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论文编号：	238
作者编号：	20032909
上传时间：	2008/6/17 11:30:20
中文题目：	我国上市公司金融性套期保值的影
英文题目：	Research on the determinants o
指导老师：	刘志远 教授
中文关键字：	套期保值 影响因素 金融衍生工
英文关键字：	Hedging Determinants Financ
中文摘要：	随着经济全球化和金融全球化进程的深入，以及公司经营规模的扩大，公司面临的市场风险环境日渐广阔、动荡。公司在生产经营过程中不仅要承担来自产品市场、要素市场的价格风险以外，还要承担来自金融市场的股价、利率、汇率变动的风险。这些风险都将对公司的收入现金流产生影响，进而影响公司价值。因此，全球公司都在努力寻求各种途径对自身所面临的各种风险进行控制和管理，而使用各类金融衍生产品进行的金融性套期保值日益成为满足公司风险规避需求的一个有效工具。事实上，从20世纪初产生一些初级的金融衍生市场开始，大量企业就使用各种衍生工具进行套期保值，从而也引发了众多国外学者开始从理论和实证两个方面对公司使用衍生工具实施套期保值的原因进行研究。而自20世纪80年代开始，伴随着金融衍生工具市场的发展与完善，大量公司，尤其是权益高度分散的大型公司，通过金融衍生工具进行的套期保值活动更加频繁。Bartram等（2005）的调查表明，在包括美国、中国在内的50个国家7319家公司中，有超过半数的公司（60.3%）广泛使用衍生工具进行风险管理。 尽管相对而言，我国的金融市场和金融体制格局还不是非常完善，我国的金融衍生品市场也还处于一个较初级的阶段，但是我国公司利用衍生品进行的套期保值交易近年来增长迅速。特别是入世以来随着我国金融体制改革的进一步推进，我国众多的公司在现代公司制度的框架下，开始面临全球范围内的市场竞争，同时也面临着更大的市场风险。为避免公司价值的损失，更进一步说，为提高股东权益的价值，公司必需对所面对的各种风险进行管理，公司也必需将其风险管理策略作为其公司决策中一个非常重要的部分。而公司的风险管理活动又会对我国金融衍生品市场的发展提出新的需求，对衍生品市场的进一步发展发挥重要影响。因此，研究公司的套期保值活动，尤其是研究影响我国公司套期保值活动的因素问题，对于提高我国公司的风险管理意识与水平，以及推动我国衍生品市场的发展都具有十分重要的实践意义。另外，关于公司进行金融性套期保值的影响因素问题，目前国内的相关研究仍处于起步阶段，仅有的研究成果也局限于对国外的套期保值理论成果的文献整理，而对套期保值理论的系统分析和我国公司金融性套期保值影响因素的实证检验等方面大都没有涉及。特别是真正从公司的角度，将套期保值作为公司风险管理决策的一部分，来考察我国公司金融性套期保值活动及影响因素的研究成果目前仍屈指可数。因此，本文从公司层面的视角，对公司实行金融性套期保值的影响因素进行的较为深入的理论分析和实证研究也具有重要的理论意义和实践意义。 本文从公司层面的视角，以非金融公司作为研究对象，在存在信息不对称、税收、交易成本、破产成本的不完全金融市场的假设基础上，对公司金融性套期保值的影响因素问题进行了较为深入的理论分析。进而在此基础上，建立模型对公司经营性套期保值对其金融性套期保值决策的影响进行了考察；并以我国上市公司为样本对其金融性套期保值影响因素问题进行了实证检验；最终提出了公司应实行综合性套期保值策略的研究建议。 本文正文部分共分为八章。第一章为本文的绪论。主要提出了本文所要研究的问题，并阐述了本文的研究目的、意义及具体的研究设计。第二章为本文的文献回顾部分。本章系统回顾了关于公司金融性套期保值问题的国内外代表性研究文献，考察了国内外研究现状和动态，从而为研究我国公司金融性套期保值问题提供依据和方向。第三章，制度背景分析。本章考察了与我国公司金融性套期保值行为相关的国内外市场环境和制度背景，以便为解释我国公司金融性套期保值的影响因素提供现实背景和理论依据，并有助于下文对公司金融性套期保值的影响因素展开深入分析。第四章，考察了有关公司金融性套期保值影响因素问题研究的基础理论，构建理论分析框架，并在此基础上对影响公司金融性套期保值的各个因素进行了系统的理论分析。第五章，通过建立理论模型深入考察了公司套期保值的替代理论，即公司的经营性套期保值措施对公司使用衍生工具进行的金融性套期保值的影响。第六章和第七章旨在前文制度背景分析和理论分析的研究基础上，通过实证检验来具体考察影响我国A股上市公司金融性套期保值的相关因素。本章为实证研究的设计部分。第七章为具体的实证检验和结果分析。第八章为结束语部分。本章总结了本文的主要研究结论和研究启示，在此基础上提出本文研究的不足和进一步研究的方向。 本文研究的创新之处主要体现在以下方面：（1）建立了考察经营性套期保值对公司金融性套期保值的影响的理论分析模型；（2）修正了公司套期保值替代理论的基本观点；（3）根据我国特殊的市场环境和上市公司的财务特征，构建解释变量，对我国上市公司金融性套期保值的影响因素进行了实证检验和分析；（4）实证研究中，套期保值样本及其对照组样本的确定方法具有创新性。
英文摘要：	With the increasing globalization of the world economy, the corporate operation expose to a more risky and wider world market. The risk factors the corporate have to manage came from not only product market and factor market, but also from the financial market worldwide, such as interest rate and exchange rate risk. All these risk factors affect the cash flow of the corporate and furthermore affect the corporate value. So hedging strategy plays an increasingly significant role in the financial policy of many corporations and derivatives have become a key aspect of this policy to manage the risks the corporation faces. The widespread use of the derivatives inspired many researchers to study the economic motives of the corporate hedging with theoretical and empirical researches. Since 1980, more and more corporations, especial public companies, participate in the derivatives trading. In the survey of Bartram (2005), 60.3% of the 7319 corporations in the survey use derivatives to manage the risks. More and more cases about derivatives usage for the corporate hedging in China can be observed despite the incompleteness of our financial market, especially the derivative market is in the primary stage of the development. We explain this as corporations faces more and more market risk because they have to enter into the global market after China participate in the WTO. To increase the equity holder’s value, the corporation has to manage the risks they faced and so hedging strategy plays an increasingly significant role in the financial policy. On the other hand, the risk management practice of the corporations raised the new requirement for the development of the derivative market. The systematic study of the corporate hedging motive is in the initial stage. So the