【作者】 童永强；

【导师】 叶永刚；

【作者基本信息】 武汉大学 ， 金融学， 2010， 博士

【摘要】 中国通信设备制造业是中国的重要支柱产业之一,在全球具有较强的竞争力。在全球化的背景下,中国的通信设备制造业经过了十余年的高速发展不可避免的进入了其生命周期的成熟期,而其仍然延续着高速发展阶段的高杠杆率、高速规模扩张的发展模式,这两者之间的矛盾蕴含着潜在的巨大金融风险。传统的行业金融风险评估侧重于研究行业的流量指标(成长性、盈利性、流动性等)和部分存量指标(资产规模、资产负债率等),风险指标缺乏整体性和全面性,而且不具备前瞻性,不能提前警示风险。因此,对该行业的金融风险进行客观地量化评估、构建有前瞻性的风险预警指标体系就显得非常迫切和重要,这也是本文力图解决的问题。本文从宏观金融的视角,运用宏观金融工程的理论和方法,对行业金融风险进行系统性的量化研究。本研究构建了一个全新的中国通信设备业的金融风险的系统性研究框架,采取流量分析与存量分析相结合、静态分析与动态分析相结合、定性分析与定量分析相结合的研究方法。首先从研究行业的流量指标入手揭示其反映的变化趋势和金融风险,其次通过编制行业的静态资产负债表,研究行业存量截面中蕴藏的结构性金融风险,再进一步,将市场信息反映进来,编制行业的动态或有权益资产负债表,研究资产、负债的市场价值和其中蕴藏的结构性错配风险,最后,在或有权益资产负债表的基础上,通过或有权益方法,编制出行业总体或有风险指标(波动率、违约概率、违约距离等),从总体的角度研究行业的金融风险。本文运用此研究框架对中国通信设备业上市部分的金融风险状况进行了实证研究。由于或有权益研究方法对于数据要求的局限性,通常应用于上市企业,中国通信设备制造业中非上市企业占有一定的比重,尤其是行业的龙头企业华为也未上市,完全不考虑该部分企业对行业总体金融风险的研究会存在较大失真,因此本文扩展研究了如何将非上市企业龙头企业华为纳入到总体金融风险研究。本文通过选择中兴通信作为华为的参照上市企业,从主营收入、净资产、净利润三方面入手进行比较分析,以此为基础生成了华为的近似市值,进一步运用资产负债表和或有权益资产负债表方法对行业金融风险的变化进行研究。本文还就利用金融手段构建中国通信设备业的金融风险管理体系进行了研究,涉及金融风险管理机制、管理工具、管理政策、管理制度等方面,形成了一套完善的闭环体系。本文对中国通信设备业上市部分的行业金融风险的实证研究表明该行业的金融风险在持续增加和积聚,这和业界人士调查访问的结果是一致的,本文的研究结果还表明,中国通信设备业行业金融风险持续增加的根源在于行业高速扩张和行业步入成熟期的矛盾,深层次的原因在于高杠杆率扩张方式的收益与风险的不对等产生的道德风险。运用或有权益资产负债表方法对华为的扩展研究结果表明,增加了华为后,尽管增加了行业的资产市值和降低了或有资产负债率,但行业市场集中度进一步提升、波动率加大、违约距离缩小,显示该行业总体金融风险在增加,这是华为采取的较行业平均水平更为激进的扩张策略所蕴藏的风险导致的。净利润法较符合股价的本质,但未来利润存在不确定性,净资产相对较稳定,因此可以采用净利润法和净资产法相结合来研究非上市企业的金融风险。全球金融危机对中国通信设备制造业形成了巨大的冲击,这是一个不可回避且非常难得的外部冲击事件,本文对该事件的冲击影响进行了深入研究和实证检验。检验结果表明,本文构建的行业金融风险指标有效的反映了行业金融风险,并具有一定的前瞻性(较实体风险提早9个月),这充分检验了本方法的有效性和前瞻性,为建立该行业的风险预警体系奠定了理论基础。更多还原

【Abstract】 China’s telecommunication equipment manufacture industry is one of the important pillar industries for China and it has strong competitiveness globally. Under globalization, it has inevitably entered into the mature stage after almost ten years’ fast-rate development, but it still keeps its original development model of high leverage and high-speed size expansion. There are huge financial risks hidden behind it. Traditional industrial financial risk evaluation stresses on flow indexes (growth, profitability and liquidity) and part of the stock indexes (asset size and asset-liability ratio); the risk indicators may not be comprehensive enough, has no foresight,and can not provide early warning for upcoming risks. Therefore, quantified financial risk evaluation on this industry and setting up a foresight risk warning system become urgent and important, this is the reason why we write this article.This article conducts a quantification study on the financial risks from a macro-financial angle by using macro-financial engineering theories and methods. This article constitutes a new systematic framework for the study on the financial risks in China’s telecommunication equipment manufacture industry, and adopts methods of combining flow analysis and stock analysis, static analysis and dynamic analysis, qualitative analysis and quantitative analysis. Firstly, it starts from the flow indexes analysis to reveal its reflection on variation tendency and financial risks; secondly, it studies the structural financial risks hidden in the stock section through making static balance sheet; thirdly, it introduces in the market information and build a dynamic contingent claim balance sheet to study the market value of assets and liabilities and the structural mismatching risks hidden within. In the end, it brings out the overall industrial contingent risk indicators (fluctuation ratio, default probability and distance to default) by using the contingent claim method based on the contingent claim balance sheet to study the financial risks of this industry from an overall angle. Because of its special requirements on data, the contingent claim method is usually applied in studying listed companies. There are considerable numbers of unlisted companies in this industry, and even the leading company of Huawei Technologies has not been listed. Therefore, if we ignore these unlisted companies, the results may not be as precise as required. To solve this problem, this article also studies that how we can bring the leading company of Huawei into the overall study of financial risks. By choosing the ZTE as the listed company of reference for Huawei and analyzing its sales revenue, net assets and net profits, it obtains the approximate market values of Huawei. Based on these approximate values, it studies the financial risks of the industry including Huawei by adopting the balance sheet and contingent claim balance sheet methods. This article also studies the possibility of using financial tools to build a financial risk management system in China’s telecommunication equipment manufacture industry, concerning aspects of financial risk management mechanism, risk management tools, risk management policies and risk management rules, which should form a set of thorough system of closed cycle.After studying the financial risks in China’s telecommunication equipment manufacture industry based on this framework and method, this article draws the conclusion that the financial risks in this industry keep increasing and accumulating. This conclusion is consistent with the investigation results from insiders. By using the system engineering method to study the cause of the increasing financial risks, this article discovers that it is caused by the contradiction between the high-speed expansion and the entering into to the mature stage, along with a deeply rooted reason of moral risk generated by the profit and risk asymmetry of the high leverage ratio. After putting the Huawei into consideration, the result shows, although the market value of asset increases and the contingent liability ratio lowers the market concentration increases with higher fluctuation ratio and narrowed the distance to default, In fact, the overall industrial risks are increasing. It is also a result of Huawei’s radical expansion strategy. Therefore, we can study the financial risks of unlisted companies through the combining net profit and net asset methods. The global financial crisis thrusts a huge impact on China’s communication equipment manufacture industry, and it is an inevitable and rare external impact. This article conducts an in-depth study and empirical verification on the effects of this impact. The result shows that the industrial financial risk indicators constituted by this article effectively reflects the actual financial risks within this industry with considerable foresight (9 months earlier before risks occur), the effectivity of the method drawed by this article is verified in some certern. This will also lay a theoretical foundation for creating a risk warning system in this industry.更多还原