衍生品使用与企业价值——来自我国制造业上市公司的经验证据

Derivatives Usage and Firm Value: Empirical Evidence from Chinese Manufacturing Listed Companies

以我国制造业上市公司2007-2011年共计4623组观测数据为样本,通过非平衡面板数据模型进行实证分析,发现使用衍生品对企业价值产生了正效应,但显著性水平存在不确定性。进一步的研究显示,在不同类型的衍生品合约中,企业价值效应存在着明显的异质性,外汇衍生品带来了显著的溢价效应,商品衍生品却是显著的折价效应,利率衍生品的影响则不显著。最后,依据实证结果和我国衍生品市场发展现状,提出了相关政策建议。

Based on the unbalanced panel data model with 4623 observations of listed manufacturing companies in China during 2007-2011 period, the paper finds that the derivatives usage creates positive premium for the firm value but the effect is not significant. In addition, it finds that there are significant differences in the firm value effect for different types of derivatives. The detail is that the effect of foreign exchange derivatives on the firm value is significantly positive, the effect of commodity derivatives is significantly negative and the effect of interest rate derivatives is not significant. Finally, based on the resuits and status of derivatives market in China, it provide policy suggestions.