基于面板数据CFaR模型的现金流风险研究--以中国上市公司为例的考虑风险因子分布特征的实证分析  

Research of Cash Flow Risk Based on a Panel Data CFaR Model——An Empirical Study of Chinese Listed Firms with the Consideration of Risk Factor's Distribution

作　　者：谢赤[1,2] 赵亦军[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]湖南大学金融与投资管理研究中心,湖南长沙410082

出　　处：《湘潭大学学报（哲学社会科学版）》2013年第3期10-16,共7页Journal of Xiangtan University:Philosophy And Social Sciences

基　　金：国家自然科学基金创新研究群体科学基金(项目编号:71221001);国家软科学研究计划(项目编号:2010GXS5B141);教育部长江学者和创新团队发展计划(项目编号:IRT0916);教育部人文社会科学规划青年基金(项目编号:09YJC630063);湖南省自然科学基金创新群体资助计划(项目编号:09JJ7002)

摘　　要：为度量中国上市公司经营活动面临的现金流风险,放弃风险因子服从正态分布的假设,从内外两方面识别和拟合现金流风险因子,构建一个面板数据现金流风险(CFaR)模型。基于该模型的实证结果表明,上市公司的经营活动现金流不仅受到内部财务因素的影响,同时还受到宏观经济等外部因素的影响,且大部分的现金流影响因子不服从正态分布。上市公司面临的现金流风险总体而言较大,行业之间存在明显差距,其中风险值最大的是建筑业,最小的是交通运输及仓储业;风险程度最大的是房地产业,最小的是采掘业。此外,上市公司现金流风险表现出较为明显的行业聚类特征,处于同一类别的行业的现金流状况具有一定的相关性特征。To measure the operating cash - flow - at - risk （CFaR） of Chinese non - financial listed firms, this paper abandons the hypothesis that risk factors obey normal distribution, and constructs a panel data CFaR model after identifying and fitting risk factors from internal and external environment. The results show that operating cash flow of listed firms is affected not only by the financial fac- tors, but also by the macroeconomic environment, and most of the cash flow risk factors do not follow normal distribution. Overall, cash flow risks that listed companies face are relatively large and different among industries, from the perspective of the value at risk, construction industry is the maximum, and transportation and warehousing industry is the minimum; from the perspective of the degree of risk, real estate industry is the maximum, and mining industry is the minimum. In addition, the cash flow risk of listed companies shows obvious industry clustering characteristics, and the cash flow situation of the same industry category has certain correlation char- acteristics.

关 键 词：现金流 CFAR MONTE CARLO模拟 风险因子分布特征 

分 类 号：F830.9[经济管理—金融学]