企业证券投资风险防控机制研究

　　摘要

　　企业是证券投资的主体之一，在当前我国社会主义市场经济机制下，已经成为我国证券市场的主要力量。根据有关统计，上市公司进行证券投资在我国证券市场中已经十分普遍，而作为我国国民经济主体的中小企业也逐渐步入到证券投资的领域中。

　　企业之所以进行证券投资是基于获取投资收益、分散经营风险等各自不同的目的，但中国的证券市场存在先天不足和后天积累的系统性风险，当企业的投资目标与证券市场的系统性风险交织时，如何在规避风险的前提下实行投资目标就成为投资企业必须认真考量的问题，风险的识别、分析与防范对策等一系列就成为成败攸关的问题。

　　企业进行证券投资与企业的发展战略高度相关，按照企业的发展态势进行分类，企业发展战略可以分为发展型战略、稳定型战略和紧缩型战略。处于发展期的企业需要扩大生产规模、开拓产品市场，因此这个阶段的企业更有可能联合或者兼并；稳定期的企业决定追求与过去相同或者类似的发展目标，营业收入和利润的年增值速度也比较稳定，而处于紧缩期的企业往往面临着抽资转向、战略调整或者放弃。不同的企业发展战略对应着对不同类型证券投资的需求。不管何种目的的证券投资都存在概率分布可知与概率分布不可知这两类风险，如果按照风险敞口的来源进行分类，企业进行证券投资的风险可以分为内部风险和外部风险，内部风险主要是指投资企业在投资决策、风险控制以及投资部门人员操作方面产生的风险；外部风险则主要是指来自证券发行主体、证券市场以及宏观经济体的风险。

　　目前我国学术界关于企业证券投资风险管理的研究比较丰富，定性研究和定量研究成果均较多，但是对于企业证券投资的决策机制，以及风险控制缺乏深入研宄，与此对应的是我国大部分企业进行证券投资的风险控制机制相对落后，与现代证券市场风险管理原则相违背。针对这种状况，本文从财务视角对我国企业进行的证券投资所可能遭遇的风险给予认真和尽量全面的分析，于此建立基于财务视角的证券投资风险预警机制，愿为我国企业证券投资者提供风险管理的建议和风控制度的主张。

　　本文将分为七部分对课题进行研究：第一章绪论，将介绍本文研究的研宄背景、研究意义、研究方法、研究内容和创新之处。第二章理论基础和文献综述，将介绍证券投资理论和证券风险评估管理理论，然后从企业证券投资动机、证券投资风险特征、证券投资风险计量、风险管理以及风险预警几个方面介绍中外学者的研究成果。

　　第三章将介绍企业证券投资方向，第四章将分析企业证券投资风险敝口分布，第五章将根据第四章的内容，选择部分风险敞口对其进行主成分分析；第六章将根据第五章的模型以及前几章的分析，提出策略；第七章将对本文的主要研宄成果进行展示，然后作者将结合自身学习经历以及对“企业证券投资风险管理领域”的理解指出该领域未来的研宄方向。

　　作者在文中采用文献资料研宄法和统计建模的方法对课题进行研究。通过对企业交易性证券投资风险预蒈机制的研究，作者构建了一个用于评价深交所A股上市制造业公司股票交易性投资风险的预警模型。作者认为，对企业的证券投资风险进行规避，还应当合理设计投资部门岗位、建立投资岗位责任制并建立规范的证券投资决策机制。

　　【关键词】证券投资；投资风险；风险预警；风险敝口

　　Abstract

　　Enterprise is one of the main body of the securities investment, under the current ourcountry socialist market economy mechanism, has become one of the main forces of theChinese securities market. According to related statistics, the listed company in securitiesinvestment in the securities market in China has been very common, and as the main body inthe national economy of small and medium-sized enterprises also gradually enter into the fieldof securities investment Securities investment has a distinct purpose of enterprise, profit isthe main investment objectives. And the benefits and risks born almost, so when a largenumber of enterprises to enter the securities market, these enterprises are also exposed to theinvestment risk.

