本文關(guān)鍵詞：基于風(fēng)險的煤炭類上市公司市值管理及套期保值研究　出處：《中國礦業(yè)大學(xué)(北京)》2016年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 市值管理 風(fēng)險管理 風(fēng)險度量 價格聯(lián)動 套期保值

【摘要】：市值管理的概念從提出至今不過十余年,我國對于市值管理的認識和實踐尚處于探索階段。隨著“新國九條”的出臺,國家鼓勵上市公司將市值管理作為公司管理制度的內(nèi)容,市值管理受到越來越多的重視。上市公司大多通過資本運作手段,如定向增發(fā)、股份回購、整體上市、資產(chǎn)注入、吸收合并、借殼上市、融資融券等開展市值管理。通過對采用資本運作手段前后的市值管理績效進行評價和比較,我們可以看出資本運作的手段是具有一定效果的。然而隨著經(jīng)濟全球化的飛速發(fā)展,以及股市進入新常態(tài)后呈現(xiàn)的劇烈波動,金融市場風(fēng)險對公司市值有著前所未有的重要影響,從風(fēng)險的視角進行市值管理,為股東創(chuàng)造財富的同時保護好財富,勢在必行。從風(fēng)險的視角進行市值管理,主要工作就是利用金融衍生品市場進行套期保值。通過套期保值,可以將風(fēng)險控制在一定范圍內(nèi),具體而言,在經(jīng)濟過熱時期可以為企業(yè)鎖定成本,在資金緊缺時期可以為企業(yè)降低融資成本,經(jīng)濟低迷或供給過剩階段通過套期保值可以為企業(yè)穩(wěn)定利潤。因此,企業(yè)利用套期保值的操作可以在風(fēng)險可控的基礎(chǔ)上實現(xiàn)風(fēng)險最小化,與市值管理目標(biāo)相同。企業(yè)通過套期保值可以對沖風(fēng)險,然而利用金融衍生品進行套期保值本身就具有風(fēng)險,企業(yè)進行套期保值的過中如果操作不當(dāng),不但不會降低風(fēng)險,反而會因為使用了不恰當(dāng)?shù)奶灼诒Ｖ刀鴰砀蟮膿p失。因避險能力不足,套期保值虧損已成為公司虧損的重要原因。企業(yè)要不要進行套期保值操作,使用金融衍生工具到底降低風(fēng)險還是增加風(fēng)險,如何利用金融衍生工具套期保值,成為煤炭企業(yè)需要面對的問題。如果使用套期保值策略,如何提高套期保值的有效性成為企業(yè)從風(fēng)險視角進行市值管理的重要問題。煤炭類上市公司面臨的主要風(fēng)險是商品價格波動引起的風(fēng)險。煤炭處于煤、焦、鋼、礦黑色產(chǎn)業(yè)鏈之中,其價格受到產(chǎn)業(yè)鏈的整體影響。黑色產(chǎn)業(yè)鏈期貨全面上市后,人們普遍認為會對整個產(chǎn)業(yè)鏈內(nèi)價格聯(lián)動性帶來促進作用。然而這一認識并沒有得到實證檢驗。本文正是基于以上的問題,以煤炭企業(yè)為例,從煤炭企業(yè)市值管理現(xiàn)狀出發(fā),識別煤炭企業(yè)面臨的最主要的風(fēng)險,研究企業(yè)進行風(fēng)險管理(主要指金融衍生品的使用)與公司市值的關(guān)系。以持有焦煤期貨為例,對使用金融衍生品進行風(fēng)險管理的風(fēng)險進行度量。檢驗煤炭企業(yè)所處的黑色產(chǎn)業(yè)鏈主要期貨品種上市后,黑色產(chǎn)業(yè)鏈期貨品種之間的價格聯(lián)動性的變化。通過對多品種套期保值的研究以及套期保值模型的改進,來解決利用期貨套期保值的過程中,套期保值本身帶來的風(fēng)險問題。論文的主要研究內(nèi)容如下:第一章引言總領(lǐng)全篇。首先對研究對象的概念進行了界定,介紹了本文的研究背景,提出了本文的研究意義以及要研究的問題。詳細闡述了本研究的研究內(nèi)容和所用方法,列出本文的研究思路,為撰寫全文做準備。第二章文獻綜述。介紹了與本文研究內(nèi)容相關(guān)的國內(nèi)外研究現(xiàn)狀,包括市值管理理論的研究、風(fēng)險度量理論的研究、風(fēng)險管理理論的研究和風(fēng)險管理對公司價值的影響,并對已有的研究進行評述,為本文的研究奠定理論基礎(chǔ)。第三章市值管理現(xiàn)狀分析。這部分對我國現(xiàn)階段市值管理現(xiàn)狀進行分析并指出存在的問題。以煤炭類上市公司為例,運用DEA模型對公司市值管理績效進行評價,對目前煤炭類上市公司面臨的風(fēng)險進行識別,介紹市值管理的主要措施,為下文的風(fēng)險度量、風(fēng)險控制做鋪墊。第四章煤炭企業(yè)金融風(fēng)險管理與企業(yè)市值研究。這一章首先研究了金融風(fēng)險管理對公司市值的作用機理,其次對煤炭企業(yè)金融風(fēng)險管理與公司市值的關(guān)系進行了實證研究。結(jié)果表明煤炭企業(yè)運用金融衍生工具進行風(fēng)險管理對公司市值管理具有促進作用,這是從風(fēng)險視角進行市值管理的前提,由此展開下文。第五章金融市場風(fēng)險度量仿真研究。通過比較各種金融風(fēng)險度量模型,最終選擇基于Monte Carlo模擬法,以煤炭類上市公司為例計算使用焦煤期貨的Va R值,對金融市場風(fēng)險進行仿真度量。風(fēng)險度量是風(fēng)險管理的關(guān)鍵步驟,是風(fēng)險控制的基礎(chǔ),是基于風(fēng)險的視角進行市值管理的重要組成部分。第六章黑色產(chǎn)業(yè)鏈期貨對產(chǎn)業(yè)鏈內(nèi)價格聯(lián)動性影響分析。煤炭類上市公司面臨的主要風(fēng)險是商品價格波動引起的風(fēng)險。煤炭處于煤、焦、鋼、礦黑色產(chǎn)業(yè)鏈之中,其價格收到產(chǎn)業(yè)鏈的整體影響。煤炭企業(yè)更好的進行風(fēng)險管理必須結(jié)合自身所處的產(chǎn)業(yè)鏈內(nèi)價格聯(lián)動的特殊條件。黑色產(chǎn)業(yè)鏈期貨品種之間的價格聯(lián)動性越來越強,為接下來多品種套期保值的研究以及套期保值模型的改進、解決套期保值本身帶來的風(fēng)險問題奠定基礎(chǔ)。第七章多品種期貨套期保值研究。引入“藤”結(jié)構(gòu)思想,結(jié)合Copula函數(shù)和GARCH模型推導(dǎo)新的多品種套期保值模型,并進行實證研究,比較傳統(tǒng)的單品種套期保值和本文所研究的多品種套期保值模型的避險效果,得到本文結(jié)論。第八章結(jié)論與展望是對全文進行總結(jié)。總結(jié)了全文的研究成果,提出了論文研究的創(chuàng)新點和研究存在的不足之處,并對下一步工作進行展望。本文得到的結(jié)論:通過總結(jié)上市公司市值管理的現(xiàn)狀,并運用DEA模型研究了40家煤炭類上市公司市值管理情況,對煤炭類上市公司的市值管理績效進行評價。