外汇风险对冲、市场化进程对企业价值影响研究——以海外施工企业为例
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摘要
外汇风险对冲会导致企业价值产生变化,且这一变化会呈现出地域之间的差异性。利用2011年至2015年海外施工企业的数据的产证检验表明,外汇衍生品与企业价值呈正相关关系,而外汇风险对冲程度与企业价值之间并非是线性的关系而是呈现出"U"型特征。进一步分析发现,高市场化区域内的企业拐点比低市场化区域内的企业拐点出现得更早。这一结论表明,企业在汇率风险管理过程中应在一定程度内增加外汇衍生品这一金融工具的运用;同时,应加快市场化进程较低区域内外汇衍生品市场的发展和人才储备。
Foreign exchange hedging would result in the changes of corporate values, and such changes would present differences among different regions. Based on the data of 235 overseas construction enterprises from 2011 to 2015, this paper makes an empirical test and finds out that there is a positive correlation between foreign exchange derivatives and corporate values, while between the degree of foreign exchange risk hedging and the corporate value the correlation is not linear but U-shaped. Further analysis shows that the corporate inflection point in higher marketized regions will appear earlier than that in lower marketized regions. This conclusion can support the idea that enterprises should increase the use of foreign exchange derivatives as a financial instrument to a certain degree in the process of the exchange rate risk management. At the same time, they should speed up the development of the foreign exchange derivatives market and the reserve of talents in the lower marketized regions.
Foreign exchange hedging would result in the changes of corporate values, and such changes would present differences among different regions. Based on the data of 235 overseas construction enterprises from 2011 to 2015, this paper makes an empirical test and finds out that there is a positive correlation between foreign exchange derivatives and corporate values, while between the degree of foreign exchange risk hedging and the corporate value the correlation is not linear but U-shaped. Further analysis shows that the corporate inflection point in higher marketized regions will appear earlier than that in lower marketized regions. This conclusion can support the idea that enterprises should increase the use of foreign exchange derivatives as a financial instrument to a certain degree in the process of the exchange rate risk management. At the same time, they should speed up the development of the foreign exchange derivatives market and the reserve of talents in the lower marketized regions.
引文
[1]毛振华,阎衍,郭敏.“一带一路”沿线国家主权信用报告[M].北京:经济日报出版社,2015.
[2]Srinivasulu S.L..Strategic Response to Foreign Exchange Risk[J].Columbia Journal of World Business,1981,20(4):391-405.
[3]郭飞.外汇风险对冲和公司价值:基于中国跨国公司的实证研究[J].经济研究,2012,58(9):18-31.
[4]Smith C.W.,Stulz R.M..The Determinants of Firms’Hedging Policies[J].Journal of Financial and Quantitative Analysis,1985,20(4):391-405.
[5]张瑞君,徐展.跨国企业汇率风险控制的新途径[J].金融研究,2017,39(2):82-100.
[6]王义桅.“一带一路”机遇与挑战[M].北京:人民出版社,2015.
[7]Nguyen H.,Faff R..Further Evidence on the Corporate Use of Derivatives in Australia:The Case of Foreign Currency and Interest Rate Instruments[J].Australian Journal of Management,2003,28(3):307-317.
[8]Bartram S.M.,Brown G.W.,Fehle F.R..International Evidence on Financial Derivatives Usage[R].Working Paper,Kenan-Flagler Business School,University of North Carolina at Chapel Hill,2005.
[9]Clark E.,Judge A..Foreign Cuuency Derivatives versus Foreign Currency Debt and the Hedging Premium[J].European Financial Management,2009,15(3):606-642.
[10]Gay G.D.,Nam J..The Underinvestment Problem and Corporate Derivatives[J].Financial Management,1998,27(4):53-69.
[11]Allayannis G.,Lelb U.,Millerc D.P..The Use of Foreign Currency Derivative,Corporate Governance,and Firm Value around the World[J].Journal of International Economics,2012,35(1):65-79.
[12]Santomero A.M..Financial Risk Management:The Whys and Hows[J].Financial Markets,Institutions&Instruments,1995,4(5):1-14.
