外汇风险对冲和公司价值:基于中国跨国公司的实证研究

2005年7月人民币汇改以来,人民币升值,特别是相对于美元大幅升值,其不利影响开始显现,我国不少跨国公司使用外汇衍生品来对冲人民币汇率升值带来的风险。然而,尽管不少国外学者对金融衍生品使用和公司价值的关系进行了深入研究,但以中国公司为样本的研究仍很少见。中信泰富等衍生品投机事件和2008年金融危机的发生使得我国学者对金融衍生工具的作用和性质争议不断,使用外汇衍生品对冲外汇风险是否增加公司价值仍是一个有待深入研究的问题。本文基于2007年至2009年968家中国跨国公司的数据,实证检验了外汇衍生品使用和公司价值的关系,发现外汇衍生品使用带来了约10%的价值溢价,这一重要发现和基于发达国家的不少研究相一致。该研究成果支持了外汇衍生品在汇率风险管理中的积极作用和加快发展我国外汇衍生品市场特别是交易所市场以掌握人民币汇率定价权的重要性和紧迫性。

Foreign Exchange Risk Hedging and Firm Value:Evidence from the MNCs in China

Since the reform of Chinese currency regime started in July 2005,the exchange rate of RMB(relative to USD) has increased significantly.Many Chinese MNCs use foreign currency derivatives to hedge exchange rate risk.However,while the relationship between hedging and firm value has been extensively examined in the western countries,there is few research done on the Chinese multinational corporations.Based on a sample of 968 Chinese MNCs between 2007 and 2009,I find a positive relationship between currency derivatives usage and firm value,proxied by Tobin 's Q.The hedging premium is statistically and economically significant and is on average 10% of firm value.This finding has important policy implications in terms of risk hedging policy and strategy and the development of exchange traded currency derivatives market in China.