基于VaR的企业流动性风险评价的研究
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摘要
随着竞争的加剧和经济全球化的深化,资本市场的日益发达和金融衍生工具的不断出现并广泛应用,企业面临的外部环境更加复杂多变。流动性是维持企业正常生产经营的基础,企业在发展壮大的过程中,随着经营规模的不断扩大,融资需求的日益增强,内部环境的复杂多变,相应的风险因素越来越多,流动性风险成为管理层日益关注的焦点。如何对企业的流动性风险进行科学合理的评价,为企业管理当局和投资者提供一个发现和解决问题的有效手段,成为了重要而迫切的研究课题。
本文从企业流动性涵义的探讨入手,在总结前人研究的基础上,结合企业的生产经营状况,将企业流动性风险按照风险来源划分为内生流动性风险和外生流动性风险,并提出了各自对应的管理方法。针对以往单纯财务指标的滞后性和片面性,提出利用VaR衡量企业外生流动性风险,将VaR技术引入到企业流动性指标体系中,将静态的财务指标和动态的外部市场风险结合在一起,建立一个全面综合的企业流动性风险评价体系。在此基础上,利用沪、深房地产公司数据,通过因子分析法对基于VaR的新模型和传统财务模型进行了实证分析。通过分析对比实证结果、利用VaR、两种评价模型与代表企业流动性的指标进行相关性检验等两种方法,都验证了基于VaR模型的有效性。通过研究发现,新模型能克服传统的单纯财务评价方法的不足,使评价结果更加客观、更全面,也能让使管理当局和投资者更能清楚地认识企业流动性风险所在,更好的促进企业健康发展。
With the intensity of competition, spread of Economic Globalization, development of Capital Market and the emergence and extensive use of derived tools of finance, the external environment of the enterprise faced become more complicated. Liquidity is the basic maintain of the enterprise operating and producing regularly. With the expansion of operating scale constantly, the need of financing enhanced and complexity of internal environment, the relevant risk factor is more and more and liquidity risk becomes the focus of the management level increasingly in the course of the growth of enterprise. It becomes a significant and urgent problem for the managers of enterprise and investors to evaluate the liquidity of enterprise reasonably, and supply the effective way of finding and solving problem.
This article begins with the exploration of the connotation of enterprise liquidity. On the basic of achievement of other people had summed up, combined with the operating and producing of enterprise itself, we divide enterprise liquidity risk into endogenous liquidity risk and exogenous liquidity risk, and put forward corresponding management method and using VaR to weigh the exogenous liquidity risk. For the hysteresis quality and one-sidedness of single financial index formerly, this paper has introduced the technique of VaR into the system of enterprise liquidity index and combined static financial index with dynamic external market risk to establish a comprehensive appraisal system of enterprise liquidity risk. On this basic, according the data of listed company in Shanghai and Shenzhen, we made empirical analysis on the evaluation model and then made model checking on it by the method of factor analysis. By analyzing empirical results, using VaR, two evaluation models and representatives of the target enterprise mobility test the correlation which verify the validity of the model based on VaR.The research shows that the new model can overcome the shortage of the method of traditional single financial evaluation and make the evaluate results more objective and comprehensive, at the same time ,also make the enterprise managers and investors understand the risk of enterprise liquidity so clearly that they can promote enterprises developing healthily.
本文从企业流动性涵义的探讨入手,在总结前人研究的基础上,结合企业的生产经营状况,将企业流动性风险按照风险来源划分为内生流动性风险和外生流动性风险,并提出了各自对应的管理方法。针对以往单纯财务指标的滞后性和片面性,提出利用VaR衡量企业外生流动性风险,将VaR技术引入到企业流动性指标体系中,将静态的财务指标和动态的外部市场风险结合在一起,建立一个全面综合的企业流动性风险评价体系。在此基础上,利用沪、深房地产公司数据,通过因子分析法对基于VaR的新模型和传统财务模型进行了实证分析。通过分析对比实证结果、利用VaR、两种评价模型与代表企业流动性的指标进行相关性检验等两种方法,都验证了基于VaR模型的有效性。通过研究发现,新模型能克服传统的单纯财务评价方法的不足,使评价结果更加客观、更全面,也能让使管理当局和投资者更能清楚地认识企业流动性风险所在,更好的促进企业健康发展。
With the intensity of competition, spread of Economic Globalization, development of Capital Market and the emergence and extensive use of derived tools of finance, the external environment of the enterprise faced become more complicated. Liquidity is the basic maintain of the enterprise operating and producing regularly. With the expansion of operating scale constantly, the need of financing enhanced and complexity of internal environment, the relevant risk factor is more and more and liquidity risk becomes the focus of the management level increasingly in the course of the growth of enterprise. It becomes a significant and urgent problem for the managers of enterprise and investors to evaluate the liquidity of enterprise reasonably, and supply the effective way of finding and solving problem.
