本文選題：套期保值 + 風(fēng)險(xiǎn)信息��； 參考：《南開大學(xué)》2014年博士論文

【摘要】：為規(guī)避匯率、利率、商品價(jià)格等大幅變動(dòng)對(duì)公司業(yè)績(jī)?cè)斐傻牟焕绊?越來越多的公司使用期貨、期權(quán)等衍生金融工具進(jìn)行套期保值。如何合理、恰當(dāng)?shù)叵蚬镜耐獠坷嫦嚓P(guān)者、尤其是向投資者傳遞公司被套期項(xiàng)目及其套期工具的相關(guān)風(fēng)險(xiǎn)信息,使投資者能夠較好地感知公司套期保值的風(fēng)險(xiǎn)狀況,并作出比較恰當(dāng)?shù)耐顿Y判斷,是提高會(huì)計(jì)信息質(zhì)量、保護(hù)投資者利益的一個(gè)重要方面。本文以心理學(xué)中的相關(guān)理論為基礎(chǔ),采用實(shí)驗(yàn)研究方法檢驗(yàn)了被套期項(xiàng)目及其套期工具的風(fēng)險(xiǎn)信息披露內(nèi)容、形式對(duì)個(gè)體投資者判斷的影響。 本文共分六章。第一章為引言；第二章為文獻(xiàn)綜述,分別回顧了市場(chǎng)風(fēng)險(xiǎn)信息披露、衍生金融工具使用的經(jīng)濟(jì)后果、信息披露內(nèi)容形式等相關(guān)文獻(xiàn)的研究現(xiàn)狀；第三章基于心理學(xué)的個(gè)體認(rèn)知能力有限性、啟動(dòng)效應(yīng)、風(fēng)險(xiǎn)判斷行為觀等相關(guān)理論,分析了被套期項(xiàng)目及其套期工具的風(fēng)險(xiǎn)信息披露內(nèi)容、形式對(duì)個(gè)體投資者判斷的影響,提出了本文的研究假設(shè)；第四章介紹了實(shí)驗(yàn)總體設(shè)計(jì)及實(shí)驗(yàn)參與者；第五章對(duì)實(shí)驗(yàn)數(shù)據(jù)進(jìn)行詳細(xì)地分析,檢驗(yàn)了研究假設(shè)；第六章對(duì)本文的研究結(jié)論進(jìn)行總結(jié),并討論了可能存在的研究局限及未來研究方向。 本文的主要研究結(jié)論包括： 1.理論分析表明：由于個(gè)體投資者認(rèn)知的局限性和啟動(dòng)效應(yīng)等原因,被套期項(xiàng)目及其套期保值工具的風(fēng)險(xiǎn)披露內(nèi)容和形式,會(huì)影響個(gè)體投資者的投資判斷。這些內(nèi)容和形式包括：僅披露被套期項(xiàng)目及其套期保值工具的損失風(fēng)險(xiǎn),同時(shí)披露被套期項(xiàng)目及其套期保值工具的損失和收益風(fēng)險(xiǎn),以及增加或單獨(dú)披露套期保值后的凈風(fēng)險(xiǎn)等。此外,投資者對(duì)被套期項(xiàng)目?jī)r(jià)格上升風(fēng)險(xiǎn)的擔(dān)憂程度、凈利潤(rùn)波動(dòng)程度會(huì)中介風(fēng)險(xiǎn)信息披露內(nèi)容、形式對(duì)投資者投資判斷的影響。 2.實(shí)驗(yàn)結(jié)果表明：(1)不進(jìn)行套期保值且對(duì)燃油價(jià)格波動(dòng)風(fēng)險(xiǎn)僅披露損失信息,與進(jìn)行套期保值且對(duì)燃油(被套期項(xiàng)目)價(jià)格波動(dòng)風(fēng)險(xiǎn)及其套期保值工具風(fēng)險(xiǎn)僅披露損失信息,兩種情況下,個(gè)體投資者判斷的投資風(fēng)險(xiǎn)和投資吸引力均沒有顯著差異,即個(gè)體投資者未能夠感知到套期保值帶來的風(fēng)險(xiǎn)降低,并作出了不恰當(dāng)?shù)耐顿Y判斷。 (2)與對(duì)燃油(被套期項(xiàng)目)價(jià)格波動(dòng)風(fēng)險(xiǎn)及其套期保值工具風(fēng)險(xiǎn)僅披露損失信息相比,在此基礎(chǔ)上增加披露套期保值后凈風(fēng)險(xiǎn)的損失信息時(shí),個(gè)體投資者判斷的投資風(fēng)險(xiǎn)更低、投資吸引力更高,即個(gè)體投資者能夠感知到套期保值帶來的風(fēng)險(xiǎn)降低,并作出比較恰當(dāng)?shù)耐顿Y判斷。但與前述的增加披露套期保值后凈風(fēng)險(xiǎn)的損失信息相比,在僅披露套期保值后凈風(fēng)險(xiǎn)的損失信息的情況下,個(gè)體投資者判斷的投資風(fēng)險(xiǎn)更高、投資吸引力更低。 3.實(shí)驗(yàn)結(jié)果表明：(1)與對(duì)燃油價(jià)格波動(dòng)風(fēng)險(xiǎn)及其套期保值工具風(fēng)險(xiǎn)僅披露損失信息相比,當(dāng)對(duì)燃油價(jià)格波動(dòng)風(fēng)險(xiǎn)及其套期保值工具風(fēng)險(xiǎn)同時(shí)披露損失和收益信息時(shí),個(gè)體投資者判斷的投資風(fēng)險(xiǎn)更低、投資吸引力更高,即個(gè)體投資者能夠感知到套期保值帶來的風(fēng)險(xiǎn)降低,并能夠作出比較恰當(dāng)?shù)耐顿Y判斷。 (2)與不進(jìn)行套期保值時(shí)對(duì)燃油價(jià)格波動(dòng)風(fēng)險(xiǎn)同時(shí)披露損失和收益信息相比,在進(jìn)行套期保值的情況下,對(duì)燃油價(jià)格波動(dòng)風(fēng)險(xiǎn)及其套期保值工具風(fēng)險(xiǎn)同時(shí)披露損失和收益信息時(shí),個(gè)體投資者判斷的投資風(fēng)險(xiǎn)更低、投資吸引力更高,即個(gè)體投資者能夠感知到套期保值帶來的風(fēng)險(xiǎn)降低,并作出比較恰當(dāng)?shù)耐顿Y判斷。 (3)在對(duì)燃油價(jià)格波動(dòng)風(fēng)險(xiǎn)及其套期保值工具風(fēng)險(xiǎn)同時(shí)披露損失和收益信息的情況下,無論是否增加披露套期保值后凈風(fēng)險(xiǎn)的損益信息,個(gè)體投資者判斷的投資風(fēng)險(xiǎn)和投資吸引力均沒有顯著差異；但與前述的增加披露套期保值后凈風(fēng)險(xiǎn)的損益信息相比,僅披露套期保值后凈風(fēng)險(xiǎn)的損益信息時(shí),個(gè)體投資者判斷的投資風(fēng)險(xiǎn)更高、投資吸引力更低。 4.實(shí)驗(yàn)結(jié)果表明,個(gè)體投資者在進(jìn)行投資判斷的過程中,感知的燃油價(jià)格上升風(fēng)險(xiǎn)的擔(dān)憂程度分別部分中介了凈風(fēng)險(xiǎn)信息披露形式、風(fēng)險(xiǎn)信息披露內(nèi)容對(duì)投資者判斷的凈利潤(rùn)波動(dòng)程度的影響；凈利潤(rùn)波動(dòng)程度完全中介了燃油價(jià)格上升風(fēng)險(xiǎn)的擔(dān)憂程度對(duì)投資風(fēng)險(xiǎn)判斷的影響；投資風(fēng)險(xiǎn)判斷完全中介了凈利潤(rùn)波動(dòng)程度對(duì)投資吸引力評(píng)價(jià)的影響。 以上結(jié)果表明,對(duì)于燃油價(jià)格波動(dòng)風(fēng)險(xiǎn)及其套期保值工具風(fēng)險(xiǎn),僅披露損失信息,未能使投資者感知到套期保值帶來的風(fēng)險(xiǎn)降低,并使得投資者作出不恰當(dāng)?shù)耐顿Y判斷；對(duì)燃油價(jià)格波動(dòng)風(fēng)險(xiǎn)及其套期保值工具風(fēng)險(xiǎn),同時(shí)披露損失和收益信息,或者在僅披露損失信息的基礎(chǔ)上增加披露套期保值后凈風(fēng)險(xiǎn)損失信息,均能夠使投資者感知到套期保值帶來的風(fēng)險(xiǎn)降低,并使得投資者能夠作出比較恰當(dāng)?shù)耐顿Y判斷。
[Abstract]:In order to avoid the adverse effects of large changes in exchange rate, interest rate and commodity price on company performance, more and more companies use derivative financial instruments such as futures and options to hedge. How to properly and appropriately transfer to the external stakeholders of the company, especially to the investor, is related to the company's hedging and hedging tools. Risk information is an important aspect of improving the quality of accounting information and protecting the interests of investors by making investors better aware of the risk status of hedging and making a more appropriate investment judgment. This paper, based on the related theories in psychology, examines the hedged projects and their hedges based on the empirical research method. The influence of risk disclosure content and form on individual investors' judgment.
