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论文编号：	6750
作者编号：	1120100754
上传时间：	2014/12/5 17:26:12
中文题目：	套期保值比例、被套期项目的风险披露方式与投资者判断
英文题目：	Hedge Proportion, Risk Disclosure Formats of Hedged Items and Investors’Judgments
指导老师：	张继勋
中文关键字：	套期保值比例；被套期项目风险披露方式；个体投资者；投资判断
英文关键字：	Hedge proportion; Risk disclosure formats of hedged items; Individual investor; Investment judgment
中文摘要：	各国证券监管机构和会计准则制定机构均要求上市公司提供与衍生工具相关的风险信息，目的是为了给投资者提供关于衍生工具的更充分的信息，以帮助投资者更好地了解和评价公司所面临的风险。考虑到衍生工具风险的复杂性以及风险信息传递的困难程度，投资者是否能够充分利用公司所披露的风险信息做出恰当的投资判断仍然有待检验。本文以心理学中的信息加工理论、认知拟合理论和风险感知理论为基础，采用实验研究的方法，检验了是否进行套期保值、套期保值比例和被套期项目的风险披露方式对个体投资者的投资判断的影响。本文共分为六章。第一章为引言，对研究问题，研究背景、研究意义以及研究框架、方法和研究创新等进行了说明；第二章为文献综述，系统梳理了目前国内外关于风险信息披露、衍生工具的使用及套期保值和信息披露方式的相关研究并进行了评论；第三章运用心理学中的信息加工理论、认知拟合理论和风险感知理论分析了是否进行套期保值、套期保值比例和被套期项目的风险披露方式对投资者的投资判断的影响，并提出了本文的研究假设；第四章为实验设计，介绍了本文自变量的操控和因变量的测度，以及实验参与者的选择和实验过程；第五章对实验获取的数据进行统计分析，检验了本文的研究假设；第六章为本文的结论，概括了本文的研究发现并指出了本文的研究局限性和未来可能的研究方向。本文的主要结论： 1. 理论分析表明，由于有限的信息加工能力和信息加工策略选择等原因，是否进行套期保值和被套期项目的风险披露方式会共同影响个体投资者的投资判断；同时，套期保值比例和被套期项目的风险披露方式也会共同影响个体投资者的投资判断。此外，个体投资者对风险的可控性和净利润的波动程度的评价会中介套期保值比例、被套期项目的风险披露方式对个体投资者的投资判断的影响。 2. 实验结果表明，是否进行套期保值和被套期项目的风险披露方式共同影响了个体投资者的投资判断。在公司披露燃油价格波动风险定性信息的情况下，与公司没有进行套期保值相比，当公司进行套期保值时，投资者评价的投资风险更高，投资吸引力更低；在公司披露燃油价格波动风险定量信息的情况下，与公司没有进行套期保值相比，当公司进行套期保值时，投资者评价的投资风险更低，投资吸引力更高。 3. 实验结果表明，套期保值比例和被套期项目的风险披露方式共同影响了个体投资者的投资判断。个体投资者对拥有不同套期保值比例的公司的投资判断取决于公司所选择的被套期项目的风险披露方式。具体来说，在公司披露了燃油价格波动风险的定性信息的情况下，与公司对一小部分预期购买的燃油进行套期保值相比，当公司对一大部分预期购买的燃油进行套期保值时，投资者评价的投资风险更高，投资吸引力更低；在公司披露了燃油价格波动风险定量信息的情况下，与公司对一小部分预期购买的燃油进行套期保值相比，当公司对一大部分预期购买的燃油进行套期保值时，投资者评价的投资风险更低，投资吸引力更高。 4. 实验结果表明，被套期项目风险的不同披露方式会使得个体投资者对拥有相同套期保值比例的公司作出不同的投资判断。具体来说，在公司对一大部分预期购买的燃油进行套期保值的情况下，与公司披露燃油价格波动风险的定性信息相比，当公司披露燃油价格波动风险的定量信息时，投资者评价的投资风险更低，投资吸引力更高；在公司对一小部分预期购买的燃油进行套期保值的情况下，与公司披露燃油价格波动风险的定性信息相比，当公司披露燃油价格波动风险的定量信息时，投资者评价的投资风险更高，投资吸引力更低。 5. 实验结果表明，个体投资者对风险可控性的评价部分中介了套期保值比例、被套期项目的风险披露方式对净利润波动程度判断的影响；个体投资者对净利润波动程度的评价部分中介了风险可控性对投资风险判断的影响；个体投资者对投资风险的评价完全中介了净利润波动程度对投资吸引力判断的影响。
英文摘要：	Regulators and standard setters of many countries required that the listed company must provide risk information about company’s derivatives so that the investors can have sufficient information to understand and judge the risk of the company. Given the complexity of derivatives risk and difficulties in communicating risk information, whether the investors can make full use of currently available information to make appropriate investment judgments need to be explored. Based on information processing theory, cognitive fit theory, and risk perception theory of psychology, the dissertation examines the effect of the presence of hedge, hedge proportion and risk disclosure formats of hedged items on individual investors’ investment judgments by experimental methods. The dissertation is composed of six chapters. Chapter one gives an overall introduction of this study, including research questions, research background, implications, research framework, research method and innovations, etc; Chapter two reviews and comments on the existing literatures on risk information disclosure, use of derivatives and hedge, and information disclosure formats; Chapter three draws upon information processing theory, cognitive fit theory and risk perception theory of psychology to develop the hypotheses about the effect of the presence of hedge, hedge proportion and risk disclosure formats of hedged items on individual investors’ investment judgments; Chapter four describes the experimental design, including manipulation of independent variables and measurement of dependent variables, participants selection and procedure; Chapter five analyzes the data and verifies the hypotheses; Chapter six concludes the whole dissertation and discusses the limitations of the study and the directions for future research. The main conclusions of the dissertation