This article begins with the exploration of the connotation of enterprise liquidity. On the basic of achievement of other people had summed up, combined with the operating and producing of enterprise itself, we divide enterprise liquidity risk into endogenous liquidity risk and exogenous liquidity risk, and put forward corresponding management method and using VaR to weigh the exogenous liquidity risk. For the hysteresis quality and one-sidedness of single financial index formerly, this paper has introduced the technique of VaR into the system of enterprise liquidity index and combined static financial index with dynamic external market risk to establish a comprehensive appraisal system of enterprise liquidity risk. On this basic, according the data of listed company in Shanghai and Shenzhen, we made empirical analysis on the evaluation model and then made model checking on it by the method of factor analysis. By analyzing empirical results, using VaR, two evaluation models and representatives of the target enterprise mobility test the correlation which verify the validity of the model based on VaR.The research shows that the new model can overcome the shortage of the method of traditional single financial evaluation and make the evaluate results more objective and comprehensive, at the same time ,also make the enterprise managers and investors understand the risk of enterprise liquidity so clearly that they can promote enterprises developing healthily.
引文
[1] Gordon J.Alexander & alexandre M.Baptista, Porfolio Performance Evaluation Using Value at Risk , The Journal of Portfolio Management,summer2003,31-37
[2] Holmstrom,Tirole. Liquidity and risk management .Journal of Money,Credit and Banking,2000,32:295- 319.
[3] Yung- Jang Wang,Liquidity management,operating performance,and corporate value:evidence from Japan and Taiwan. Journal of Multinational,2002.
[4] Chow CKW,MKY Fung,Ownership structure, lending bias, and liquidity const raints:Evidence f rom Shanghai' s manufacturing sector[J]. Journal of Comparative Economics,1998,26:301- 3161.
[5] Hoshi,Takeo,Anil Kashyap,David Scarf stein1Corporate structure,liquidity and investmentEvidence from Japanese industrial groups[J].Quarterly Journal of Economics,1991,106:33- 601.
[6] Le Saout,Erwan, In corpora ting Liquidity Risk in VaR Models ,2001,working paper, University de Rennes.19-32.
[7] Penzap and Bansal VK. Measuring market risk with value at risk. NewYork: John&Sons,Ine,2001
[8] Dubil,R.,2002, Optimal Liquidation of Large Security Holdings in Thin Markets, Journal of Entrepreneurial Finance & Business Ventures 7(No.2,Fall).33-38.
[9] lark,P., , A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, Econometrical, 1993 (No.1,January).63-68.
[10] Le Saout,Erwan, Incorporating Liquidity Risk in VaR Models ,2001,working paper, University de Rennes.19-3227
[11] BeaverW.H,Marker Priee. Financial Ratios, and Prediction of Failure[J] journal of Accounting Research,1968 [ 12 ] Angelidis T, BenosA. Liquidity adjusted value at risk based on the components of the bid-ask sp read [ J ]. App lied Financial Economics, 2006, 16 (4) : 835 851. [ 13 ] Chang S.K, David CM, Ann E. Sherman. The determinants of corporate liquidity: Theory and evidence Journal of Financial and Quantitative Analysis, 1998, 33(2) [ 14 ] Kusnadi. Corporate Cash Holdings and Corporate GovernanceMechanisms SSRN Working Papers, 2003
[15]宋逢明,谭慧.VaR模型中流动性风险的度量[J],数量经济技术经济研究,2004,(6):34-35.
[16]王春峰.金融市场风险管理-VaR方法[M].天津大学出版社,2000.
[17]郭丽虹,金德环,企业投资与企业的流动性---基于中国制造业的面板数据分析[J],财经研究,2007,(3):44-47.
[18]刘汝军.论企业风险价值管理问题探讨[J],对外经贸会计,1998,(1):26-29.
[19]陈霞,干胜道.上市公司流动性选择的影响因素分析[J].财会月刊, 2007, (11):23-27
[20]朱品品.引入VaR的上市公司经营业绩的综合评价体系的实证研究[M].西北大学,2007.
[21]徐翠萍.基于VaR的上市公司综合评价体系研究[M].浙江大学,2002.
[22]刘晓棠.基于VaR的上市公司财务风险多辆体系构建及实证研究[M].沈阳工业大学,2007.
[23]邱英,干胜道.财务评价体系的评述与改进[J].社会科学家,2006(10):130-131
[24]陈霞,段金锁.公司流动性影响因素研究综述[J],河南商业高等专科学校学报,2008(3):60-64
[25]车嘉丽企业财务危机管理中的流动性满足[J] ,统计与决策, 2009(12):188-190.
[26]罗文凯.房地产公司流动性对公司业绩的影响[M].重庆大学,2008
[27]谷秀娟.金融风险监管[M].上海:立信出版社,2006
[28]张俊瑞.资产变现论[M].大连:东北财经大学出版社,1999
[29]王斌利润与现金-从差异到控制[]杭州浙江人民出版社,2001.
[30] [美]埃里克·班克斯流动性风险[M].北京。经济科学出版社,2005.
[31]刘海龙,张丽芳.内生流动性风险及其控制策略研究评述[J].系统管理学报,2008(2):10-14
[32]张金清,李徐.流动性风险与市场风险的集成度量方法研究[J]系统工程学报,2009(4):164-172
[33] [美]米歇尔·科罗赫丹·加莱风险管理[M].北京:中国财政经济出版社,2005.
