公司对冲对债务成本影响的实证研究——基于中国上市公司数据的分析

An Empirical Study of the Effect of Corporate Hedging on the Cost of Debt——Based on Data From China's Listed Companies

衍生品是公司风险对冲的重要工具,通过锁定未来不确定性,平稳公司现金流,减小企业面临的各种风险。但是,操作的复杂性和杠杆性使得衍生工具本身又具有一定风险,经常给企业带来巨大损失。在债务规模不断扩大、经济环境更加复杂的今天,很多企业将衍生品作为债务风险管理工具,通过运用利率、汇率等衍生工具锁定自己的债务融资成本。从这个角度出发,考察公司对冲行为对债务成本影响具有重要理论与实践意义。从对冲行为减小财务困境可能性、减轻代理冲突、降低信息不对称水平三个角度实证检验对冲行为是否影响债务成本以及如何影响债务成本。由于我国使用衍生品的上市公司比例偏低,为了确保结果有效性,选取沪深两市衍生品运用比例较高的有色金属冶炼和压延加工业与电气机械和器材制造业两个行业季度面板数据为样本进行分析。研究发现,公司对冲行为通过减小上市公司财务困境可能性、降低信息不对称水平等方式降低了债务成本,同时公司面临问题越严重享受的对冲收益就越大,从而支持了本文三个假设。

Derivatives is one of the most important tools for companies to hedge risks. By locking the uncertainty of the future and smoothing company＇s cash flow, the various risks faced by enterprises can be reduced. However, the complexity of the operation and le- verage make derivatives itself risky, which often brings enterprises huge losses. With more complicated economic environment and in- creased debt, many companies use derivatives as debt management tools to lock their debt costs by using interest-rate and currency de- rivatives. From this perspective, the research of the effect of corporate hedging on the cost of debt is of significance in both theory and practice. We empirical analyzed whether and how hedge behavior affect the cost of debt from three aspects ： possibility of hedging be- haviors reducing financial distress, lowing agency conflicts and lightening the information asymmetry. Due to low proportion of listed companies using derivatives in our country, this article selects quarter panel data in C32and C38 industry as samples. Studies state that companies＂ hedging behavior reduces the cost of debt by reducing financial distress possibility and information asymmetry. And the more serious the problem existing in these companies, the more hedge returns they will enjoy, which supports the three hypotheses of this article.