人民币汇率变动对我国上市跨国公司价值的影响研究
|
摘要
随着经济的快速发展和改革开放的深入,尤其是我国在加入WTO之后,我国企业逐步走向国际化经营的道路,跨国公司也得到较快的发展,为我国的经济增长做出了极大的贡献。
自2005年7月21日汇改以后,我国人民币汇率形成机制更富弹性,市场不断主导人民币汇率,诸多上市跨国企业面临着巨大的汇率风险。近两年人民币不断升值,给跨国公司带来了巨大的压力和挑战。中国企业在国际化经营的过程中,势必要面对汇率波动带来的风险管理问题。这一问题也是跨国公司理论和实证研究中的一个重要方向。汇率波动对上市企业的竞争力、财务稳健、风险管理等都有十分重要的影响。对上市跨国公司的汇率风险管理理论和策略进行研究,具有重要的理论和实践意义。
本文以上市的跨国公司为主要研究对象,在跨国公司价值理论基础上,分别建立了理论和实证模型进行分析。实证分析中,分别分析了汇率变动在短期、中期和长期对企业价值造成的影响;并且选取了具有代表性的上市跨国公司来分析中短期汇率变动对他们的影响。本文认为,汇率变动对上市跨国公司价值的影响,在中短期内最为显著;外汇风险随着外贸收入比重的增大而相应的增大;服装纺织行业、汽车行业、和电子、机械行业的上市跨国公司的公司价值/汇率弹性较大,受汇率影响较大;其次是航空业、能源原材料行业。
汇率对于上市跨国公司的影响显而易见,规避汇率风险的问题也就成为重中之重。针对跨国企业面临汇率风险现状,本文提出了有利于跨国公司充分利用金融衍生产品、大力促进企业创新等避险策略。或许能够对我国上市跨国公司规避汇率风险的问题提供一些现实帮助。
With the rapid economic development and the deepening of reform and opening up, especially in the accession to WTO and the exchange rate mechanism reform, our businesses have gradually toward the road of international operations. Multinational enterprises have also seen rapid development , and it has made a significant contribution on China's economic growth.
After exchange rate reform in China in the July 21, 2005, more flexible RMB exchange rate formation mechanism and market leading the RMB exchange rate, the wider listed multinational enterprises are faced a huge exchange-rate risk. The past two years, with increasing appreciation of the RMB, it has brought tremendous pressures and challenges to foreign-related enterprises. In the process of international operations, Chinese listed enterprises must face the risks of exchange rate fluctuations and risks management. It is also an important direction in multinational enterprises theoretical and empirical research. Exchange rate fluctuation has very important influence on the competitiveness of enterprises, financial stability, risk management, and others. It has important theoretical and practical significance to research the exchange rate risk management theory and strategy of the listed multinational.
In this paper, multinational enterprises as the main object of study, theoretical and empirical analysis of models were established based on the theory of value in the international companies. In Empirical analysis, exchange rate variations were analyzed in the short, medium and long-term impact on the enterprise value. And, a few representative listed companies were analyzed in the medium–term. This paper argues that the impact is most notably in the medium term. With the increase of the proportion of export earnings, foreign exchange risks increase in. The company value / exchange rate flexibility of Garment and textile industry, automobile industry, and electronics, machinery industry are greater influenced by the exchange rate; Followed by the aviation industry, energy and raw material industries.
It is clear that the exchange rate affects the listed multinational enterprises. To avoid exchange rate risks will become a priority. According to the status that exchange rate risks faced by multinational enterprises, it is proposed to take advantage of financial derivative products and vigorously promote enterprise innovation hedging strategy in this paper. Maybe it can provide some practical effect for multinational enterprises avoiding exchange rate risks.