This article is divided into six chapters. The first chapter is the introduction; the second chapter is the literature review, which reviewed the research status of the market risk information disclosure, the economic consequences of the use of derivative financial instruments, the form of information disclosure content and so on. The third chapter is based on the limitations of the individual cognitive ability, starting effect, and the behavior view of risk judgment based on psychology. The fourth chapter introduces the overall design of the experiment and the participants in the experiment; the fifth chapter analyzes the experimental data in detail to test the hypothesis of the research, and the sixth chapter to this article. The research conclusions are summarized, and possible research limitations and future research directions are discussed.
The main conclusions of this paper are as follows:
1. theoretical analysis shows that the content and form of risk disclosure by hedging items and hedging tools will affect the investment judgment of individual investors because of the limitations of individual investors' cognition and starting effect. These contents and forms include only disclosing the loss risks of the hedged items and their hedging tools. The loss and return risks of hedged items and their hedging tools are disclosed, and the net risk after hedging is added or individually disclosed. In addition, the extent to which investors are concerned about the risk of the price rise of the hedged items, the extent to which the net profit fluctuates will affect the disclosure of the risk information, and the influence of the form on the investor's investment judgment.
2. experimental results show that: (1) no hedging and only disclosure of loss information on the risk of fuel price volatility, and the risk of hedging and the price volatility of fuel (the hedged item) and the risk of hedging tools only disclosure of loss information, in the two cases, the individual investors have no investment risk and investment attraction. The significant difference is that individual investors can not perceive the risk reduction caused by hedging and make inappropriate investment judgments.
(2) on the basis of increasing the loss information of the net risk after disclosure of hedging, the individual investor's investment risk is lower and the investment attraction is higher, that is, the individual investor can perceive the hedging. The risk is lower, and a more appropriate investment judgment is made. But compared with the above information on the loss of the net risk after the hedging, the individual investor's investment risk is higher and the investment attractiveness is lower in the case of only disclosure of the net risk loss information after the hedging.
3. experimental results show that: (1) compared with the risk of fuel price volatility and the risk of hedging tool disclosure only loss information, when the risk of fuel price volatility and the risk of hedging tools disclose loss and income information simultaneously, the investment risk of individual investors is lower and the investment attraction is higher, that is, individual investors can It is enough to perceive the risk reduction caused by hedging and make a more appropriate investment judgement.
(2) compared with the disclosure of loss and income information at the same time, when the hedging risks are disclosed at the same time, when the hedging is carried out, the investment risk of the individual investors is lower and the investment attraction is higher, that is, the individual investor is more attractive, that is, the individual investor, when the hedging is carried out. Investors can perceive the risk reduction caused by hedging and make a more appropriate investment judgment.
(3) in the case of the risk of fuel price volatility and its hedging tool risk simultaneously disclosing the loss and income information, no matter whether or not it increases the profit and loss information of the net risk after the disclosure of hedging, there is no significant difference between the investment risk and the investment attraction of the individual investors. Compared with the profit and loss information of insurance, when the information about profit and loss of net risk after hedging is disclosed, the investment risk of individual investors is higher and the investment attraction is lower.
4. experimental results show that, in the process of investment judgment, individual investors' perceived risk of rising risk of fuel price rises partially mediates the disclosure form of net risk information, and the content of risk information disclosure affects the net profit volatility of investors, and the degree of net profit volatility is a complete medium for the rise of fuel price. The impact of risk degree on investment risk judgment; investment risk judgment completely mediated the impact of net profit volatility on investment attractiveness evaluation.
The above results show that, for the risk of fuel price volatility and its hedging tool risk, only disclosure of loss information can not cause investors to perceive the risk of hedging, and make investors make inappropriate investment judgments; the risk of fuel price volatility and hedging tools risk, and disclosure of losses and returns. Information, or on the basis of only disclosure of loss information, can increase the net risk loss information after the disclosure of hedging, which can make investors feel the risk of hedging and make investors make more appropriate investment judgments.
【學(xué)位授予單位】：南開大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F275

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