本文選題：衍生工具 + 套期保值�。� 參考：《安徽財經(jīng)大學(xué)》2012年碩士論文

【摘要】：伴隨各種不可保風(fēng)險增多及金融自由化浪潮,公司使用衍生工具規(guī)避國際國內(nèi)各種風(fēng)險的需求越來越大,衍生工具使用日益普遍。衍生工具為避險而生,但若使用不當(dāng),卻能給公司帶來巨大災(zāi)難,近年來國內(nèi)外發(fā)生的眾多因衍生工具使用不當(dāng)引發(fā)的巨虧案例一次次為我們敲響了警鐘,因此研究如何使用衍生工具及衍生工具與公司價值之間關(guān)系已引起理論界和實(shí)證界的廣泛關(guān)注。 國外對衍生工具研究較為成熟,相關(guān)實(shí)證結(jié)論也較統(tǒng)一,即認(rèn)為衍生工具使用可以通過降低收入波動性減少稅收或財務(wù)危機(jī)成本等來提升公司價值。國內(nèi)研究相對滯后,相關(guān)理論基礎(chǔ)及分析框架都是借鑒西方已有成熟的理論,研究內(nèi)容也多為衍生工具介紹、監(jiān)管、相關(guān)信息披露及風(fēng)險控制等,方法多為規(guī)范研究,較少的實(shí)證研究結(jié)論也并未統(tǒng)一。 本文在國內(nèi)外研究的基礎(chǔ)上,首先對衍生工具的產(chǎn)生和發(fā)展及相關(guān)概念進(jìn)行了系統(tǒng)介紹,然后在理論分析和經(jīng)驗證據(jù)的基礎(chǔ)上進(jìn)行實(shí)證研究,選取機(jī)械,設(shè)備,儀表類及金屬,非金屬類行業(yè)2007-2010年數(shù)據(jù)作為研究樣本,通過橫向及縱向比較研究我國衍生工具使用行為對公司價值影響,實(shí)證結(jié)果顯示：在我國,相較于未使用衍生工具公司,使用衍生工具顯著提升了公司價值；相較于使用衍生工具前,使用衍生工具給公司帶來了更高的托賓Q和更低的凈資產(chǎn)收益率,前者不顯著,后者顯著；公司使用衍生工具套期保值效果與公司價值無顯著正相關(guān)關(guān)系。此外,控制變量中資產(chǎn)負(fù)債率與固定資產(chǎn)比例均與公司價值顯著負(fù)相關(guān),營業(yè)收入增長率與公司價值顯著正相關(guān)。 本文經(jīng)實(shí)證研究后,分別從政府層面和公司層面對衍生工具發(fā)展相關(guān)問題提出一些政策建議,并結(jié)合本文研究局限性對未來研究進(jìn)行了展望。
[Abstract]:With the increase of uninsurable risks and the wave of financial liberalization, the demand for companies to use derivatives to avoid various risks at home and abroad is increasing, and the use of derivatives is becoming more and more common. Derivatives are born to avoid risks, but if they are not used properly, they can bring great disaster to the company. In recent years, many cases of huge losses caused by improper use of derivatives have sounded the alarm for us again and again. Therefore, the study of how to use derivatives and the relationship between derivatives and corporate value has attracted wide attention in both theoretical and empirical circles. Foreign research on derivatives is more mature, and the relevant empirical conclusions are more uniform, that is, the use of derivatives can reduce the volatility of income and reduce the cost of tax or financial crisis to enhance the value of the company. The relative lag of domestic research, the relevant theoretical basis and analysis framework are used for reference from the western mature theory, the research content is mostly derivatives introduction, supervision, related information disclosure and risk control, and the methods are mostly normative research. Less empirical research conclusions are not uniform. Based on the research at home and abroad, this paper first introduces the generation and development of derivatives and related concepts, and then carries out empirical research on the basis of theoretical analysis and empirical evidence, and selects machinery, equipment, instrumentation and metals. The data of non-metal industry from 2007 to 2010 are used as research samples to study the influence of derivatives use behavior on corporate value through horizontal and vertical comparison in China. The empirical results show that: in China, compared with non-used derivative companies, The use of derivatives has significantly increased the value of the company, compared with before the use of derivatives, the use of derivatives to the company brought a higher Tobin Q and a lower return on net assets, the former is not significant, the latter significant; There is no significant positive correlation between the hedging effect and the company value. In addition, the ratio of assets to liabilities and the proportion of fixed assets in the control variables are negatively correlated with the value of the company, and the growth rate of operating income is positively correlated with the value of the company. After empirical research, this paper puts forward some policy suggestions on the development of derivatives from the government level and the company level, and looks forward to the future research combined with the limitations of this study.
【學(xué)位授予單位】：安徽財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F275;F832.5

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