[13]Cater D.,Rogers D.,Simkins B..Does Fuel Hedging Make Economics Sense?The Case of the US Airline Industry[R].Working Paper,Oklahoma State University,2003.
[14]Allayannis Y.,Ofek E..Exchange Rate Exposure,Hedging,and the Use of Foreign Currency Derivatives[J].Journal of International Money and Finance,2001,20(3):273-296.
[15]彭经枫,谭小玉.人民币国际化研究:程度测算与影响因素研究[J].经济研究,2017,52(2):125-139.
[16]贾炜莹,陈宝峰.风险管理对我国上市公司价值和业绩影响的实证研究——基于衍生金融工具的运用[J].财会通讯,2009,21(9):6-8.
[17]赵旭.金融衍生品使用与企业价值、风险——来自中国有色金属类上市公司的经验证据[J].经济管理,2011,41(1):19-29.
[18]郭飞.外汇风险对冲和公司价值:基于中国跨国公司的实证研究[J].经济研究,2012,58(9):18-31.
[19]斯文.外汇衍生品对冲汇率风险的企业价值效应研究:中国制造业上市公司的经验证据[J].中南财经政法大学学报,2013,58(3):80-87.
[20]樊纲,王小鲁,朱恒鹏.中国市场化指数[M].北京:经济科学出版社,2010.
[21]李慧云,刘镝.市场化进程、自愿性信息成本披露和权益资本成本[J].会计研究,2016,37(1):71-96.
[22]郑莉莉,郑建明.我国上市公司使用外汇衍生品的影响因素研究[J].财贸经济,2012,33(6):65-72.
[23]Hutson E.,Laing E..Foreign Exchange Exposure and Multinationality[J].Finance.2014,43(5):97-113.
[24]Chung K.H.,Pruitt S.W..A Simple Approximation of Tobin’s Q[J].Financial Management,1994,23(11):70-74.
[25]Aabo T.,Ploeen R..The German Humpback:Internationalization and Foreign Exchange Hedging[J].Journal of International Financial Management,2014,27(2):114-129.
[26]Chen J.,King T.H.D..Corporate Hedging and the Cost of Debt[J].Journal of Corporate Finance,2014,29(11):221-245.
[27]Jorion P..Exchange-rate Exposure of U.S.Multinationals[J].Financial Management,1990,26(3):331-345.
[28]Nance D.R.,Smith C.W.,Smithson C.W..On The Detetminants of Corporate Hedging[J].Journal of Finance,1993,48(1):267-284.
[29]Aggarwal R.,Harper J.T..Foreign Exchange Exposure of Domestic Corporations[J].Journal of International Money and Finance,2010,29(8):1619-1636.
[30]孙刚,宋夏云.金融市场化、政府干预机制与企业创新投入效率[J].财经论丛,2016,22(2):47-55.
[31]赵峰,祖博男,程悦.跨国企业外汇风险对冲研究述评:动因、方式与效果[J].华东经济管理,2016,30(10):162-171.
[32]郭飞,郭慧敏,张桂玲.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[J].会计研究,2017,38(3):22-29.
(1)主要参考了樊纲等(2010)的打分方法。[20]
[2]Srinivasulu S.L..Strategic Response to Foreign Exchange Risk[J].Columbia Journal of World Business,1981,20(4):391-405.
[3]郭飞.外汇风险对冲和公司价值:基于中国跨国公司的实证研究[J].经济研究,2012,58(9):18-31.
[4]Smith C.W.,Stulz R.M..The Determinants of Firms’Hedging Policies[J].Journal of Financial and Quantitative Analysis,1985,20(4):391-405.
[5]张瑞君,徐展.跨国企业汇率风险控制的新途径[J].金融研究,2017,39(2):82-100.
[6]王义桅.“一带一路”机遇与挑战[M].北京:人民出版社,2015.
[7]Nguyen H.,Faff R..Further Evidence on the Corporate Use of Derivatives in Australia:The Case of Foreign Currency and Interest Rate Instruments[J].Australian Journal of Management,2003,28(3):307-317.
