值的研究以及套期保值模型的改进,来解决利用期货套期保值的过程中,套期保值本身带来的风险问题。论文的主要研究内容如下:第一章引言总领全篇。首先对研究对象的概念进行了界定,介绍了本文的研究背景,提出了本文的研究意义以及要研究的问题。详细阐述了本研究的研究内容和所用方法,列出本文的研究思路,为撰写全文做准备。第二章文献综述。介绍了与本文研究内容相关的国内外研究现状,包括市值管理理论的研究、风险度量理论的研究、风险管理理论的研究和风险管理对公司价值的影响,并对已有的研究进行评述,为本文的研究奠定理论基础。第三章市值管理现状分析。这部分对我国现阶段市值管理现状进行分析并指出存在的问题。以煤炭类上市公司为例,运用DEA模型对公司市值管理绩效进行评价,对目前煤炭类上市公司面临的风险进行识别,介绍市值管理的主要措施,为下文的风险度量、风险控制做铺垫。第四章煤炭企业金融风险管理与企业市值研究。这一章首先研究了金融风险管理对公司市值的作用机理,其次对煤炭企业金融风险管理与公司市值的关系进行了实证研究。结果表明煤炭企业运用金融衍生工具进行风险管理对公司市值管理具有促进作用,这是从风险视角进行市值管理的前提,由此展开下文。第五章金融市场风险度量仿真研究。通过比较各种金融风险度量模型,最终选择基于Monte Carlo模拟法,以煤炭类上市公司为例计算使用焦煤期货的Va R值,对金融市场风险进行仿真度量。风险度量是风险管理的关键步骤,是风险控制的基础,是基于风险的视角进行市值管理的重要组成部分。第六章黑色产业链期货对产业链内价格联动性影响分析。煤炭类上市公司面临的主要风险是商品价格波动引起的风险。煤炭处于煤、焦、钢、矿黑色产业链之中,其价格收到产业链的整体影响。煤炭企业更好的进行风险管理必须结合自身所处的产业链内价格联动的特殊条件。黑色产业链期货品种之间的价格联动性越来越强,为接下来多品种套期保值的研究以及套期保值模型的改进、解决套期保值本身带来的风险问题奠定基础。第七章多品种期货套期保值研究。引入“藤”结构思想,结合Copula函数和GARCH模型推导新的多品种套期保值模型,并进行实证研究,比较传统的单品种套期保值和本文所研究的多品种套期保值模型的避险效果,得到本文结论。第八章结论与展望是对全文进行总结。总结了全文的研究成果,提出了论文研究的创新点和研究存在的不足之处,并对下一步工作进行展望。本文得到的结论:通过总结上市公司市值管理的现状,并运用DEA模型研究了40家煤炭类上市公司市值管理情况,对煤炭类上市公司的市值管理绩效进行评价。根据当前煤炭供求关系不断恶化,市场持续低迷,各大煤炭企业深陷亏损困局当中这一现状,指出原材料价格波动引起的风险是当前煤炭企业运营的首要风险。引出下文煤炭企业运用期货进行套期保值的风险度量和套期保值模型的改进。采用金融衍生品进行风险管理对于公司市值管理具有显著的促进作用,通过反应业绩的指标可以看出,企业是否采用金融衍生品进行风险管理对于企业业绩的影响尚不能确定。判断风险管理与公司市值的关系是企业从风险视角进行市值管理的基础。利用Monte Carlo模拟法计算煤炭企业持有焦煤期货的Va R值,该值反映了煤炭企业持有该期货在未来一个月可能面临的损益值。度量风险是风险管理的重要步骤,是市值管理的重要内容。研究煤炭价格波动的风险必须回归到煤炭所处的整个黑色产业链中来。处于黑色产业链中的焦煤、焦炭和螺纹钢的现货价格数据上存在长期稳定的关系,铁矿石上市交易后,黑色产业链主要期货品种齐备,黑色产业链现货间价格的联动性明显增强。通过实证及量化分析的方法,证明了黑色产业链期货品种上市,尤其是主要品种齐备,对于黑色产业链的价格联动性有了一个良好的促进作用,为现货企业进行跨品种的风险对冲奠定基础。将N元Copula函数应用到多品种套期保值上来,这一探索很好的拟合了期货和现货的非线性对冲和期货与期货之间的非线性叠加,达到了提高套期保值准确度这一最终目的。本文主要的创新点有:运用多元回归分析方法,找出影响市值的相关指标和影响公司业绩的相关指标,以是否使用金融衍生品进行风险管理作为虚拟变量,研究煤炭类上市公司采用金融衍生品进行风险管理对市值的影响,得出应用金融衍生品进行风险对冲对公司市值的提高具有促进作用的结论。首次实证分析了煤炭类上市公司风险管理与市值的关系,为煤炭企业从风险视角进行市值管理奠定基础。从期货定价理论出发,找出了市场风险因子与焦煤期货价值的映射关系,根据这一关系,随机模拟了影响焦煤期货价值的两个风险因子(无风险市场利率和资产的平均收益率)的30种可能性,应用Monte Carlo模拟法,计算期限为一个月的焦煤期货在险价值。该值反映了煤炭企业持有该期货在未来一个月可能面临的损益值。煤炭企业目前面临着巨大的价格波动风险,对价格风险进行管理不可不回归到整个黑色产业链。许多学者曾研究同一产业链内价格的联动性,但黑色产业链内主要期货品种已全部上市,这在其他产业链是没有的。采用向量自回归模型VAR研究黑色产业链期货全部上市对产业链内价格联动的性的影响,结果表明2013年铁矿石上市交易,黑色产业链主要期货品种齐备以后,黑色产业链现货间价格的联动性明显增强。焦炭、焦煤和螺纹钢的现货价格数据上存在显著的长期稳定的关系,企业进行套期保值可以选择跨品种对冲。将Copula藤结构的分解方法用于多元Copula函数的分解中,较好的避免了Copula函数应用时的缺陷,并且得到了基于Copula理论的期货与期货、期货与现货之间的两两非线性相依关系,将其用到N元Copula函数的多品种套期保值上来。本文针对于两种期货和一种现货采用不同的分布来描述二者不同特征,实现了更好的拟合数据序列自身特征的理论要求,从而达到了使其贴近数据本身的特性目的。
[Abstract]: the concept of market value management has been put forward for more than ten years, and the understanding and practice of market value management in China is still at the exploratory stage. With the introduction of "the nine new country", the State encourages listed companies to take market value management as the content of the company management system, and the market value management has been paid more and more attention. Most of the listed companies carry out market value management through capital operation means, such as private placement, share repurchase, overall listing, asset injection, merger and acquisition, backdoor listing, margin trading and so on. Through the evaluation and comparison of market value management performance before and after the use of capital operation means, we can see that the means of capital operation are of certain effect. However, with the rapid development of economic globalization and the sharp fluctuations in the stock market has entered a new norm of the financial market risk has an important impact on the hitherto unknown market value, the market value of management from the perspective of risk, create wealth for shareholders and protect the wealth, imperative. The main work of the market value management from the perspective of risk is to use the financial derivatives market for hedging. Through hedging, risk can be controlled in a certain range, in particular, in the period of economic overheating and enterprises can lock the cost, the shortage of funds in the period for enterprises to reduce financing costs, the economic downturn or oversupply stage through hedging for enterprises stable profit. Therefore, the operation of hedging can minimize the risk on the basis of risk control, which is the same as the target of market value management. The enterprise can hedge the risk through hedging, however the use of financial derivatives to hedge itself has risks, hedge in if improper operation, will not only reduce the risk, but because of improper use of hedging and greater losses. Due to the lack of risk avoidance ability, hedging loss has become an important reason for the loss of the company. Whether enterprises