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论文编号：	11718
作者编号：	2120182940
上传时间：	2020/6/19 22:58:45
中文题目：	外汇套期保值交易信息披露动机及经济后果研究
英文题目：	Research on the motive and economic consequence of information disclosure of foreign exchange hedging transaction
指导老师：	姚颐
中文关键字：	汇率波动；外汇套期保值；信息披露；动机；公司价值
英文关键字：	Exchange rate fluctuation; Foreign exchange hedging; Information disclosure; Motivation; Company value
中文摘要：	随着人民币汇率市场化程度的提高，未来愈来愈国际化的人民币与美元以及其他主流货币的汇率波动幅度将进一步加大，市场化的人民币汇率对出口企业的汇率波动风险规避意识提出了更高的要求。越来越多的出口上市公司使用外汇衍生品作为金融对冲手段来管理汇率波动风险，但是向外部投资者披露外汇套期保值交易信息的出口上市公司却仅仅占据少数。因此，本文对出口上市公司披露外汇套期保值交易信息的动机及其经济后果进行了分析和检验。 首先，我们从宏观整体层面和微观个体层面分别对外汇套期保值交易信息披露的两大动机进行了断点回归非参数检验和logit回归参数检验；之后，我们对基于不同动机的外汇套期保值交易信息披露行为对出口上市公司价值的影响进行了研究；最后我们使用安慰剂检验对断点回归分析的结果进行了稳健性检验，使用PSM匹配之后获得的样本对外汇套期保值交易信息披露的两大动机及其经济后果进行了稳健性检验。本文得到以下稳健的结论：（1）基于“解释”动机和基于“凸显优势和避免误解”动机，汇兑损失更大、超额套期保值比例更高的出口上市公司对外披露外汇套期保值交易信息的意愿显著更强。（2）外汇套期保值信息披露行为有助于出口上市公司价值的提升，但是只有基于“凸显优势和避免误解”动机的信息披露行为可以有效提升公司价值，而基于“解释”动机的信息披露行为无法为公司价值带来增长。
英文摘要：	With the improvement of marketization of RMB exchange rate, the future more and more internationalized yuan from the dollar and other major currencies exchange rate volatility will increase further, the marketization of RMB exchange rate fluctuations risk aversion to the export enterprise consciousness put forward higher requirements. More and more listed export companies use foreign exchange derivatives as a means of financial hedging to manage the risk of exchange rate fluctuations. Therefore, this paper analyzes and tests the motives and economic consequences of foreign exchange hedging information disclosure by listed export companies. Firstly, we conducted the breakpoint regression nonparametric test and logit regression parameter test respectively on the two main motivations for the disclosure of foreign exchange hedging transaction information from the macro level and the micro level.After that, we studied the effect of foreign exchange hedging transaction information disclosure based on different motivations on the value of listed export companies.Finally, we used the placebo test to test the robustness of the results of the breakpoint regression analysis, and the samples obtained after the PSM matching were used to test the robustness of the two motivations for the disclosure of foreign exchange hedging transaction information and their economic consequences.The following robust conclusions are drawn in this paper :(1) based on the motivation of "explanation" and the motivation of "highlighting advantages and avoiding misunderstandings", export listed companies with greater exchange losses and higher proportion of excess hedging are significantly more willing to disclose foreign exchange hedging transaction information.(2) foreign exchange hedging information disclosure is conducive to the improvement of the value of listed export companies, but only the information disclosure based on the motivation of "highlighting advantages and avoiding misunderstandings" can effectively improve the company value, while the information disclosure based on the motivation of "explanation" cannot increase the company value.
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