Please wait a minute...
金融研究  2022, Vol. 510 Issue (12): 36-54    
  本期目录 | 过刊浏览 | 高级检索 |
朱孟楠, 徐云娇
厦门大学经济学院, 福建厦门 361000
Exchange Rate Risk Hedging and M&As: A Free Cash Flow Perspective
ZHU Mengnan, XU Yunjiao
School of Economics, Xiamen University
下载:  PDF (549KB) 
输出:  BibTeX | EndNote (RIS)      
摘要 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。
E-mail Alert
关键词:  外汇衍生品  汇率风险对冲  企业并购  现金持有    
Summary:  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.
Keywords:  Foreign Exchange Derivatives    Exchange Rate Risk Hedging    Corporate Mergers and Acquisitions    Cash Holdings
JEL分类号:  F31   G15   G32  
基金资助: * 本文感谢国家自然科学基金面上项目“重大突发公共卫生事件冲击下的全球金融风险溢出及其管理研究”(项目批准号:72073113)以及“中央高校基本科研业务费项目”(项目批准号:2072021055)的资助。教育部哲学社会科学重大课题攻关项目“我国外汇储备的科学管理及运用战略问题研究”(项目批准号:12JZD027)。感谢匿名审稿人的宝贵意见,文责自负。
通讯作者:  徐云娇,博士研究生,厦门大学经济学院,   
作者简介:  朱孟楠,经济学博士,教授,厦门大学经济学院,
朱孟楠, 徐云娇. 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[J]. 金融研究, 2022, 510(12): 36-54.
ZHU Mengnan, XU Yunjiao. Exchange Rate Risk Hedging and M&As: A Free Cash Flow Perspective. Journal of Financial Research, 2022, 510(12): 36-54.
链接本文:  或
[1] 郭飞,2012,《外汇风险对冲和公司价值: 基于中国跨国公司的实证研究》,《经济研究》第9期,第18~31页。
[2] 郭飞、肖浩和史永,2014,《为什么人民币汇率波动的影响不显著?——基于美的电器的案例研究》,《管理世界》第10期,第163~171页。
[3] 郝项超和梁琪,2019,《外汇风险对冲能否促进中国上市公司创新》,《世界经济》第9期,第151~172页。
[4] 颉茂华、王娇、刘铁鑫和施诺,2021,《反腐倡廉、政治关联与企业并购重组行为》,《经济学(季刊)》第3期,第979~998页。
[5] 李常青、幸伟和李茂良,2018,《控股股东股权质押与现金持有水平:“掏空”还是“规避控制权转移风险”》,《财贸经济》第4期,第82~98页。
[6] 李广众、朱佳青、李杰和李新春,2020,《经理人相对绩效评价与企业并购行为: 理论与实证》,《经济研究》第3期,第65~82页。
[7] 李建军、甄峰和崔西强,2013,《人民币国际化发展现状、程度测度及展望评估》,《国际金融研究》第10期,第58~65页。
[8] 李善民、黄志宏和郭菁晶,2020,《资本市场定价对企业并购行为的影响研究——来自中国上市公司的证据》,《经济研究》第7期,第41~57页。
[9] 逯东、黄丹和杨丹,2019,《国有企业非实际控制人的董事会权力与并购效率》,《管理世界》第6期,第119~141页。
[10] 潘红波和陈世来,2017,《〈劳动合同法〉、企业投资与经济增长》,《经济研究》第4期,第92~105页。
[11] 邵丽丽和孙铮,2017,《风险对冲手段、汇率冲击程度与风险管理效果——来自上市公司出口业务的经验证据》,《会计研究》第7期,第41~47+96页。
[12] 徐经长、何乐伟和杨俊华,2020,《创新是公司并购的驱动因素吗——来自中国上市公司的经验证据》,《会计研究》第12期,第29~42页。
[13] 杨华军和胡奕明,2007,《制度环境与自由现金流的过度投资》,《管理世界》第9期,第99~106页。
[14] 杨兴全和尹兴强,2018,《国企混改如何影响公司现金持有?》,《管理世界》第11期,第93~107页。
[15] 俞红海、徐龙炳和陈百助,2010,《终极控股股东控制权与自由现金流过度投资》,《经济研究》第8期,第103~114页。
[16] 张海亮、梅媚和齐兰,2020,《“一带一路”倡议下企业如何规避外汇风险 ——基于经营性对冲和金融性对冲的比较》,《国际贸易问题》第3期,第147~161页。
[17] 赵乐和王琨,2020,《高管团队内部网络与并购绩效》,《金融研究》第11期,第170~187页。
[18] Acemoglu, D., Johnson, S., Robinson, and J. A., 2001. “The Colonial Origins of Comparative Development: An Empirical Investigation”, American Economic Review, 91 (5): 1369~1401.