need to hedge operations, whether or not to use financial derivatives to reduce risks or increase risks? How to hedge with financial derivatives has become a problem that coal companies need to face. If the hedging strategy is used, how to improve the validity of hedging has become an important problem for the enterprise to manage the market value from the perspective of risk. The main risk faced by coal listed companies is the risk caused by the fluctuation of commodity prices. Coal is in the black industrial chain of coal, coke, steel and mine, and its price is influenced by the whole industry chain. After the full listing of black industrial chain futures, people generally believe that it will promote the linkage of price in the whole industrial chain. However, this understanding has not been empirically tested. Based on the above problems, taking coal enterprises as an example, starting from the current situation of market capitalization management of coal enterprises, we identify the most important risks faced by coal enterprises, and study the relationship between risk management (mainly the use of financial derivatives) and market capitalization of enterprises. Taking coking coal futures as an example, the risk of risk management using financial derivatives is measured. The change of price linkage between the black industrial chain futures varieties is tested after the black industrial chain main futures varieties are listed in the coal enterprises. Through the study of multi species hedging and the improvement of hedging model, we can solve the risk problem brought by hedging in the process of futures hedging. The main research contents are as follows: the first chapter is the introduction of all the. First of all, the concept of the research object is defined, the background of the study is introduced, and the significance of the research and the problems to be studied are put forward. The research contents and methods used in this study are described in detail, and the research ideas are listed in this paper to prepare the full text. The second chapter is the literature review. This paper introduces the research status and research content at home and abroad, including the impact of market value management theory, risk measurement theory, risk management theory and risk management research on the value of the company, and the existing research is reviewed, the theoretical foundation for the research of the foundation. The third chapter analysis of market value management. This part analyses the current situation of market value management in China and points out the existing problems. Taking coal listed companies as an example, we use DEA model to evaluate the performance of market capitalization management, identify the risks faced by coal listed companies, and introduce the main measures of market value management, so as to pave the way for risk measurement and risk control. The fourth chapter studies the financial risk management of coal enterprises and the market value of the enterprises. This chapter first studies the mechanism of financial risk management on the company's market capitalization, and then empirically studies the relationship between financial risk management and market capitalization of coal enterprises. The results show that the risk management of coal enterprises can promote the market value management of the company, which is the premise of market value management from the risk perspective. The fifth chapter of the financial market risk measurement simulation research. By comparing various financial risk measurement models, we finally choose Monte Carlo based simulation method, taking coal listed companies as an example to calculate the Va R value of coking coal futures, and simulate the financial market risk. Risk measurement is the key step of risk management and the basis of risk control. It is an important part of market value management based on the perspective of risk. The sixth chapter is the analysis of the impact of the black industrial chain futures on the linkage of the price in the industrial chain. The main risk faced by coal listed companies is the risk caused by the fluctuation of commodity prices. Coal is in the black industrial chain of coal, coke, steel and mine. The price of coal is affected by the overall impact of the industrial chain. The better risk management of coal enterprises must be combined with their own
【学位授予单位】：中国矿业大学(北京)
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F426.21;F832.51

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