汇率不确定性与企业跨境并购  

The Effect of Exchange Rate Uncertainty on Cross-border Mergers and Acquisitions

作　　者：孟为 姜国华[1] 张永冀[2] MENG Wei;JIANG Guohua;ZHANG Yongji(Guanghua School of Management,Peking University;School of Management and Economics,Beijing Institute of Technology)

机构地区：[1]北京大学光华管理学院,北京100871 [2]北京理工大学管理与经济学院,北京100081

出　　处：《金融研究》2021年第5期78-96,共19页Journal of Financial Research

基　　金：国家自然科学基金青年项目(71902004);中国博士后科学基金项目(2019M660356);国家自然科学基金面上项目(71472007)的资助。

摘　　要：本文立足外部不确定性视角,提出汇率不确定性对企业重要涉外经济行为(跨境并购)影响的实物期权与风险对冲效应。本文以2000~2019年A股上市公司宣告的跨境并购为研究对象,分析发现人民币兑美元名义汇率不确定性显著降低了企业跨境并购的可能性,实物期权效应占主导;人民币名义有效汇率不确定性与企业跨境并购决策正相关,风险对冲效应占主导。横截面检验发现,人民币兑美元名义汇率不确定性对跨境并购的抑制作用在汇率交易风险和折算风险更高以及存在融资约束的企业中更为明显;有效汇率反映一国贸易条件,行业竞争激烈与汇率经济风险更高的企业,在人民币名义有效汇率不确定性加剧时更有可能进行跨境并购。最后,汇率不确定下的企业跨境并购取得了较好的财务绩效(汇率风险约束使企业并购行为更审慎高效),降低了有效汇率风险敞口。本文区分了双边汇率与有效汇率的差异,拓展了汇率波动的经济后果与跨境并购影响因素的研究范畴,为“双循环”下我国推进高质量对外开放与汇率市场化改革、有效引导国际资本流动以及企业在不确定环境下提升并购效率,提供了理论依据。In the context of an increasingly uncertain international situation and the market-oriented reform of the RMB exchange rate,exchange rate fluctuations among countries have become the norm.The potential financial risks and the operational risks for micro firms associated with these increasingly unpredictable exchange rate fluctuations will have a profound impact on the sustainable development of China’s economy.The international environment is becoming increasingly complex,characterized by growing uncertainty and instability.Firms engaged in cross-border mergers and acquisitions(M&As)face three additional uncertainties:(1)uncertainties caused by anti-globalization,trade disputes and protectionism,and geopolitical conflicts;(2)uncertainty in the relationship between the acquirers and the target's countries;and(3)uncertainties in the economic,political,security,legal,and other spheres of the target country.Unexpected exchange rate fluctuations are related to these three uncertainties.Based on the China's aim to achieve a high-quality opening up,we define Exchange Rate Uncertainty as the condition of being unable to accurately predict the direction,range,or distribution probability of future exchange rate fluctuations.In this condition,exchange rate fluctuations cannot be predicted based on historical trends and existing information.In general,Chinese firms join international markets through cross-border M&As.This study suggests two mechanisms through which fluctuations in exchange rates affect this process.(1)Real Option Effect.Exchange rate uncertainty constrains firms'cross-border M&A decisions by increasing transaction costs and earnings uncertainty and by aggregating external financing difficulties.(2)Risk Hedging Effect.Exchange rate uncertainty encourages firms to increase their market share and hedge exchange rate risks by engaging in cross-border M&As that enhance their market competition.Using a sample of cross-border M&As announced by A-share firms in the 2000 to 2019 period,we find that uncertainty in t

关 键 词：汇率不确定性 跨境并购 实物期权 风险对冲 

分 类 号：F832.6[经济管理—金融学]