衍生金融工具、套期会计与股价崩盘风险——基于A股金融类上市公司的实证研究
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摘要
本文采用手工收集的2007-2016年沪深A股金融业上市公司衍生金融工具使用情况数据,检验衍生金融工具交易行为对股价崩盘风险的影响,以及衍生金融工具采用的会计处理方法在其中的作用。研究发现,衍生金融工具的使用提高了股价崩盘风险,在控制了内生性等问题后,该结论仍然成立;对衍生金融工具交易采用套期会计处理方法可以降低股价崩盘风险。因此,为防范衍生金融工具可能引发的金融风险,监管部门可鼓励公司对衍生金融工具交易采用套期会计处理方法。
Based on manually collected data on the use of financial derivatives in Shanghai and Shenzhen A-share financial companies from 2007 to 2016,this paper examines the impact of derivatives trading on the risk of stock price collapse and the role of accounting methods used in derivatives. The study finds that the use of financial derivatives increases the risk of stock price collapse,and the conclusion still holds after controlling the endogeneity and other issues;Hedge accounting for derivatives transactions can help reduce the risk of stock price collapse. Therefore,in order to prevent financial risks caused by financial derivatives,regulatory authorities could encourage companies to adopt hedging accounting methods for the transactions of financial derivatives.
Based on manually collected data on the use of financial derivatives in Shanghai and Shenzhen A-share financial companies from 2007 to 2016,this paper examines the impact of derivatives trading on the risk of stock price collapse and the role of accounting methods used in derivatives. The study finds that the use of financial derivatives increases the risk of stock price collapse,and the conclusion still holds after controlling the endogeneity and other issues;Hedge accounting for derivatives transactions can help reduce the risk of stock price collapse. Therefore,in order to prevent financial risks caused by financial derivatives,regulatory authorities could encourage companies to adopt hedging accounting methods for the transactions of financial derivatives.
引文
曹丰、鲁冰、李争光、徐凯(2015):《机构投资者降低了股价崩盘风险吗?》,《会计研究》,第11期。
陈国进、张贻军、异质信念(2009):《卖空限制与我国股市的暴跌现象研究》,《金融研究》,第4期。
邓永勤、康丽丽(2015):《中国金融业公允价值层次信息价值相关性的经验证据》,《会计研究》,第4期。
段军山、张锐豪(2016):《金融衍生品、货币环境与商业银行风险承担》,《当代财经》,第2期。
郭飞(2012):《外汇风险对冲和公司价值:基于中国跨国公司的实证研究》,《经济研究》,第9期。
郭飞、郭慧敏、张桂玲(2017):《利润波动性与衍生工具使用:基于国有上市公司的实证研究》,《会计研究》,第3期。
贾炜莹、魏国辰、刘德英(2010):《我国上市公司衍生工具运用动机的实证研究》,《经济管理》,第3期。
李黎、张羽(2009):《金融衍生品交易与商业银行绩效---基于美国的经验》,《管理科学》,第4期。
马孝先、郑萍、公伟(2013):《中美商业银行金融衍生工具绩效比较》,《金融论坛》,第2期。
孟庆斌、杨俊华、鲁冰(2017):《管理层讨论与分析披露的信息含量与股价崩盘风险---基于文本向量化方法的研究》,《中国工业经济》,第12期。
潘越、戴亦一、林超群(2011):《信息不透明,分析师关注与个股暴跌风险》,《金融研究》,第9期。
王晓珂(2018):《衍生工具应用与股价同步性》,《厦门大学学报:哲学社会科学版》,第2期。
王晓珂、黄世忠(2017):《衍生工具,公司治理和盈余质量》,《会计研究》,第3期。
肖土盛、宋顺林、李路(2017):《信息披露质量与股价崩盘风险:分析师预测的中介作用》,《财经研究》,第2期。
许年行、于上尧、伊志宏(2013):《机构投资者羊群行为与股价崩盘风险》,《管理世界》,第7期。
薛宏刚、何乔、王浩(2017):《中国上市企业套期保值对企业价值的影响》,《西安交通大学学报:社会科学版》,第1期。
叶康涛、曹丰、王化成(2015):《内部控制信息披露能够降低股价崩盘风险吗?》,《金融研究》,第2期。
Allayannis,G.,U.Lel and D.Miller(2012):“The Use of Foreign Currency Derivatives,Corporate Governance,and Firm Value around the World”,Journal of International Economics,87,65-79.
Bartram,S.,G.Brown and J.Conrad(2011):“The Effects of Derivatives on Firm Risk and Value”,Journal of Financial and Quantitative Analysis,46,967-999.
Blanco,I.and D.Wehrheim(2017):“The Bright Side of Financial Derivatives:Options Trading and Firm Innovation”,Journal of Financial Economics,125,99-119.
Callen,J.and X.Fang(2013):“Institutional Investor Stability and Crash Risk:Monitoring versus Short-termism?”,Journal of Banking&Finance,37,3047-3063.