根據(jù)當(dāng)前煤炭供求關(guān)系不斷惡化,市場持續(xù)低迷,各大煤炭企業(yè)深陷虧損困局當(dāng)中這一現(xiàn)狀,指出原材料價格波動引起的風(fēng)險是當(dāng)前煤炭企業(yè)運營的首要風(fēng)險。引出下文煤炭企業(yè)運用期貨進行套期保值的風(fēng)險度量和套期保值模型的改進。采用金融衍生品進行風(fēng)險管理對于公司市值管理具有顯著的促進作用,通過反應(yīng)業(yè)績的指標(biāo)可以看出,企業(yè)是否采用金融衍生品進行風(fēng)險管理對于企業(yè)業(yè)績的影響尚不能確定。判斷風(fēng)險管理與公司市值的關(guān)系是企業(yè)從風(fēng)險視角進行市值管理的基礎(chǔ)。利用Monte Carlo模擬法計算煤炭企業(yè)持有焦煤期貨的Va R值,該值反映了煤炭企業(yè)持有該期貨在未來一個月可能面臨的損益值。度量風(fēng)險是風(fēng)險管理的重要步驟,是市值管理的重要內(nèi)容。研究煤炭價格波動的風(fēng)險必須回歸到煤炭所處的整個黑色產(chǎn)業(yè)鏈中來。處于黑色產(chǎn)業(yè)鏈中的焦煤、焦炭和螺紋鋼的現(xiàn)貨價格數(shù)據(jù)上存在長期穩(wěn)定的關(guān)系,鐵礦石上市交易后,黑色產(chǎn)業(yè)鏈主要期貨品種齊備,黑色產(chǎn)業(yè)鏈現(xiàn)貨間價格的聯(lián)動性明顯增強。通過實證及量化分析的方法,證明了黑色產(chǎn)業(yè)鏈期貨品種上市,尤其是主要品種齊備,對于黑色產(chǎn)業(yè)鏈的價格聯(lián)動性有了一個良好的促進作用,為現(xiàn)貨企業(yè)進行跨品種的風(fēng)險對沖奠定基礎(chǔ)。將N元Copula函數(shù)應(yīng)用到多品種套期保值上來,這一探索很好的擬合了期貨和現(xiàn)貨的非線性對沖和期貨與期貨之間的非線性疊加,達到了提高套期保值準確度這一最終目的。本文主要的創(chuàng)新點有:運用多元回歸分析方法,找出影響市值的相關(guān)指標(biāo)和影響公司業(yè)績的相關(guān)指標(biāo),以是否使用金融衍生品進行風(fēng)險管理作為虛擬變量,研究煤炭類上市公司采用金融衍生品進行風(fēng)險管理對市值的影響,得出應(yīng)用金融衍生品進行風(fēng)險對沖對公司市值的提高具有促進作用的結(jié)論。首次實證分析了煤炭類上市公司風(fēng)險管理與市值的關(guān)系,為煤炭企業(yè)從風(fēng)險視角進行市值管理奠定基礎(chǔ)。從期貨定價理論出發(fā),找出了市場風(fēng)險因子與焦煤期貨價值的映射關(guān)系,根據(jù)這一關(guān)系,隨機模擬了影響焦煤期貨價值的兩個風(fēng)險因子(無風(fēng)險市場利率和資產(chǎn)的平均收益率)的30種可能性,應(yīng)用Monte Carlo模擬法,計算期限為一個月的焦煤期貨在險價值。該值反映了煤炭企業(yè)持有該期貨在未來一個月可能面臨的損益值。煤炭企業(yè)目前面臨著巨大的價格波動風(fēng)險,對價格風(fēng)險進行管理不可不回歸到整個黑色產(chǎn)業(yè)鏈。許多學(xué)者曾研究同一產(chǎn)業(yè)鏈內(nèi)價格的聯(lián)動性,但黑色產(chǎn)業(yè)鏈內(nèi)主要期貨品種已全部上市,這在其他產(chǎn)業(yè)鏈是沒有的。采用向量自回歸模型VAR研究黑色產(chǎn)業(yè)鏈期貨全部上市對產(chǎn)業(yè)鏈內(nèi)價格聯(lián)動的性的影響,結(jié)果表明2013年鐵礦石上市交易,黑色產(chǎn)業(yè)鏈主要期貨品種齊備以后,黑色產(chǎn)業(yè)鏈現(xiàn)貨間價格的聯(lián)動性明顯增強。焦炭、焦煤和螺紋鋼的現(xiàn)貨價格數(shù)據(jù)上存在顯著的長期穩(wěn)定的關(guān)系,企業(yè)進行套期保值可以選擇跨品種對沖。將Copula藤結(jié)構(gòu)的分解方法用于多元Copula函數(shù)的分解中,較好的避免了Copula函數(shù)應(yīng)用時的缺陷,并且得到了基于Copula理論的期貨與期貨、期貨與現(xiàn)貨之間的兩兩非線性相依關(guān)系,將其用到N元Copula函數(shù)的多品種套期保值上來。本文針對于兩種期貨和一種現(xiàn)貨采用不同的分布來描述二者不同特征,實現(xiàn)了更好的擬合數(shù)據(jù)序列自身特征的理論要求,從而達到了使其貼近數(shù)據(jù)本身的特性目的。
[Abstract]: the concept of market value management has been put forward for more than ten years, and the understanding and practice of market value management in China is still at the exploratory stage. With the introduction of "the nine new country", the State encourages listed companies to take market value management as the content of the company management system, and the market value management has been paid more and more attention. Most of the listed companies carry out market value management through capital operation means, such as private placement, share repurchase, overall listing, asset injection, merger and acquisition, backdoor listing, margin trading and so on. Through the evaluation and comparison of market value management performance before and after the use of capital operation means, we can see that the means of capital operation are of certain effect. However, with the