我国上市公司现金流风险管理行为及理论研究
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摘要
现金流风险管理对上市公司的财务状况具有直接作用和重要意义,进而影响了整个资本市场的稳定健康发展。企业风险管理的理念越来越受到国外企业管理者的重视,现金流风险管理也已成为公司财务风险管理的核心内容。本文在企业风险管理理论的视角下,结合公司财务、信息经济学及市场微观结构等理论研究了我国上市公司的现金流管理行为,从理论和实证的角度分析了现金流风险的影响、度量及管理等问题。全文主要从五个方面进行了分析探讨:
1、现金流波动性对我国上市公司企业价值影响的实证揭示。首先,采用相关性检验、单变量检验等简单的统计方法分析现金流波动性和盈余波动性对企业价值的影响;然后,利用最小二乘法(OLS)分别对样本期间整体情况的面板数据和我国股市发展三个不同阶段的截面数据进行多变量检验和稳定性验证,揭示了现金流作为信号向市场参与者传递公司价值的现象。
2、现金流及盈余管理产生波动性的信息含量对资本市场知情交易的影响。首先,提出了现金流及盈余管理的信息含量对市场知情交易影响的四种假设;其次,利用高频数据计算知情交易的代理变量和财务数据计算的盈余波动应计构成实证检验了理论假设对中国市场的解释能力。
3、流动性偏好下,现金流波动性对上市公司现金持有量影响的理论分析和实证检验。首先,以二阶段投资模型为基础,从理论上分析了中国市场特征条件下,现金流波动性对上市公司现金持有的影响,并解释了其经济学含义;其次,利用广义矩估计法(GMM)对理论假设进行实证检验。
4、现金流分布特征对上市公司融资决策和资本结构影响的实证分析。首先,理论分析了现金流的波动性对公司融资决策的影响;然后,利用信号揭示理论和动态调整模型实证检验了我国上市公司资本结构的调整动因和方式,并讨论了现金流分布特征与最优融资方式的关系。
5、结合金融工程技术和方法对现金流风险度量和对冲管理的实证研究。首先,回顾了传统的现金流风险度量方法,基于在险值的概念介绍了现金流在险值的内涵及方法,引入并改进决策现金流风险敞口模型;然后,结合金融风险管理技术对现金流风险的对冲管理进行了详细的分析和阐述,为风险管理人员的实务操作提供了新思路。
Cash flow risk management has direct affect and important meaning to listed companies financial conditions, thereby influences the healthy development of the whole capital market. Enterprise risk management is becoming more and more popular among foreign managers, and cash flow risk management has become the core of corporate financial risk management. This thesis combines the theory of corporate finance, information economics, and market micro-structure to research Chinese listed companies cash flow management behavior under the enterprise risk management theory, and analysis the effects, measurement and management of cash flow theoretically and empirically. It contains five parts.
1. Empirical research about the effects of cash flow to firms’value. First, it uses correlation tests, and univariate tests to analysis the effects; then, multivariate tests and robust test to see the whole condition and three different stages of the sample period, points out that cash flow is a signal which passes firms’value to investors.
2.The effect of informativeness of cash flow and earning to informed trading. First, it puts forward four hypotheses about the effect of informativeness of cash flow and earning to informed trading; then, empirically tests the explanation of the hypotheses to Chinese market using the agent variables of informed trading calculated by high frequency data and the accrual component of earning volatility calculated by financial data.
3. Theoretically and empirically analysis the effect of cash flow volatility to listed companies’cash holdings under the liquidity preference. First, it theoretically analysis the effect of cash flow volatility to listed companies’cash holdings based on two stage investment model and explains its economic meanings; then, test the theory empirically.
4. Empirically test the effect of cash flow distribution characteristics to listed companies’financing decisions and capital structure. First, it analysis the effect of cash flow volatility to firms’financing decisions theoretically; then, empirically tests the factors and mode of Chinese listed companies’capital structure adjustment by using signal post theory, and discusses the relationship between cash flow distribution characteristics and the best financing way.
