汇率风险暴露会影响股权再融资折价吗  

DOESEXCHANGE RATE RISK EXPOSURE AFFECT EQUITY REFINANCING DISCOUNTS

作　　者：刘尔卓 梁柏林 王偲竹 LIU Erzhuo;LIANG Bailin;WANG Sizhu(School of Public and Taxation,Capital University of Economics and Business;School of Finance,China Financial Policy Research Center,Renmin University of China)

机构地区：[1]首都经济贸易大学财政税务学院,100070 [2]中国人民大学财政金融学院 [3]贵州省高等学校数字金融与人工智能实验室

出　　处：《经济理论与经济管理》2023年第12期63-77,共15页Economic Theory and Business Management

基　　金：国家社科基金重大项目“推动建立国际宏观经济政策协调机制研究”(20ZDA053);首都经济贸易大学新入职青年教师科研启动基金项目(XRZ2023004)的资助。

摘　　要：本文基于我国A股上市公司2006一2019年的财务数据和股权再融资数据,检验了公司汇率风险暴露与股权再融资折价的关系。研究结果表明:(1)公司的汇率风险暴露将使公司承担更高的股权再融资折价,而且公司的信息不对称程度越高,其在相同的汇率风险暴露下承担的股权再融资折价也越高;(2)公司的汇率风险暴露会带来更大的股权再融资规模,这是公司通过“择时”发行来实现的。进一步的研究表明,公司的汇率风险暴露还将引发更加显著的负向累积平均超额收益率、更昂贵的发行费用和更高的预案失败概率;“融资融券”交易可以抑制汇率风险暴露带来的股权再融资折价;严重的大股东代理问题会增加汇率风险暴露带来的股权再融资折价。This paper examines the relationship between corporate exchange rate risk exposure and equity refinancing discounts in A-share listed companies from 2006 to 2019.Key findings include:(1)There is a positive correlation between increased exchange rate risk exposure and higher equity refinancing discounts.Elevated information asymmetry exacerbates this relationship.(2)Corporate exchange rate risk exposure is associated with a larger scale of strategically timed equity refinancing.Further analysis reveals a connection between a company's exchange rate risk exposure and more significant negative cumulative abnormal returns,elevated issuance costs,and an increased likelihood of plan failure.Margin trading and short selling transactions mitigate equity refinancing discounts from exchange rate risk,while severe principal-agent problems with major shareholders amplify such discounts.

关 键 词：汇率风险暴露 股权再融资折价 信息不对称 发行规模 择时 

分 类 号：F832.51[经济管理—金融学] F832.6