北京航空航天大学学报(社会科学版) ›› 2007, Vol. 20 ›› Issue (4): 21-24.

• 经济管理与社会发展研究 • 上一篇    下一篇

企业外汇风险暴露研究——基于中国上市公司的经验数据

吴 娓1, 付 强2, 涂 燕3   

  1. 1. 西南财经大学 研究生部, 四川 成都 610074;
    2. 西南民族大学 经济学院, 四川 成都 610041;;
    3. ;
  • 收稿日期:2006-09-13 出版日期:2007-12-25 发布日期:2010-10-15
  • 作者简介:吴娓(1974-),女,四川南充人,博士研究生,研究方向 为会计学.

Foreign Exchange Risk Exposure in Companies ——Based on the Listed Companies' Data in China

WU Wei1, FU Qiang2, TU Yan3   

  1. 1. Graduate School, Southwest University of Finance and Economics, Chengdu 6100 74, China;
    2. School of Economics, Southwest University of Nationalities, Chengdu 610041, China;
    3. School of Public Administration, Beijing University of Aeronautics and Astronautics, Beijing 100083, China
  • Received:2006-09-13 Online:2007-12-25 Published:2010-10-15

摘要:

以是否具有外销收入为标准,选取在深交所上市的67家公司为样本,就其是否存在显著外汇 风 险暴露及暴露系数的符号与大小进行研究。实证结果发现,在0.1的显著水平下,有7家公司 外 汇风险暴露系数显著为正,12家公司外汇风险暴露系数显著为负。分析这些公司系数 符号存在差异的原因发现,系数为正的部分公司在以毛利率减少为代价换取外销收入的 增加。最后,对影响公司暴露系数大小的因素进行了分析。

关键词: 外汇风险暴露, 汇率波动, 股价报酬率

Abstract:

This paper selects 67 companies which all have sales outside Chinese M ainland in Shenzhen Security Exchange to study the impact of the fluctuation of exchange rate to the return rate of stock price. The result reveals that under 0 .1 levels of significance 7 companies have positive exchange risk exposure coeff icients and 12 companies have negative exchange risk exposure coefficients. Then we analyze the reasons why some coefficients are positive while the others are negative. The study finds that companies with positive coefficients increased th e sales ratio outside China mainland at the cost of reducing gross profits. Fina lly, we analyze the factors affecting the size of the exchange risk exposure coe fficients.

Key words: exchange risk exposure, exchange rate fluctuation, the rate of return on stock p rices

中图分类号: