金融衍生品投资与企业现金流波动风险研究  

Research on Financial Derivatives Investment and Corporate Cash Flow Volatility Risk

作　　者：刘井建[1] 徐一琪 李惠竹 LIU Jingjian;XU Yiqi;LI Huizhu(Dalian University of Technology,Dalian,Liaoning,China;Dongbei University of Finance and Economics,Dalian,Liaoning,China)

机构地区：[1]大连理工大学经济管理学院,辽宁省大连市116024 [2]东北财经大学金融学院

出　　处：《管理学报》2021年第1期127-136,共10页Chinese Journal of Management

基　　金：国家社会科学基金资助重大项目(18ZDA095);教育部人文社会科学研究基金资助青年项目(19YJC790082);大连理工大学基本科研业务费资助项目(DUT19RW119)。

摘　　要：为了揭示金融衍生品对企业现金流波动风险的影响机制与效应,以我国沪深A股2015~2018年制造业上市公司为研究对象,运用Heckman两阶段回归模型进行实证研究。研究发现:公司使用金融衍生品降低了现金流波动风险;当经营风险大、信息不对称程度高以及代理冲突严重时,其降低幅度更高,揭示出金融衍生品的主体需求和效应差异。进一步分析发现,外汇衍生品和商品衍生品发挥了降低现金流波动风险的作用,而利率衍生品的效应不显著;金融衍生品加剧了特质风险但对系统性风险无显著作用,并且对公司价值未产生显著影响。To reveal the mechanism and effect of financial derivatives on the risk of corporate cash flow fluctuations,this study collects“derivative”data in Shanghai and Shenzhen stock exchange from 2015 to 2018,and examines the relationship between financial derivative investment and cash flow fluctuation of Chinese listed manufacturing companies based on Heckman two-stage model.Empirical results show that financial derivatives reduce the risk of cash flow fluctuation,and this effect of financial derivative investment is moderated by the level of operating risk,information asymmetry,as well as agency cost.,which clarifies the demanders and influence mechanism of financial derivatives.Further analysis shows that foreign exchange derivatives and commodity derivatives can reduce the risk of cash flow volatility,but the effect of interest rate derivatives is not significant;financial derivatives increase the non-systematic risk but have no effect on systemic risk;financial derivatives fail to enhance the corporate value.

关 键 词：金融衍生品 现金流波动 套期保值 风险管理 

分 类 号：C93[经济管理—管理学]