中国科学技术大学学报
中國科學技術大學學報
중국과학기술대학학보
JOURNAL OF UNIVERSITY OF SCIENCE AND TECHNOLOGY OF CHINA
2015年
3期
231-237,245
,共8页
外汇风险暴露%影响因素%制造业子行业%逐步回归
外彙風險暴露%影響因素%製造業子行業%逐步迴歸
외회풍험폭로%영향인소%제조업자행업%축보회귀
foreign exchange risk exposure%influencing factors%subsectors of manufacturing industry%stepwise regression
以制造业10个子行业324家上海证劵交易所A股上市公司为样本，先用传统的两因素模型估算外汇风险暴露系数，再构建横截面回归模型以确定影响因素，最后研究子行业外汇风险暴露水平与影响因素的关系．研究发现，在10％显著水平下，有11.7％的公司存在外汇风险暴露；外汇风险暴露与外销比例、速动比例和现金流量净额正相关，与总市值、净利率负相关．对于受人民币升值负面影响的公司，其外汇风险暴露系数与总资产周转率、基本每股收益同比增长率正相关，与研发费用负相关；对于受人民币升值正面影响的公司，其外汇风险暴露系数与资产负债率和基本每股收益同比增长率负相关．
以製造業10箇子行業324傢上海證劵交易所A股上市公司為樣本，先用傳統的兩因素模型估算外彙風險暴露繫數，再構建橫截麵迴歸模型以確定影響因素，最後研究子行業外彙風險暴露水平與影響因素的關繫．研究髮現，在10％顯著水平下，有11.7％的公司存在外彙風險暴露；外彙風險暴露與外銷比例、速動比例和現金流量淨額正相關，與總市值、淨利率負相關．對于受人民幣升值負麵影響的公司，其外彙風險暴露繫數與總資產週轉率、基本每股收益同比增長率正相關，與研髮費用負相關；對于受人民幣升值正麵影響的公司，其外彙風險暴露繫數與資產負債率和基本每股收益同比增長率負相關．
이제조업10개자행업324가상해증권교역소A고상시공사위양본，선용전통적량인소모형고산외회풍험폭로계수，재구건횡절면회귀모형이학정영향인소，최후연구자행업외회풍험폭로수평여영향인소적관계．연구발현，재10％현저수평하，유11.7％적공사존재외회풍험폭로；외회풍험폭로여외소비례、속동비례화현금류량정액정상관，여총시치、정리솔부상관．대우수인민폐승치부면영향적공사，기외회풍험폭로계수여총자산주전솔、기본매고수익동비증장솔정상관，여연발비용부상관；대우수인민폐승치정면영향적공사，기외회풍험폭로계수여자산부채솔화기본매고수익동비증장솔부상관．
324 A‐share listed companies from 10 subsectors of the manufacturing industry were taken as samples . First each company's foreign exchange risk exposure coefficient was calculated with the traditional two‐factor model . Then the influencing factors were obtained through cross‐sectional regression ,and finally the relationship between foreign exchange risk exposure of subsectors of the manufacturing industry and the influencing factors was analyzed . It was found that 11.7% of the companies have significant foreign exchange risk exposure under the significance level of 10% ,and that foreign exchange risk exposure has a positive correlation with export ratio ,quick ratio ,net cash flow of operating activities ,and a negative correlation with total market value ,net profit margin .The further finding is that for companies negatively affected by the appreciation of RMB , foreign exchange risk exposure has a positive correlation with total asset turnover ratio ,the growth rate of basic per share earnings ,and a negative correlation with research and development costs ,and that for companies positively affected by the appreciation of RMB ,foreign exchange risk exposure has a negative correlation with the rate of assets and liabilities ,the grow th rate of basic per share earnings .