[19] Alexandridis, G., Chen, Z., and Zeng, Y., 2021. “Financial Hedging and Corporate Investment”, Journal of Corporate Finance, 67: 101887.
[20] Allayannis, G., Lel, U., and Miller, D. P., 2012. “The Use of Foreign Currency Derivatives, Corporate Governance, and Firm Value around the World”, Journal of International Economics, 87 (1): 65~79.
[21] Allayannis, G., Weston, and J. P., 2001. “The Use of Foreign Currency Derivatives and Firm Market Value”, Review of Financial Studies, 14 (1): 243~276.
[22] Bartram, S. M., 2008. “What Lies Beneath: Foreign Exchange Rate Exposure, Hedging and Cash Flows”, Journal of Banking and Finance, 32 (8): 1508~1521.
[23] Bartram, S. M., Brown, G. W., and Conrad, J., 2011. “The Effects of Derivatives on Firm Risk and Value”, Journal of Financial and Quantitative Analysis, 46 (4): 967~999.
[24] Bartram, S. M., Brown, G. W., and Minton, B. A., 2010. “Resolving the Exposure Puzzle: The Many Facets of Exchange Rate Exposure”, Journal of Financial Economics, 95 (2): 148~173.
[25] Bates, T. W., Kahle, K. M., and Stulz, R. M., 2009. “Why Do U. S. Firms Hold So Much than They Used To?”, Journal of Finance, 64 (5): 1985~2021.
[26] Bena, J., and Li, K., 2014. “Corporate Innovations and Mergers and Acquisitions”, Journal of Finance, 69 (5): 1923~1960.
[27] Brown, S. J., and Warner, J. B., 1985. “Using Daily Stock Returns: The Case of Event Studies”, Journal of Financial Economics, 14 (1): 3~31.
[28] Cai, Y., and Sevilir, M., 2012. “Board Connections and M&A Transactions”, Journal of Financial Economics, 103 (2): 327~349.
[29] Campello, M., Lin, C., Ma, Y., and Zou, H., 2011. “The Real and Financial Implications of Corporate Hedging”, Journal of Finance, 66 (5): 1615~1647.
[30] Chen, J., and King, T. H. D., 2014. “Corporate Hedging and the Cost of Debt”, Journal of Corporate Finance, 29: 221~245.
[31] Choi, J. J., and Jiang, C., 2009. “Does Multinationality Matter? Implications of Operational Hedging for the Exchange Risk Exposure”, Journal of Banking and Finance, 33 (11): 1973~1982.
[32] Deshmukh, S., and Vogt, S. C., 2005. “Investment, Cash Flow, and Corporate Hedging”, Journal of Corporate Finance, 11 (4): 628~644.
[33] Ferris, S. P., Houston, R., and Javakhadze, D., 2016. “Friends in the Right Places: the Effect of Political Connections on Corporate Merger Activity”, Journal of Corporate Finance, 41: 81~102.
[34] Field, L. C., and Mkrtchyan, A., 2017. “The Effect of Director Experience on Acquisition Performance”, Journal of Financial Economics, 123 (3): 488~511.
[35] Froot, K. A., Scharfstein, D. S., and Stein, J. C., 1993. “Risk Management: Coordinating Corporate Investment and Financing Policies”, Journal of Finance, 48 (5): 1629~1658.
[36] Fu, F., Lin, L., and Officer, M. S., 2013. “Acquisitions Driven by Stock Overvaluation: Are They Good Deals?”, Journal of Financial Economics, 109 (1): 24~39.
[37] Guay, W., and Kothari, S. P., 2003. “How Much Do Firms Hedge with Derivatives?”, Journal of Financial Economics, 70 (3): 423~461.
[38] Hadlock, C. J., and Pierce, J. R., 2010. “New Evidence on Measuring Financial Constraints: Moving beyond the Kz Index”, Review of Financial Studies, 23 (5): 1909~1940.
[39] Hainmueller, J., 2012. “Entropy Balancing for Causal Effects: A Multivariate Reweighting Method to Produce Balanced Samples in Observational Studies”, Political Analysis, 20 (1): 25~46.
[40] Han, S., Qiu, J., 2007. “Corporate Precautionary Cash Holdings”, Journal of Corporate Finance, 13 (1): 43~57.
[41] Harford, J., 1999. “Corporate Cash Reserves and Acquisitions”, Journal of Finance, 54 (6): 1969~1997.
[42] Haushalter, D., Klasa, S., and Maxwell, W. F., 2007. “The Influence of Product Market Dynamics on a Firm's Cash Holdings and Hedging Behavior”, Journal of Financial Economics, 84 (3): 797~825.
[43] Hoberg, G., and Moon, S. K., 2017. “Offshore Activities and Financial vs Operational Hedging”, Journal of Financial Economics, 125 (2): 217~244.