自2005年7月21日汇改以后,我国人民币汇率形成机制更富弹性,市场不断主导人民币汇率,诸多上市跨国企业面临着巨大的汇率风险。近两年人民币不断升值,给跨国公司带来了巨大的压力和挑战。中国企业在国际化经营的过程中,势必要面对汇率波动带来的风险管理问题。这一问题也是跨国公司理论和实证研究中的一个重要方向。汇率波动对上市企业的竞争力、财务稳健、风险管理等都有十分重要的影响。对上市跨国公司的汇率风险管理理论和策略进行研究,具有重要的理论和实践意义。
本文以上市的跨国公司为主要研究对象,在跨国公司价值理论基础上,分别建立了理论和实证模型进行分析。实证分析中,分别分析了汇率变动在短期、中期和长期对企业价值造成的影响;并且选取了具有代表性的上市跨国公司来分析中短期汇率变动对他们的影响。本文认为,汇率变动对上市跨国公司价值的影响,在中短期内最为显著;外汇风险随着外贸收入比重的增大而相应的增大;服装纺织行业、汽车行业、和电子、机械行业的上市跨国公司的公司价值/汇率弹性较大,受汇率影响较大;其次是航空业、能源原材料行业。
汇率对于上市跨国公司的影响显而易见,规避汇率风险的问题也就成为重中之重。针对跨国企业面临汇率风险现状,本文提出了有利于跨国公司充分利用金融衍生产品、大力促进企业创新等避险策略。或许能够对我国上市跨国公司规避汇率风险的问题提供一些现实帮助。
With the rapid economic development and the deepening of reform and opening up, especially in the accession to WTO and the exchange rate mechanism reform, our businesses have gradually toward the road of international operations. Multinational enterprises have also seen rapid development , and it has made a significant contribution on China's economic growth.
After exchange rate reform in China in the July 21, 2005, more flexible RMB exchange rate formation mechanism and market leading the RMB exchange rate, the wider listed multinational enterprises are faced a huge exchange-rate risk. The past two years, with increasing appreciation of the RMB, it has brought tremendous pressures and challenges to foreign-related enterprises. In the process of international operations, Chinese listed enterprises must face the risks of exchange rate fluctuations and risks management. It is also an important direction in multinational enterprises theoretical and empirical research. Exchange rate fluctuation has very important influence on the competitiveness of enterprises, financial stability, risk management, and others. It has important theoretical and practical significance to research the exchange rate risk management theory and strategy of the listed multinational.
In this paper, multinational enterprises as the main object of study, theoretical and empirical analysis of models were established based on the theory of value in the international companies. In Empirical analysis, exchange rate variations were analyzed in the short, medium and long-term impact on the enterprise value. And, a few representative listed companies were analyzed in the medium–term. This paper argues that the impact is most notably in the medium term. With the increase of the proportion of export earnings, foreign exchange risks increase in. The company value / exchange rate flexibility of Garment and textile industry, automobile industry, and electronics, machinery industry are greater influenced by the exchange rate; Followed by the aviation industry, energy and raw material industries.
It is clear that the exchange rate affects the listed multinational enterprises. To avoid exchange rate risks will become a priority. According to the status that exchange rate risks faced by multinational enterprises, it is proposed to take advantage of financial derivative products and vigorously promote enterprise innovation hedging strategy in this paper. Maybe it can provide some practical effect for multinational enterprises avoiding exchange rate risks.
引文
[1] Clark, Peter B.“Uncertainty, Exchange Risk, and the Level of International Trade”. Western Economic Journal,1973,302-313.
[2] Bini-Smaghi, Lorenzo. Exchange Rate Variability and Trade: Why Is It So Difficult to Find Any Empirical Relationship? Economics, Taylor and Francis Journals, vol. 23(5), pages 927-35, 1991,5
[3] Michael Adler, Bernard Dumas. Exposure to Currency Risk: Definition and Measurement Finance Management. Financial Management ,1984,13(2):41-50.
[4] Mann Catherine. Price, Profit Margins and Exchage Rate. Federal Reserve Bulletin,1986,72(6):366-379
[5] Yakov Amihud,Richard M. Levich. Exchange Rates and Corporate Performance. Published by Beard Books, 2003,15-48.
[6] Gunter Dufey, Lan Giddy. International Financial Planning:The Use of Market-Based Forecasts. California Management Review,1978,21(3):69-81.
[7] Loudon G.F. (1993), Foreign exchange exposure and the pricing of currency risk in equity returns: some Australian evidence. Pacific-Basin Finance Journal, Vol. 1 pp.335-354.
[8] Bartov,E.,Bodnar,G. Firm valuation ,earnings expectations and the exchange rate effect.1994,Journal Finance 49,1755-1785.
[9] Jorion P.The exchange Rate Exposure of US Multinational[J].Journal of Business,1990,63:331-345.
[10] Pantzalis C Simkins B J Laux P A Operational Hedges and the Foreign Exchange Exposure of U.S.Multinational Corporations .Journal of International Business 2004(4) ,25-40.
[11] Allayannis G.Ihrig J.Weston J P Exchange-Rate Hedging:Financial versus Operational Strategies. The American Economic Review. 2001(2) ,69-90.
[12] Joseph, N.L. (2002), Modelling the impacts of interest rate and exchange rate changes on UK stock returns, Derivatives Use, Trading and Regulation, Vol. 7 pp.306-323.
[13] Shapiro,A.C. Exchange rate changes inflation and the value of the multinational corporation. Journal of finance.1975,30,pp.485-502
[14] Marric D Levi. Exchange Rate and Valuation Firms. Exchange Rates, theMacroeconomic Environment, and the Firm,1992,21-52.
[15] Stulz, Rohan Williamson. Exchange rate exposure and competition: evidence from the automotive industry. Journal of Financial Economics.Volume 59, Issue 3, March 2001, Pages 441-475.
[16] Srinivasulu, S.L. (1981), "Strategic response to foreign exchange risks", Columbia Journal of World Business, Spring, pp.13-23.
[17]陈舜.对外直接投资的不确定性理论.成都:西南财经大学出版社,1995,48-86.
[18]陈占强.汇率与公司利润.系统工程理论与实践, 1998(10),23-25.
[19]武圣涛,叶德良.汇率变动对企业价值的影响例析.财会研究,2003(1),33-36.
[20]乔忠,王金玉.汇率对跨国经营企业价值影响的实证分析.中国农业大学学报,2001(6),13-17.
[21]陈平,熊欣.进出口汇率波动影响中国出口的实证分析.国际金融研究,2002(6) ,7-11.
[22]藏茜,马晔华.回归法在中国企业外汇风险度量中的应用初探.技术经济与管理研究, 2003(6),32-36.
[23]徐倩,姚雪丹.企业外汇风险及其识别与计量.特区经济.2005(4),36-41.
[24]都红雯,胡贇,庄巧英.汇率波动对我国跨国经营企业业绩的实证分析.杭州电子科技大学学报.2006(9),65-72.
[25]吕江林,李明生,石劲.人民币升值对中国股市影响的实证研究.金融研究,2007(6),23-30.
[26] Richard Pike, Bill Neale. Corporate Finance and Investment——Decisions and Strategies.4th Edition.2004,6-20,198-213.
[27] Campbell R. Harvey,Karl V. Lins and Andrew H. Roper. The Effect of Capital Structure When Expected Agency Costs Are Extreme. NBER Working Paper Series. 2001.Working paper 8445-8452.
[28]王化成.公司财务管理.北京:中信出版社,2008,47-125.
[29] Cheol S Eun, Bruce G Resnick. International Financial Management(4th Edition),2007,245-317.
[30]孙国茂.公司价值与股票定价研究.上海:上海三联书店,2003,93-104.
[31]王爱俭.国际金融概论.北京:中国金融出版社,2002,83-127.
[32]艾伦C夏皮罗.跨国公司财务管理.北京:中国人民大学出版社(第七版),2004,329-350,483-496.
[33]爱默德A穆萨.国际金融.北京:中国人民大学出版社(第二版),2004,324-384.
[34]陈学胜,周爱民.新汇率制度下中国上市公司外汇风险暴露研究.经济管理,2008(8),31-35.
[35]陈伟,王伟.我国跨国公司汇率风险的计量与实证分析.河南金融管理干部学院学报.2006(3),70-74.
[36]艾尔弗雷德·拉帕波特.创造股东价值,云南出版社,2002,59-127.
