| 中国非金融上市公司经营风险现金流研究 |
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| 引用本文： | 娄静,韩立岩,刘金霞.中国非金融上市公司经营风险现金流研究[J].系统工程学报,2009,24(5). |
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| 作者姓名： | 娄静 韩立岩 刘金霞 |
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| 作者单位： | 北京航空航天大学经济管理学院,北京,100191 |
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| 基金项目： | 教育部高等学校博士学科点专项科研基金资助项目，国家自然科学基金资助项目 |
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| 摘 要： | 遵循风险现金流(cash-flow-at-risk,CFaR)外生化及可比公司估计的思路,以行业合并类为基础,提出现金流及其CFaR估计的动态面板数据模型;进而基于非金融公司经营现金流影响因素,估计出中国非金融上市公司经营净现金流的结构方程及其CFaR经验分布,并对行业合并类经营净现金流风险值进行测度.研究结果表明,建筑业和房地产业合并类的经营净现金流风险值显著高于由具有政策导向性和垄断性的采掘业、交通运输仓储业、电力煤气及水的生产和供应业3个行业所构成的合并类的风险值,而传统制造业的经营净现金流风险值范围介于上述2个行业合并类之间.
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| 关 键 词： | 非金融公司 风险现金流 风险管理 动态面板模型 行业因素 |
Operating cash-flow-at-risk of China' s non-financial listed firms |
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| Abstract: | Adopting the comparables-based exogenous approach to measuring cash-flow-at-risk ( CFaR),this paper examines the operating CFaR of Chinese non-financial listed firms with a dynamic panel data model.Based on the comparable industry clusters and economic determinants of the operating cash flow,the structural functions of the operating cash flow and the emprical distributions of CFaR are estimated.The results show that the representative firm in the comparable industry cluster of construction and real estate industries is exposed to higher operating CFaR than that in the largely policy-directed and monopoly-dominated industry cluster of mining,transport and storage,and utilities industries,while the traditional manufacturing industry shows moderate operating CFaR exposure as compared with the above two industry clusters. |
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| Keywords: | non-financial firms cash-flow-at-risk risk management dynamic panel data industry factor |
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