[8]Bartram S.M.,Brown G.W.,Fehle F.R..International Evidence on Financial Derivatives Usage[R].Working Paper,Kenan-Flagler Business School,University of North Carolina at Chapel Hill,2005.
[9]Clark E.,Judge A..Foreign Cuuency Derivatives versus Foreign Currency Debt and the Hedging Premium[J].European Financial Management,2009,15(3):606-642.
[10]Gay G.D.,Nam J..The Underinvestment Problem and Corporate Derivatives[J].Financial Management,1998,27(4):53-69.
[11]Allayannis G.,Lelb U.,Millerc D.P..The Use of Foreign Currency Derivative,Corporate Governance,and Firm Value around the World[J].Journal of International Economics,2012,35(1):65-79.
[12]Santomero A.M..Financial Risk Management:The Whys and Hows[J].Financial Markets,Institutions&Instruments,1995,4(5):1-14.
[13]Cater D.,Rogers D.,Simkins B..Does Fuel Hedging Make Economics Sense?The Case of the US Airline Industry[R].Working Paper,Oklahoma State University,2003.
[14]Allayannis Y.,Ofek E..Exchange Rate Exposure,Hedging,and the Use of Foreign Currency Derivatives[J].Journal of International Money and Finance,2001,20(3):273-296.
[15]彭经枫,谭小玉.人民币国际化研究:程度测算与影响因素研究[J].经济研究,2017,52(2):125-139.
[16]贾炜莹,陈宝峰.风险管理对我国上市公司价值和业绩影响的实证研究——基于衍生金融工具的运用[J].财会通讯,2009,21(9):6-8.
[17]赵旭.金融衍生品使用与企业价值、风险——来自中国有色金属类上市公司的经验证据[J].经济管理,2011,41(1):19-29.
[18]郭飞.外汇风险对冲和公司价值:基于中国跨国公司的实证研究[J].经济研究,2012,58(9):18-31.
[19]斯文.外汇衍生品对冲汇率风险的企业价值效应研究:中国制造业上市公司的经验证据[J].中南财经政法大学学报,2013,58(3):80-87.
[20]樊纲,王小鲁,朱恒鹏.中国市场化指数[M].北京:经济科学出版社,2010.
[21]李慧云,刘镝.市场化进程、自愿性信息成本披露和权益资本成本[J].会计研究,2016,37(1):71-96.
[22]郑莉莉,郑建明.我国上市公司使用外汇衍生品的影响因素研究[J].财贸经济,2012,33(6):65-72.
[23]Hutson E.,Laing E..Foreign Exchange Exposure and Multinationality[J].Finance.2014,43(5):97-113.
[24]Chung K.H.,Pruitt S.W..A Simple Approximation of Tobin’s Q[J].Financial Management,1994,23(11):70-74.
[25]Aabo T.,Ploeen R..The German Humpback:Internationalization and Foreign Exchange Hedging[J].Journal of International Financial Management,2014,27(2):114-129.
[26]Chen J.,King T.H.D..Corporate Hedging and the Cost of Debt[J].Journal of Corporate Finance,2014,29(11):221-245.
[27]Jorion P..Exchange-rate Exposure of U.S.Multinationals[J].Financial Management,1990,26(3):331-345.
[28]Nance D.R.,Smith C.W.,Smithson C.W..On The Detetminants of Corporate Hedging[J].Journal of Finance,1993,48(1):267-284.
[29]Aggarwal R.,Harper J.T..Foreign Exchange Exposure of Domestic Corporations[J].Journal of International Money and Finance,2010,29(8):1619-1636.
[30]孙刚,宋夏云.金融市场化、政府干预机制与企业创新投入效率[J].财经论丛,2016,22(2):47-55.
[31]赵峰,祖博男,程悦.跨国企业外汇风险对冲研究述评:动因、方式与效果[J].华东经济管理,2016,30(10):162-171.
[32]郭飞,郭慧敏,张桂玲.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[J].会计研究,2017,38(3):22-29.
(1)主要参考了樊纲等(2010)的打分方法。[20]