[37]荆新,王化成,刘俊彦.财务管理学.北京:中国人民大学出版社,1997,61-97.
[38]厉以宁.中国对外经济与国际收支研究[M].北京:国际文化出版公司,1991,65-108.
[39]陈彪如.人民币汇率研究[M].上海:华东师大出版社.1992,47-64.
[40]王伟,唐国兴.我国对外贸易的双市场非均衡模型.复旦学报(社会科学版)(3),1995,47-50.
[41]戴祖祥.我国贸易收支的弹性分析:1981-1995[J].经济研究.1997,55-60.
[42]朱真丽,宁妮.中国贸易收支弹性分析[J].世界经济.2002,47-53.
[43]徐小松.我国出口商品的需求弹性与人民币汇率的走向.经济问题探索.1993.7,32-34.
[44]杨晶.人民币汇率变动与出口.上海证券报.2009-02-18
[45]詹姆斯T格丽森.财务风险管理[ M ] .北京:中华工商联合出版社,2001,105-173.
[46]赵冰.汇率变化搅动公司价值.金融时报,2006-10-25
[47]扬博.中国股票市场有效性特征的实证分析.经济论坛.2005(9),26-30.
[48]李盈乐,王洪章.汇率风险对公司内在价值的影响.金融财经.2009.(02),162-163.
[49]戴岚.中国跨国公司崛起世界瞩目.人民日报.2006-10-17
[50]李朝贤.人民币升值预期对我国证券市场不同行业及其投资策略的预期影响[J].内蒙古财经学院学报,2004(3) ,39-41.
[2] Bini-Smaghi, Lorenzo. Exchange Rate Variability and Trade: Why Is It So Difficult to Find Any Empirical Relationship? Economics, Taylor and Francis Journals, vol. 23(5), pages 927-35, 1991,5
[3] Michael Adler, Bernard Dumas. Exposure to Currency Risk: Definition and Measurement Finance Management. Financial Management ,1984,13(2):41-50.
[4] Mann Catherine. Price, Profit Margins and Exchage Rate. Federal Reserve Bulletin,1986,72(6):366-379
[5] Yakov Amihud,Richard M. Levich. Exchange Rates and Corporate Performance. Published by Beard Books, 2003,15-48.
[6] Gunter Dufey, Lan Giddy. International Financial Planning:The Use of Market-Based Forecasts. California Management Review,1978,21(3):69-81.
[7] Loudon G.F. (1993), Foreign exchange exposure and the pricing of currency risk in equity returns: some Australian evidence. Pacific-Basin Finance Journal, Vol. 1 pp.335-354.
[8] Bartov,E.,Bodnar,G. Firm valuation ,earnings expectations and the exchange rate effect.1994,Journal Finance 49,1755-1785.
[9] Jorion P.The exchange Rate Exposure of US Multinational[J].Journal of Business,1990,63:331-345.
[10] Pantzalis C Simkins B J Laux P A Operational Hedges and the Foreign Exchange Exposure of U.S.Multinational Corporations .Journal of International Business 2004(4) ,25-40.
[11] Allayannis G.Ihrig J.Weston J P Exchange-Rate Hedging:Financial versus Operational Strategies. The American Economic Review. 2001(2) ,69-90.
[12] Joseph, N.L. (2002), Modelling the impacts of interest rate and exchange rate changes on UK stock returns, Derivatives Use, Trading and Regulation, Vol. 7 pp.306-323.
[13] Shapiro,A.C. Exchange rate changes inflation and the value of the multinational corporation. Journal of finance.1975,30,pp.485-502
[14] Marric D Levi. Exchange Rate and Valuation Firms. Exchange Rates, theMacroeconomic Environment, and the Firm,1992,21-52.
[15] Stulz, Rohan Williamson. Exchange rate exposure and competition: evidence from the automotive industry. Journal of Financial Economics.Volume 59, Issue 3, March 2001, Pages 441-475.
[16] Srinivasulu, S.L. (1981), "Strategic response to foreign exchange risks", Columbia Journal of World Business, Spring, pp.13-23.
