科学研究
报告题目：State Ownership, Derivative Hedging and Firm Risk – Evidence from China’s Central Parity Reform of Renminbi
报告人：倪晨凯
报告时间：2022年3月14日（周一）13:00-15:00
报告地点：腾讯会议（会议ID：434 752 170）
主办单位：东北财经大学会计学院
【报告摘要】
In this study, we examine how state ownership shapes firms’ derivative use and the resultant consequences of a basis risk shock. We exploit the 2015 central parity reform in China which transforms Renminbi’s (China’s domestic currency) crawling peg regime to partial flotation. We find that SOEs, compared with non-SOEs, are less likely to use derivatives to hedge against currency risks along both the extensive and the intensive margins due to higher transactional costs embedded in public bureaucracies.The heterogeneity in derivative hedging generates significant consequences around the currency risk shock. Exposed SOEs experience an increase in earnings volatility and idiosyncratic return volatility. The part of SOEs’ earnings owing to fluctuating exchange rates is priced by equity investors. The increased fundamental and share price risks constrain post-reform corporate investment for SOEs. Importantly, none of the above consequences applies to non-SOEs who engage more in derivative hedging.
【报告人简介】
倪晨凯，复旦大学管理学院会计系副教授，博士生导师。2007年本科毕业于北京大学工学院，2014年博士毕业于新加坡国立大学商学院。2014-2016年在中国人民大学商学院担任讲师。倪教授在复旦大学主要讲授《税法》《税收与商业决策》以及《会计与资本市场》等本硕博课程。他的学术研究关注制度变革如何影响资本市场，学术成果发表于The Accounting Review, Journal of Financial and Quantitative Analysis, 《管理世界》等学术期刊。
