经济暴露对跨国公司长期融资策略影响地实证研究

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1、华中科技大学硕士学位论文经济暴露对跨国公司长期融资策略影响的实证研究姓名：万小玲申请学位级别：硕士专业：金融学指导教师：张宗成2010-05-13华中科技大学硕士学位论文AbstractAfterthefinancialcrisis,themainnationalcommercialBankssignedcurrencyswapsbetweeneachother.During2009,thenotionalamountofcurrencyswapstotaledabove$400billion.Astheend-usersofcurrencyswapsareprimarily

2、multinationalcompanies.Thispaperwilllinkcurrencyswapsandeconomicexposureofmultinationalcompanies,inordertoknowwhythecurrencyswapisstillsopopular.Thispapersummarizesthetheoriesinthepast.Supposethefluctuationoftheexchangeratefollowsarandom-walking,thispaperestablishesthebinarytreeofthefuturec

3、ashflow.Firmschoosethefinancingstrategythatmaximizestheshareholder’swealth.Theexpectedpay-offtotheshareholdersofthefirmiscomputedastheexpectedcashflowlessthecostoffinancing.Ontheotherside,theinvestorsaskforrisk-freeinterestpaymentintheriskneutralworld.Whenthesetwopartsgetbalance,theproposit

4、ionisalsocoming.Theempiricallytestablehypothesis,higherthelevelofeconomicexposure,highertheprobabilitythatthefirmwilluseacurrencyswap,derivatesfromtheproposition.Thispaperfocusesonnon-financialcorporationsbecauseoftheirmorefrequentuseofderivativesfortradingpurpose.ThesampleistheFortune500no

5、n-financialAmericanfirms.Firmswithinsufficientinformationornotlistedareexcludedfromthefinalsample.Consequently,thereare54firmsinthefinalsample.Thedataarefortheperiodof1998-2009.Totesttheeconomicexposureeffectonfirms’currencyusage,thispaperusesacashflow-basedmeasuretoestimateexposure.Thispap

6、erusesstatisticaltestingandthequalitativeresponseregressionmodel.Theresultsofempiricalanalysis(usingbothunivariateandmultivariatetechniques)stronglysupportthehypothesis.Thispaperprovidessomesuggestionsabouttheselectionoffinancingstrategy,whenfirmsfacedifferenteconomicexposure.II华中科技大学硕士学位论文

7、Keywords:multinationalcompanies,economicexposure,financingstrategy,currencyswapIII华中科技大学硕士学位论文跨国公司使用货币衍生工具主要是为了规避外汇风险。而外汇风险又可以分为以下几种类型：交易暴露、经济暴露和会计暴露。“交易暴露是指汇率变化对已经产生但尚未结算的债权债务价值的影响。一个公司具有以外汇表示的债权或债务尚未结算，如果此时外汇汇率发生了变动并且汇率的变动会使上述债权债务的价值发生变化，则该公司具有外汇交易风险暴露