[34]田新时.金融风险管理的理论与实践[M]北京:科学出版社2006.
[35] [美]埃里克·班克斯.流动性风险[M].北京:经济科学出版社,2005.
[36]朱延涛.转型期中国企业流动性风险形成因素及对策研究[M].苏州大学,2008 .
[37]代红果.几种典型VaR度量方法的比较研究.山东大学,2006.
[2] Holmstrom,Tirole. Liquidity and risk management .Journal of Money,Credit and Banking,2000,32:295- 319.
[3] Yung- Jang Wang,Liquidity management,operating performance,and corporate value:evidence from Japan and Taiwan. Journal of Multinational,2002.
[4] Chow CKW,MKY Fung,Ownership structure, lending bias, and liquidity const raints:Evidence f rom Shanghai' s manufacturing sector[J]. Journal of Comparative Economics,1998,26:301- 3161.
[5] Hoshi,Takeo,Anil Kashyap,David Scarf stein1Corporate structure,liquidity and investmentEvidence from Japanese industrial groups[J].Quarterly Journal of Economics,1991,106:33- 601.
[6] Le Saout,Erwan, In corpora ting Liquidity Risk in VaR Models ,2001,working paper, University de Rennes.19-32.
[7] Penzap and Bansal VK. Measuring market risk with value at risk. NewYork: John&Sons,Ine,2001
[8] Dubil,R.,2002, Optimal Liquidation of Large Security Holdings in Thin Markets, Journal of Entrepreneurial Finance & Business Ventures 7(No.2,Fall).33-38.
[9] lark,P., , A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices, Econometrical, 1993 (No.1,January).63-68.
[10] Le Saout,Erwan, Incorporating Liquidity Risk in VaR Models ,2001,working paper, University de Rennes.19-3227
[11] BeaverW.H,Marker Priee. Financial Ratios, and Prediction of Failure[J] journal of Accounting Research,1968 [ 12 ] Angelidis T, BenosA. Liquidity adjusted value at risk based on the components of the bid-ask sp read [ J ]. App lied Financial Economics, 2006, 16 (4) : 835 851. [ 13 ] Chang S.K, David CM, Ann E. Sherman. The determinants of corporate liquidity: Theory and evidence Journal of Financial and Quantitative Analysis, 1998, 33(2) [ 14 ] Kusnadi. Corporate Cash Holdings and Corporate GovernanceMechanisms SSRN Working Papers, 2003
[15]宋逢明,谭慧.VaR模型中流动性风险的度量[J],数量经济技术经济研究,2004,(6):34-35.
[16]王春峰.金融市场风险管理-VaR方法[M].天津大学出版社,2000.
[17]郭丽虹,金德环,企业投资与企业的流动性---基于中国制造业的面板数据分析[J],财经研究,2007,(3):44-47.
[18]刘汝军.论企业风险价值管理问题探讨[J],对外经贸会计,1998,(1):26-29.
[19]陈霞,干胜道.上市公司流动性选择的影响因素分析[J].财会月刊, 2007, (11):23-27
[20]朱品品.引入VaR的上市公司经营业绩的综合评价体系的实证研究[M].西北大学,2007.
[21]徐翠萍.基于VaR的上市公司综合评价体系研究[M].浙江大学,2002.
[22]刘晓棠.基于VaR的上市公司财务风险多辆体系构建及实证研究[M].沈阳工业大学,2007.
[23]邱英,干胜道.财务评价体系的评述与改进[J].社会科学家,2006(10):130-131
[24]陈霞,段金锁.公司流动性影响因素研究综述[J],河南商业高等专科学校学报,2008(3):60-64
[25]车嘉丽企业财务危机管理中的流动性满足[J] ,统计与决策, 2009(12):188-190.
[26]罗文凯.房地产公司流动性对公司业绩的影响[M].重庆大学,2008
[27]谷秀娟.金融风险监管[M].上海:立信出版社,2006
[28]张俊瑞.资产变现论[M].大连:东北财经大学出版社,1999
[29]王斌利润与现金-从差异到控制[]杭州浙江人民出版社,2001.
[30] [美]埃里克·班克斯流动性风险[M].北京。经济科学出版社,2005.
[31]刘海龙,张丽芳.内生流动性风险及其控制策略研究评述[J].系统管理学报,2008(2):10-14
[32]张金清,李徐.流动性风险与市场风险的集成度量方法研究[J]系统工程学报,2009(4):164-172
[33] [美]米歇尔·科罗赫丹·加莱风险管理[M].北京:中国财政经济出版社,2005.
[34]田新时.金融风险管理的理论与实践[M]北京:科学出版社2006.
[35] [美]埃里克·班克斯.流动性风险[M].北京:经济科学出版社,2005.
[36]朱延涛.转型期中国企业流动性风险形成因素及对策研究[M].苏州大学,2008 .
[37]代红果.几种典型VaR度量方法的比较研究.山东大学,2006.