5. Empirically research of the measurement and management of cash flow risk combined with financial engineering technologies. First, it reviews the traditional methods of cash flow risk measurement, introduces cash flow at risk(CFaR)based on value at risk(VaR), and develops cash flow risk exposure model; then, analysis the hedging management of cash flow combined with financial risk management technology, and provides new ideas for risk managers.
1、现金流波动性对我国上市公司企业价值影响的实证揭示。首先,采用相关性检验、单变量检验等简单的统计方法分析现金流波动性和盈余波动性对企业价值的影响;然后,利用最小二乘法(OLS)分别对样本期间整体情况的面板数据和我国股市发展三个不同阶段的截面数据进行多变量检验和稳定性验证,揭示了现金流作为信号向市场参与者传递公司价值的现象。
2、现金流及盈余管理产生波动性的信息含量对资本市场知情交易的影响。首先,提出了现金流及盈余管理的信息含量对市场知情交易影响的四种假设;其次,利用高频数据计算知情交易的代理变量和财务数据计算的盈余波动应计构成实证检验了理论假设对中国市场的解释能力。
3、流动性偏好下,现金流波动性对上市公司现金持有量影响的理论分析和实证检验。首先,以二阶段投资模型为基础,从理论上分析了中国市场特征条件下,现金流波动性对上市公司现金持有的影响,并解释了其经济学含义;其次,利用广义矩估计法(GMM)对理论假设进行实证检验。
4、现金流分布特征对上市公司融资决策和资本结构影响的实证分析。首先,理论分析了现金流的波动性对公司融资决策的影响;然后,利用信号揭示理论和动态调整模型实证检验了我国上市公司资本结构的调整动因和方式,并讨论了现金流分布特征与最优融资方式的关系。
5、结合金融工程技术和方法对现金流风险度量和对冲管理的实证研究。首先,回顾了传统的现金流风险度量方法,基于在险值的概念介绍了现金流在险值的内涵及方法,引入并改进决策现金流风险敞口模型;然后,结合金融风险管理技术对现金流风险的对冲管理进行了详细的分析和阐述,为风险管理人员的实务操作提供了新思路。
Cash flow risk management has direct affect and important meaning to listed companies financial conditions, thereby influences the healthy development of the whole capital market. Enterprise risk management is becoming more and more popular among foreign managers, and cash flow risk management has become the core of corporate financial risk management. This thesis combines the theory of corporate finance, information economics, and market micro-structure to research Chinese listed companies cash flow management behavior under the enterprise risk management theory, and analysis the effects, measurement and management of cash flow theoretically and empirically. It contains five parts.
1. Empirical research about the effects of cash flow to firms’value. First, it uses correlation tests, and univariate tests to analysis the effects; then, multivariate tests and robust test to see the whole condition and three different stages of the sample period, points out that cash flow is a signal which passes firms’value to investors.
2.The effect of informativeness of cash flow and earning to informed trading. First, it puts forward four hypotheses about the effect of informativeness of cash flow and earning to informed trading; then, empirically tests the explanation of the hypotheses to Chinese market using the agent variables of informed trading calculated by high frequency data and the accrual component of earning volatility calculated by financial data.
3. Theoretically and empirically analysis the effect of cash flow volatility to listed companies’cash holdings under the liquidity preference. First, it theoretically analysis the effect of cash flow volatility to listed companies’cash holdings based on two stage investment model and explains its economic meanings; then, test the theory empirically.
4. Empirically test the effect of cash flow distribution characteristics to listed companies’financing decisions and capital structure. First, it analysis the effect of cash flow volatility to firms’financing decisions theoretically; then, empirically tests the factors and mode of Chinese listed companies’capital structure adjustment by using signal post theory, and discusses the relationship between cash flow distribution characteristics and the best financing way.
5. Empirically research of the measurement and management of cash flow risk combined with financial engineering technologies. First, it reviews the traditional methods of cash flow risk measurement, introduces cash flow at risk(CFaR)based on value at risk(VaR), and develops cash flow risk exposure model; then, analysis the hedging management of cash flow combined with financial risk management technology, and provides new ideas for risk managers.
引文
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