Callen,J.and X.Fang(2017):“Crash Risk and the Auditor-client Relationship”,Contemporary Accounting Research,34,1715-1750.
Chang,X.,Y.Chen and L.Zolotoy(2017):“Stock Liquidity and Stock Price Crash Risk”,Journal of Financial and Quantitative Analysis,52,1605-1637.
Chen,J.,H.Hong and J.Stein(2001):“Forecasting Crashes:Trading Volume,Past Returns,and Conditional Skewness in Stock Prices”,Journal of Financial Economics,61,345-381.
Choi,J.and E.Elyasiani(1997):“Derivative Exposure and the Interest Rate and Exchange Rate Risks of US Banks”,Journal of Financial Services Research,12,267-286.
Choi,J.,C.Mao and A.Upadhyay(2015):“Earnings Management and Derivative Hedging with Fair Valuation:Evidence from the Effects of FAS 133”,Accounting Review,90,1437-1467.
Clark,E.and S.Mefteh(2010):“Foreign Currency Derivatives Use,Firm Value and the Effect of the Exposure Profile:Evidence from France”,International Journal of Business,15,183.
De Fond,M.,M.Hung,S.Li and Y.Li(2014):“Does Mandatory IFRS Adoption Affect Crash Risk?”,Accounting Review,90,265-299.
Dimson,E.(1979):“Risk Measurement When Shares Are Subject to Infrequent Trading”,Journal of Financial Economics,7,197-226.
Glaum,M.and A.Klcker(2011):“Hedge Accounting and Its Influence on Financial Hedging:Whenthe Tail Wags the Dog”,Accounting and Business Research,41,459-489.
Hong,H.,J.KIM and M.Welker(2017):“Divergence of Cash Flow and Voting Rights,Opacity,and Stock Price Crash Risk:International Evidence”,Journal of Accounting Research,55,1167-1212.
Hutton,A.,A.Marcus and H.Tehranian(2009):“Opaque Financial Reports,R2,and Crash Risk”,Journal of Financial Economics,94,67-86.
Instefjord,N.(2005):“Risk and Hedging:Do Credit Derivatives Increase Bank Risk?”,Journal of Banking&Finance,29,333-345.
Jensen,M.and W.Meckling(1976):“Theory of the Firm:Managerial Behavior,Agency Costs and Ownership Structure”,Journal of Financial Economics,3,305-360.
Jin,L.and S.Myers(2006):“R2 Around the World:New Theory and New Tests”Journal of Financial Economics,79,257-292.
Kim,J.,Y.Li and L.Zhang(2011):“CFOs versus CEOs:Equity Incentives and Crashes”,Journal of Financial Economics,101,713-730.
Kim,J.,I.Yeung and J.Zhou(2017):“Stock Price Crash Risk and Internal Control Weakness:Presence vs.Disclosure Effect”,Accounting&Finance.
Kim,J.and L.Zhang(2016):“Accounting Conservatism and Stock Price Crash Risk:Firm-level Evidence”,Contemporary Accounting Research,33,412-441.
Kim,J.and L.Zhang(2014):“Financial Reporting Opacity and Expected Crash Risk:Evidence from Implied Volatility Smirks”,Contemporary Accounting Research,31,851-875.
Tufano,P.(1996):“Who Manages Risk?An Empirical Examination of Risk Management Practices in the Gold Mining Industry”,Journal of Finance,51,1097-1137.
Wagner,W.(2007):“Financial Development and the Opacity of Banks”,Economics Letters,97,6-10.
陈国进、张贻军、异质信念(2009):《卖空限制与我国股市的暴跌现象研究》,《金融研究》,第4期。
邓永勤、康丽丽(2015):《中国金融业公允价值层次信息价值相关性的经验证据》,《会计研究》,第4期。
段军山、张锐豪(2016):《金融衍生品、货币环境与商业银行风险承担》,《当代财经》,第2期。
郭飞(2012):《外汇风险对冲和公司价值:基于中国跨国公司的实证研究》,《经济研究》,第9期。
郭飞、郭慧敏、张桂玲(2017):《利润波动性与衍生工具使用:基于国有上市公司的实证研究》,《会计研究》,第3期。
贾炜莹、魏国辰、刘德英(2010):《我国上市公司衍生工具运用动机的实证研究》,《经济管理》,第3期。
李黎、张羽(2009):《金融衍生品交易与商业银行绩效---基于美国的经验》,《管理科学》,第4期。
马孝先、郑萍、公伟(2013):《中美商业银行金融衍生工具绩效比较》,《金融论坛》,第2期。
孟庆斌、杨俊华、鲁冰(2017):《管理层讨论与分析披露的信息含量与股价崩盘风险---基于文本向量化方法的研究》,《中国工业经济》,第12期。
潘越、戴亦一、林超群(2011):《信息不透明,分析师关注与个股暴跌风险》,《金融研究》,第9期。
王晓珂(2018):《衍生工具应用与股价同步性》,《厦门大学学报:哲学社会科学版》,第2期。
王晓珂、黄世忠(2017):《衍生工具,公司治理和盈余质量》,《会计研究》,第3期。
肖土盛、宋顺林、李路(2017):《信息披露质量与股价崩盘风险:分析师预测的中介作用》,《财经研究》,第2期。
许年行、于上尧、伊志宏(2013):《机构投资者羊群行为与股价崩盘风险》,《管理世界》,第7期。
薛宏刚、何乔、王浩(2017):《中国上市企业套期保值对企业价值的影响》,《西安交通大学学报:社会科学版》,第1期。
叶康涛、曹丰、王化成(2015):《内部控制信息披露能够降低股价崩盘风险吗?》,《金融研究》,第2期。
Allayannis,G.,U.Lel and D.Miller(2012):“The Use of Foreign Currency Derivatives,Corporate Governance,and Firm Value around the World”,Journal of International Economics,87,65-79.