[17]陈舜.对外直接投资的不确定性理论.成都:西南财经大学出版社,1995,48-86.
[18]陈占强.汇率与公司利润.系统工程理论与实践, 1998(10),23-25.
[19]武圣涛,叶德良.汇率变动对企业价值的影响例析.财会研究,2003(1),33-36.
[20]乔忠,王金玉.汇率对跨国经营企业价值影响的实证分析.中国农业大学学报,2001(6),13-17.
[21]陈平,熊欣.进出口汇率波动影响中国出口的实证分析.国际金融研究,2002(6) ,7-11.
[22]藏茜,马晔华.回归法在中国企业外汇风险度量中的应用初探.技术经济与管理研究, 2003(6),32-36.
[23]徐倩,姚雪丹.企业外汇风险及其识别与计量.特区经济.2005(4),36-41.
[24]都红雯,胡贇,庄巧英.汇率波动对我国跨国经营企业业绩的实证分析.杭州电子科技大学学报.2006(9),65-72.
[25]吕江林,李明生,石劲.人民币升值对中国股市影响的实证研究.金融研究,2007(6),23-30.
[26] Richard Pike, Bill Neale. Corporate Finance and Investment——Decisions and Strategies.4th Edition.2004,6-20,198-213.
[27] Campbell R. Harvey,Karl V. Lins and Andrew H. Roper. The Effect of Capital Structure When Expected Agency Costs Are Extreme. NBER Working Paper Series. 2001.Working paper 8445-8452.
[28]王化成.公司财务管理.北京:中信出版社,2008,47-125.
[29] Cheol S Eun, Bruce G Resnick. International Financial Management(4th Edition),2007,245-317.
[30]孙国茂.公司价值与股票定价研究.上海:上海三联书店,2003,93-104.
[31]王爱俭.国际金融概论.北京:中国金融出版社,2002,83-127.
[32]艾伦C夏皮罗.跨国公司财务管理.北京:中国人民大学出版社(第七版),2004,329-350,483-496.
[33]爱默德A穆萨.国际金融.北京:中国人民大学出版社(第二版),2004,324-384.
[34]陈学胜,周爱民.新汇率制度下中国上市公司外汇风险暴露研究.经济管理,2008(8),31-35.
[35]陈伟,王伟.我国跨国公司汇率风险的计量与实证分析.河南金融管理干部学院学报.2006(3),70-74.
[36]艾尔弗雷德·拉帕波特.创造股东价值,云南出版社,2002,59-127.
[37]荆新,王化成,刘俊彦.财务管理学.北京:中国人民大学出版社,1997,61-97.
[38]厉以宁.中国对外经济与国际收支研究[M].北京:国际文化出版公司,1991,65-108.
[39]陈彪如.人民币汇率研究[M].上海:华东师大出版社.1992,47-64.
[40]王伟,唐国兴.我国对外贸易的双市场非均衡模型.复旦学报(社会科学版)(3),1995,47-50.
[41]戴祖祥.我国贸易收支的弹性分析:1981-1995[J].经济研究.1997,55-60.
[42]朱真丽,宁妮.中国贸易收支弹性分析[J].世界经济.2002,47-53.
[43]徐小松.我国出口商品的需求弹性与人民币汇率的走向.经济问题探索.1993.7,32-34.
[44]杨晶.人民币汇率变动与出口.上海证券报.2009-02-18
[45]詹姆斯T格丽森.财务风险管理[ M ] .北京:中华工商联合出版社,2001,105-173.
[46]赵冰.汇率变化搅动公司价值.金融时报,2006-10-25
[47]扬博.中国股票市场有效性特征的实证分析.经济论坛.2005(9),26-30.
[48]李盈乐,王洪章.汇率风险对公司内在价值的影响.金融财经.2009.(02),162-163.
[49]戴岚.中国跨国公司崛起世界瞩目.人民日报.2006-10-17
[50]李朝贤.人民币升值预期对我国证券市场不同行业及其投资策略的预期影响[J].内蒙古财经学院学报,2004(3) ,39-41.