基于套期保值下钢企风险股权投资的博弈研究

Research on Game Model of Risk of Equity Investment based on Steel Enterprises Hedging

由于铁矿原料大部分来自进口,其价格的上涨及价格波动严重影响我国钢企的盈利和生产。文章以金融和产业相结合的视角,利用博弈论和金融工具,选择矿企的投资换股的比例作为信号,建立了钢企对矿企股权投资的信号博弈模型,分析和比较了一般企业的无套期保值和钢企的有套期保值下风险股权投资的比例和投资效率,并通过定量计算得出:一定的对冲数量下,钢企采用套期保值时的风险股权投资策略优于无套期保值时的投资策略,并可以增大钢企在原料投资项目上的投资效率和竞争机会。该结论为我国钢企获得稳定的生产原料以及在海外的铁矿项目的风险投资决策提供一定的理论参考。

Due to the great mass of iron ores were imported, both the prices rising and price fluctuation of iron are seriously impact profits and production of China＇s steel enterprises. Based on the combination of financial and industrial perspective, this paper makes use of game theory and financial tools, chooses the proportion of mining companies investment as a signal, establishes investment signaling game model while the steel enterprises invest in equity of mining companies and analyzes the proportion and of equity investment and compares the investment efficiency between hedging risks of steel enterprises and general firm without hedging risks. According of quantitative calculation, it draws a conclusion which the proportion of hedging of equity investment risks can be superior to the proportion of without hedging ratio when steel enterprises invested in a strategy of certain number of hedging, which can increase investment efficiency and improve upon competition opportunities on the raw investment projects. The conclusion can provide theoretical reference which Chinese steel enterprises obtain stable production of raw materials and make decisions in the risk of iron ore project investment in overseas.