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

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。

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

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 better” investment strategy.This paper makes the following contributions to the literature. First, we use text analysis methods to build a unique database on the use of foreign exchange derivatives by companies, and examine how foreign exchange derivatives affect corporate M&As. Second, research on the impact of hedging on companies' investment behavior is mostly based on the cost of corporate debt, and we complement these works by analyzing the impact from a cash holding perspective. Thus, our paper provides a new perspective from which to explain how foreign exchange derivatives affect corporate M&As. Third, as Chinese firms use different payment and financing methods from foreign companies when conducting M&As, the research presented in this paper is adapted to local conditions. Finally, the findings of this paper contrast with the negative impressions that some enterprises have of derivatives and should improve their awareness of exchange rate risk management.The findings of this paper have a number of policy implications. First, we should accelerate the development of the foreign exchange derivatives market because our findings show that listed companies use foreign exchange derivatives for exchange rate risk hedging rather than speculative purposes. Second, listed companies should optimize their governance mechanisms to avoid conducting inefficient M&As. In particular, our findings show that companies need to prevent large shareholders or management from using excessive cash reserves out of self-interest, which can damage a company's value.Future studies should collect more accurate data on the use of foreign exchange derivatives by listed companies, such as the intensity of their foreign exchange derivative use. In this paper, we only use the binary dummy variable as the core explanatory variable due to limited data availability. In particular, the data do not reflect the different effects of the use intensity of foreign exchange derivatives on corporate M&As. Second, scholars should use the appropriate instrumental variables for Chinese listed companies to further resolve the endogeneity problems in the empirical model. Finally, M&As are just one way for enterprises to expand, as they can also directly invest in building facilities. Therefore, it is worth exploring how the use of foreign exchange derivatives affects firms' other investment behaviors.