dissertation focused on the corporate hedging using derivative and it will do good to increase the risk management level of the corporations and push the research on this topic. Furthermore, it will be good to the development of the derivative markets. Despite the widespread use of derivatives for hedging, there is a lack of consensus on the economic motivation for corporate hedging. Under perfect market assumptions, for example, hedging adds no shareholder wealth and thus is unjustified. When these assumptions are relaxed, however, arguments for hedging proliferate. They include, but are not limited to: a reduced corporate tax liability; reduced costs of financial distress; reduced risk for the firm's managers; reduced cost of underinvestment due to a reduction in the agency conflict between bondholders and shareholders or to an increased facility for financing investment projects with internal funds that reduces recourse to costly external financing. In this dissertation, the author made a deep analysis on the motives of corporate hedging based on the imperfect financial market and made an empirical study with the cases of A-share non-financial companies. Furthermore, the author studies the substitution theory of the corporate hedging motives by the setup of the theoretical model which discusses the interactivities of the financial hedging and operational hedging and the effects on the final risk management decision. Finally, the author put forward the suggestion on setup of the integrated hedging strategies for the corporations. This dissertation is composed of eight chapters. The chapter 1 is the introduction to the dissertation, which contains the research issue the dissertation focused and the purpose of this dissertation, the significance of the study and the research design of the dissertation. The chapter 2 reviews the literature for this topic. This chapter systematically reviewed the corporate hedging motives in the literature of the domestic and foreign studies. The research methods and the empirical study are summarized and analyzed, which provides the basis and direction for the research on corporate hedging motive in China. The chapter 3 is the background analysis of the dissertation. This chapter focused on the background of the corresponding economy environment and system for the corporate hedging of the domestic and foreign market. The purpose the analysis is to provide the empirical background and theoretical framework to the research of the corporate hedging motives in China. And it will contribute to the in-depth analysis of hedging motive of the company. The chapter 4 focused on the theoretical framework about corporate hedging motives. Furthermore the detailed analysis for the different motives of the corporate hedging is made. The chapter 5 studies the substitution theory of the corporate hedging motives by the setup of a theoretical model, which discusses the interactivities of the financial hedging and operational hedging and the effects on the final risk management decision. The chapter 6 and chapter 7 are the empirical testing and analysis. Based on the theoretical framework mentioned in the chapter above, this two chapters provide the empirical study for the motives of the corporate hedging for the China's non-financial A-share listed companies. The chapter 8 is the concluding remarks of the dissertation, which summarized the main research conclusions and suggestions, the research limitations and further research directions. The dissertation has several research innovations, including: (1) build a theoretical model to make deep analysis on the interactivities of the financial hedging and operational hedging and the effects on the final risk management decision; (2) extend the substitution theory of the corporate hedging motive; (3) make empirical study on the determinants of corporate hedging motives with the database of China A-share market listed companies.
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