　　Enterprises for the purpose of securities investment is closely related to enterprise'sdevelopment strategy, classified according to the enterprise's development situation, theenterprise development strategy can be divided into developmental strategy, stable strategicand tighten. In the development of enterprises need to expand the scale of production,expandproduct market, therefore this stage of the enterprise is more likely to jointly or merger;Stability of the enterprise decides to pursue the same or a similar development goals,businessrevenue and profit in value-added rate is more stable, and in a crunch period of companies areoften faced with smoke turn, strategic adjustment, or give up. Different enterprisedevelopment strategy corresponds to the demand for different types of securities investment.

　　If classified according to the source of the exposure, the business of securities investment riskcan be divided into internal and external risks, internal risk is mainly refers to the investmentcompanies in the investment decision-making, risk control and the risk of investmentdepartment personnel operating aspect; External risk mainly refers to from the securitiesissuers,securities market and the risk of macro economy.

　　At present, the academic study of securities investment risk management of enterprisetransaction is rich,qualitative research and quantitative research are more, but for securitiesinvestment decision-making mechanism, and risk control management lack of carefulresearch,corresponding to this is our country most enterprise for securities investment riskmanagement mechanism is relatively backward, and runs counter to the principles of modernsecurities market risk management. Aiming at this situation, this paper analyzes the securitiesinvestment risk of the enterprise in our country, and set out to establish risk early warningmechanism, based on statistical model for our country enterprise technological andinstitutional investors to provide risk management guidance.

　　This article will study of subject is divided into seven parts:

　　First chapter is introduction,introduces the research background of this study, theresearch significance, research methods, research contents and innovation. Theoretical basisand literature review, the second chapter will introduce the securities investment theory andrisk assessment management theory, and then from the enterprise securities investmentmotivation, securities investment risk characteristics, securities investment risk measurement,risk management and risk early warning several aspects to introduce the researchachievements of scholars at home and abroad.

　　The third chapter will introduce enterprise securities investment direction, the fourthchapter will analyze enterprise sources of securities investment risk,the fifth chapter willstudy according to the risk of the fourth chapter, choose some exposure on the principalcomponent analysis; Chapter 6 according to chapter v model and the analysis of previouschapters, chapter 7 of the this article main research results to display, then the author willcombine their own learning experience, as well as to the “securities investment riskmanagement enterprise” understand the future direction of the research in this field arepointed out.In the article the author adopts the method of literature research and statisticalmodeling.

　　Through to the sub]cct-ffbased on the perspective of financial companies tradedsecurities investment risk early warning mechanismthe author builds an early warningmodel to evaluate Shenzhen A-share listed manufacturing industry companies tradinginvestment risk. The author believes that to avoid the tradable securities investment risk of theenterprise, we should also be reasonable design investment sector jobs, set up investment jobresponsibility and establish the standard of traded securities investment decision-makingmechanism.

　　【Keywords】securities investment; the investment risk; risk warning; risk exposure
 

　　目录

　　第一章绪论

　　1.1问题的提出

　　1.2研究意义

　　1.3研究方法

　　1.4研究内容

　　1.5创新之处

　　第二章理论基础和文献综述

　　2.1理论基础

　　2.2文献综述

　　第三章企业证券投资的战略选择

　　3.1控制性投资（纵向与横向）

　　3.2重要影响投资

　　第四章企业战略性证券投资风险敞口分布

　　4.1企业证券投资的外部风险

　　4.2企业证券投资的内部风险

　　第五章企业战略性证券投资财务视角风险敞口变量的研究

　　5.1风险敞口的分类

　　5.2多元判定模型

　　5.3主成分分析

　　5.4变量选取和数据来源

　　5.5模型建立

　　5.6模型的不足

　　第六章企业战略性证券投资风险敞口的封闭策略

　　6.1战略性证券投资决策控制

　　6.2严格烙守投资决策原则

　　6.3企业证券投资岗位职责控制

　　第七章结论与展望

　　7.1研究结论

　　7.2研究展望

　　参考文献

　　致谢