are listed as follows: 1. Theoretical analysis shows that, for the reason of limited information processing capability and choice of information processing strategy, the presence of hedge and risk disclosure formats of hedged items affect individual investors’ investment judgments. Meanwhile, hedge proportion and risk disclosure formats of hedged items affect individual investors’ investment judgments. In addition, perceived risk controllability and net income volatility by individual investors will mediate the effect of hedge proportion or risk disclosure formats of hedged items on individual investors’ investment judgments. 2. The experimental results indicate that the presence of hedge and risk disclosure formats of hedged items affect individual investors’ investment judgments. When the companies disclose qualitative information about fuel price volatility risk, investors will assess the riskiness of an investment in companies who hedge fuel price risk higher, and investment attractiveness lower as compared to those who do not hedge fuel price risk; when the companies disclose quantitative information about fuel price volatility risk, investors will assess the riskiness of an investment in companies who hedge fuel price risk lower, and investment attractiveness higher as compared to those who do not hedge fuel price risk. 3. The experimental results indicate that hedge proportion and risk disclosure formats of hedged items affect individual investors’ investment judgments. Individual investors’ investment judgments about companies with different hedge proportions depend on risk disclosure formats of hedged items. Specifically, when the companies disclose qualitative information about fuel price volatility risk, investors will assess the riskiness of an investment in companies who hedge a large portion of anticipated purchases of fuel higher, and investment attractiveness lower as compared to those who hedge a small portion of anticipated purchases of fuel; When the companies disclose quantitative information about fuel price volatility risk, investors will assess the riskiness of an investment in companies who hedge a large portion of anticipated purchases of fuel lower, and investment attractiveness higher as compared to those who hedge a small portion of anticipated purchases of fuel. 4. The experimental results indicate that different risk disclosure formats of hedged items lead the investors to make different investment judgments for the companies with the same hedge proportion. Specifically, when the companies hedge a large portion of anticipated purchases of fuel, investors will assess the riskiness of an investment in companies who disclose quantitative information about fuel price volatility risk lower, and investment attractiveness higher as compared to those who disclose qualitative information about fuel price volatility risk; when the companies hedge a small portion of anticipated purchases of fuel, investors will assess the riskiness of an investment in companies who disclose quantitative information about fuel price volatility risk higher, and investment attractiveness lower as compared to those who disclose qualitative information about fuel price volatility risk. 5. The experimental results show that individual investors’ assessment of risk controllability partially mediates the effect of hedge proportion or risk disclosure formats of hedged items on investors’ net income volatility judgment; investors’ net income volatility judgment partially mediates the effect of risk controllability on investors’ investment risk judgment; investors’ investment risk judgment fully mediates the effect of investors’ net income volatility judgment on investors’ investment attractiveness judgment.
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