中国上市公司外汇风险暴露的测度及影响因素研究--基于纺织服装业的经验分析

摘要

Based on the Fama‐French three‐factor model ,this paper measures the exchange rate exposure degree of Chinese textile and garment industry listed companies ,and examines whether the exchange rate exposure of these companies show asymmetry .The results show that 24% sample companies have obvious exchange rate exposure ,and the exchange rate exposures of 29% sample companies show asymmetry during the RMB ex‐change rate appreciation cycle and depreciation cycle .The paper analyzes the determinants affecting the extreme values of exchange rate exposure with Logistic regression model .The study finds that there are some key fac‐tors influencing exchange rate exposure ,including the export ratio ,company size ,the quick ratio and the ratio of total asset return .%文章应用Fama－French三因素模型测度了中国纺织服装业上市公司的外汇风险暴露水平，并进一步考察了上述公司的外汇风险暴露是否存在非对称性。结果表明，24％的样本公司存在显著的外汇风险暴露，29％的样本公司的外汇风险暴露在人民币汇率升值阶段和贬值阶段存在非对称性。进一步，文章运用Logistic模型考察了样本公司风险暴露极端值与公司特质之间的关系，结果表明，出口外销比、公司规模、速动比率和总资产周转率是影响外汇风险暴露的关键因素。