[44] Hutson, E., and Laing, E., 2014. “Foreign Exchange Exposure and Multinationality”, Journal of Banking and Finance, 43 (1): 97~113.
[45] Ishii, J., and Xuan, Y., 2014. “Acquirer-target Social Ties and Merger Outcomes”, Journal of Financial Economics, 112 (3): 344~363.
[46] Jankensgård, H., and Moursli, R. M., 2020. “Derivative Cash Flows and Corporate Investment”, Journal of Banking and Finance, 119: 1~15.
[47] Jensen, M. C., 1986. “Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers”, American Economic Review, 76 (2): 323~329.
[48] Kuzmina, O., and Kuznetsova, O., 2018. “Operational and Financial Hedging: Evidence from Export and Import Behavior”, Journal of Corporate Finance, 48: 109~121.
[49] Lessard, D. R., 1991. “Global Competition and Corporate Finance in the 1990s”, Journal of Applied Corporate Finance, 3 (4): 59~72.
[50] Opler, T., Pinkowitz, L., Stulz, R., and Williamson, R., 1999. “The Determinants and Implications of Corporate Cash Holdings”, Journal of Financial Economics, 52 (1): 3~46.
[51] Richardson, S., 2006. “Over-investment of Free Cash Flow”, Review of Accounting Studies, 11 (2-3): 159~189.
[52] Sangha, B., 1995. “Financial Derivatives: Applications and Policy Issues”, Business Economics, 30 (1): 46~52.
[53] Shleifer, A., and Vishny, R. W., 2003. “Stock Market Driven Acquisitions”, Journal of Financial Economics, 70 (3): 295~311.
[54] Smith, C. W., and Stulz, R. M., 1985. “The Determinants of Firms' Hedging Policies”, Journal of Financial and Quantitative Analysis, 20 (4): 391~405.
[55] Taylor, M. P., Wang, Z., and Xu, Q., 2021. “The Real Effects of Exchange Rate Risk on Corporate Investment: International Evidence”, Journal of International Money and Finance, 117.
[56] Von Beschwitz, B., 2018. “Cash Windfalls and Acquisitions”, Journal of Financial Economics, 128 (2): 287~319.
[57] Xia, C., Yang, C., and Zhang, L., 2021. “The Real Effect of Foreign Exchange Hedging on Corporate Innovation”, Journal of Futures Markets, 41 (12): 2046~2078.
[1] 何青, 刘尔卓. 汇率敏感性会影响企业贷款利率吗?——基于中国上市公司的分析[J]. 金融研究, 2022, 506(8): 132-151.
[2] 王姝勋, 董艳. 期权激励与企业并购行为[J]. 金融研究, 2020, 477(3): 169-188.
[1] 王曦, 朱立挺, 王凯立. 我国货币政策是否关注资产价格?——基于马尔科夫区制转换BEKK多元GARCH模型[J]. 金融研究, 2017, 449(11): 1 -17 .
[2] 刘勇政, 李岩. 中国的高速铁路建设与城市经济增长[J]. 金融研究, 2017, 449(11): 18 -33 .
[3] 况伟大, 王琪琳. 房价波动、房贷规模与银行资本充足率[J]. 金融研究, 2017, 449(11): 34 -48 .
[4] 祝树金, 赵玉龙. 资源错配与企业的出口行为——基于中国工业企业数据的经验研究[J]. 金融研究, 2017, 449(11): 49 -64 .
[5] 陈德球, 陈运森, 董志勇. 政策不确定性、市场竞争与资本配置[J]. 金融研究, 2017, 449(11): 65 -80 .
[6] 牟敦果, 王沛英. 中国能源价格内生性研究及货币政策选择分析[J]. 金融研究, 2017, 449(11): 81 -95 .
[7] 高铭, 江嘉骏, 陈佳, 刘玉珍. 谁说女子不如儿郎?——P2P投资行为与过度自信[J]. 金融研究, 2017, 449(11): 96 -111 .
[8] 吕若思, 刘青, 黄灿, 胡海燕, 卢进勇. 外资在华并购是否改善目标企业经营绩效?——基于企业层面的实证研究[J]. 金融研究, 2017, 449(11): 112 -127 .
[9] 姜军, 申丹琳, 江轩宇, 伊志宏. 债权人保护与企业创新[J]. 金融研究, 2017, 449(11): 128 -142 .
[10] 刘莎莎, 孔高文. 信息搜寻、个人投资者交易与股价联动异象——基于股票送转的研究[J]. 金融研究, 2017, 449(11): 143 -157 .
Full text



版权所有 © 《金融研究》编辑部
本系统由北京玛格泰克科技发展有限公司设计开发 技术支持