汇率风险对冲如何影响企业并购行为——基于自由现金流的视角  

Exchange Rate Risk Hedging and M&As:A Free Cash Flow Perspective

作　　者：朱孟楠[1] 徐云娇 ZHU Mengnan;XU Yunjiao(School of Economics,Xiamen University)

机构地区：[1]厦门大学经济学院,福建厦门361000

出　　处：《金融研究》2022年第12期36-54,共19页Journal of Financial Research

基　　金：国家自然科学基金面上项目“重大突发公共卫生事件冲击下的全球金融风险溢出及其管理研究”(项目批准号:72073113)以及“中央高校基本科研业务费项目”(项目批准号:2072021055)的资助;教育部哲学社会科学重大课题攻关项目“我国外汇储备的科学管理及运用战略问题研究”(项目批准号:12JZD027)。

摘　　要：本文基于2001—2019年上市公司年报中关于外汇衍生品的使用信息,研究发现,使用外汇衍生品的上市公司相比未使用的公司发起并购的概率更低,但并购的市场和经营绩效有所提高。主要原因在于,中国上市公司进行并购通常以企业自有资金进行现金支付,外汇衍生品的使用大幅降低了公司出于预防性动机而持有的现金,从而降低了公司发起并购的概率。此外,进行汇率风险对冲可避免公司因持有大量自由现金流而发生的过度投资行为,从而提高了公司的投资效率。总体而言,使用外汇衍生品进行汇率风险对冲可使上市公司更注重并购质量而非并购数量,从而实现“少而精”的投资策略。本文研究对进一步厘清企业使用外汇衍生品的相关影响提供了一定参考。Financial derivatives provide an important means for enterprises to manage their exchange rate risk and are becoming increasingly popular among large enterprises.In recent years,the scale of China's foreign exchange derivatives market has shown a rapid upward trend and consistently maintained a growth rate of more than 20%.In the first half of 2021,the number of companies using foreign exchange derivatives such as forwards and options to manage their exchange rate risk increased by 94%year-on-year.In this context,it is worth exploring the impact of foreign exchange derivatives on the economic behavior of enterprises,as current developments are likely to be of great importance to the future development of China's foreign exchange derivatives market.Based on information on the use of foreign exchange derivatives provided in the annual reports of A-share listed firms in China from 2001 to 2019,this paper examines the impact of exchange rate risk management behavior on firms'merger and acquisition(M&A)activities.In the process,we explore whether foreign exchange derivatives promote or inhibit the initiation of M&As.We also seek to explain the mechanisms through which exchange derivatives might inhibit M&As.We find that although listed companies that use foreign exchange derivatives are less likely to initiate M&As than companies that do not use derivatives,the M&A market and the operating performance of companies using derivatives improve.As Chinese listed companies usually pay for M&As in cash using their own funds,the use of foreign exchange derivatives greatly reduces their corporate precautionary cash holdings,and thus reduces their likelihood of initiating M&As.Furthermore,hedging exchange rate risk can reduce company's excessive investment behavior,and thereby improves their investment efficiency.In general,the use of foreign exchange derivatives for exchange rate risk hedging can lead listed companies to pay more attention to the quality of M&As rather than the number of M&As,and thus implement a“less but be

关 键 词：外汇衍生品 汇率风险对冲 企业并购 现金持有 

分 类 号：F832.6[经济管理—金融学] F271F275F832.51