Bartram,S.,G.Brown and J.Conrad(2011):“The Effects of Derivatives on Firm Risk and Value”,Journal of Financial and Quantitative Analysis,46,967-999.
Blanco,I.and D.Wehrheim(2017):“The Bright Side of Financial Derivatives:Options Trading and Firm Innovation”,Journal of Financial Economics,125,99-119.
Callen,J.and X.Fang(2013):“Institutional Investor Stability and Crash Risk:Monitoring versus Short-termism?”,Journal of Banking&Finance,37,3047-3063.
Callen,J.and X.Fang(2017):“Crash Risk and the Auditor-client Relationship”,Contemporary Accounting Research,34,1715-1750.
Chang,X.,Y.Chen and L.Zolotoy(2017):“Stock Liquidity and Stock Price Crash Risk”,Journal of Financial and Quantitative Analysis,52,1605-1637.
Chen,J.,H.Hong and J.Stein(2001):“Forecasting Crashes:Trading Volume,Past Returns,and Conditional Skewness in Stock Prices”,Journal of Financial Economics,61,345-381.
Choi,J.and E.Elyasiani(1997):“Derivative Exposure and the Interest Rate and Exchange Rate Risks of US Banks”,Journal of Financial Services Research,12,267-286.
Choi,J.,C.Mao and A.Upadhyay(2015):“Earnings Management and Derivative Hedging with Fair Valuation:Evidence from the Effects of FAS 133”,Accounting Review,90,1437-1467.
Clark,E.and S.Mefteh(2010):“Foreign Currency Derivatives Use,Firm Value and the Effect of the Exposure Profile:Evidence from France”,International Journal of Business,15,183.
De Fond,M.,M.Hung,S.Li and Y.Li(2014):“Does Mandatory IFRS Adoption Affect Crash Risk?”,Accounting Review,90,265-299.
Dimson,E.(1979):“Risk Measurement When Shares Are Subject to Infrequent Trading”,Journal of Financial Economics,7,197-226.
Glaum,M.and A.Klcker(2011):“Hedge Accounting and Its Influence on Financial Hedging:Whenthe Tail Wags the Dog”,Accounting and Business Research,41,459-489.
Hong,H.,J.KIM and M.Welker(2017):“Divergence of Cash Flow and Voting Rights,Opacity,and Stock Price Crash Risk:International Evidence”,Journal of Accounting Research,55,1167-1212.
Hutton,A.,A.Marcus and H.Tehranian(2009):“Opaque Financial Reports,R2,and Crash Risk”,Journal of Financial Economics,94,67-86.
Instefjord,N.(2005):“Risk and Hedging:Do Credit Derivatives Increase Bank Risk?”,Journal of Banking&Finance,29,333-345.
Jensen,M.and W.Meckling(1976):“Theory of the Firm:Managerial Behavior,Agency Costs and Ownership Structure”,Journal of Financial Economics,3,305-360.
Jin,L.and S.Myers(2006):“R2 Around the World:New Theory and New Tests”Journal of Financial Economics,79,257-292.
Kim,J.,Y.Li and L.Zhang(2011):“CFOs versus CEOs:Equity Incentives and Crashes”,Journal of Financial Economics,101,713-730.
Kim,J.,I.Yeung and J.Zhou(2017):“Stock Price Crash Risk and Internal Control Weakness:Presence vs.Disclosure Effect”,Accounting&Finance.
Kim,J.and L.Zhang(2016):“Accounting Conservatism and Stock Price Crash Risk:Firm-level Evidence”,Contemporary Accounting Research,33,412-441.
Kim,J.and L.Zhang(2014):“Financial Reporting Opacity and Expected Crash Risk:Evidence from Implied Volatility Smirks”,Contemporary Accounting Research,31,851-875.
Tufano,P.(1996):“Who Manages Risk?An Empirical Examination of Risk Management Practices in the Gold Mining Industry”,Journal of Finance,51,1097-1137.
Wagner,W.(2007):“Financial Development and the Opacity of Banks”,Economics Letters,97,6-10.