rapid development of economic globalization and the sharp fluctuations in the stock market has entered a new norm of the financial market risk has an important impact on the hitherto unknown market value, the market value of management from the perspective of risk, create wealth for shareholders and protect the wealth, imperative. The main work of the market value management from the perspective of risk is to use the financial derivatives market for hedging. Through hedging, risk can be controlled in a certain range, in particular, in the period of economic overheating and enterprises can lock the cost, the shortage of funds in the period for enterprises to reduce financing costs, the economic downturn or oversupply stage through hedging for enterprises stable profit. Therefore, the operation of hedging can minimize the risk on the basis of risk control, which is the same as the target of market value management. The enterprise can hedge the risk through hedging, however the use of financial derivatives to hedge itself has risks, hedge in if improper operation, will not only reduce the risk, but because of improper use of hedging and greater losses. Due to the lack of risk avoidance ability, hedging loss has become an important reason for the loss of the company. Whether enterprises need to hedge operations, whether or not to use financial derivatives to reduce risks or increase risks? How to hedge with financial derivatives has become a problem that coal companies need to face. If the hedging strategy is used, how to improve the validity of hedging has become an important problem for the enterprise to manage the market value from the perspective of risk. The main risk faced by coal listed companies is the risk caused by the fluctuation of commodity prices. Coal is in the black industrial chain of coal, coke, steel and mine, and its price is influenced by the whole industry chain. After the full listing of black industrial chain futures, people generally believe that it will promote the linkage of price in the whole industrial chain. However, this understanding has not been empirically tested. Based on the above problems, taking coal enterprises as an example, starting from the current situation of market capitalization management of coal enterprises, we identify the most important risks faced by coal enterprises, and study the relationship between risk management (mainly the use of financial derivatives) and market capitalization of enterprises. Taking coking coal futures as an example, the risk of risk management using financial derivatives is measured. The change of price linkage between the black industrial chain futures varieties is tested after the black industrial chain main futures varieties are listed in the coal enterprises. Through the study of multi species hedging and the improvement of hedging model, we can solve the risk problem brought by hedging in the process of futures hedging. The main research contents are as follows: the first chapter is the introduction of all the. First of all, the concept of the research object is defined, the background of the study is introduced, and the significance of the research and the problems to be studied are put forward. The research contents and methods used in this study are described in detail, and the research ideas are listed in this paper to prepare the full text. The second chapter is the literature review. This paper introduces the research status and research content at home and abroad, including the impact of market value management theory, risk measurement theory, risk management theory and risk management research on the value of the company, and the existing research is reviewed, the theoretical foundation for the research of the foundation. The third chapter analysis of market value management. This part analyses the current situation of market value management in China and points out the existing problems. Taking coal listed companies as an example, we use DEA model to evaluate the performance of market capitalization management, identify the risks faced by coal listed companies, and introduce the main measures of market value management, so as to pave the way for risk measurement and risk control. The fourth chapter studies the financial risk management of coal enterprises and the market value of the enterprises. This chapter first studies the mechanism of financial risk management on the company's market capitalization, and then empirically studies the relationship between financial risk management and market capitalization of coal enterprises. The results show that the risk management of coal enterprises can promote the market value management of the company, which is the premise of market value management from the risk perspective. The fifth chapter of the financial market risk measurement simulation research. By comparing various financial risk measurement models, we finally choose Monte Carlo based simulation method, taking coal listed companies as an example to calculate the Va R value of coking coal futures, and simulate the financial market risk. Risk measurement is the key step of risk management and the basis of risk control. It is an important part of market value management based on the perspective of risk. The sixth chapter is the analysis of the impact of the black industrial chain futures on the linkage of the price in the industrial chain. The main risk faced by coal listed companies is the risk caused by the fluctuation of commodity prices. Coal is in the black industrial chain of coal, coke, steel and mine. The price of coal is affected by the overall impact of the industrial chain. The better risk management of coal enterprises must be combined with their own
【學(xué)位授予單位】：中國礦業(yè)大學(xué)(北京)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：F426.21;F832.51

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