Impact Of Exchange Rate And Oil Price Fluctuation On Enterprise Value

Enterprise valve evaluating is one of the most important tools for modern financial management. The whole enterprise value, which can be evaluated by measuring all of the future profit of the enterprise, provide useful information for analysing and measuring the intrinsic value of the company and support better decision-making for investors and governors. In recent years, many business activities, such as strategic reorganization and incorporation, joint venture or pool capital, transfer of share right, replacement of assets, bankruptcy and liquidation and so on, have been launched so frequently that it’s very important to evaluate enterprises value correctly in the activities of investment and financing.The change of market value is not only decided by the enterprise core value, but also influenced by the economic environment outside, the equity division reforming, the macroeconomic policies, and so on. With the development of economic globalization and the formation of the new world trade pattern, the Chinese enterprises, especially the listed companies, have been influenced by the exchange rate fluctuation and the international oil price change more and more obviously. Hence, in order to get a true value of enterprises, the fluctuation of exchange rate and international oil price should never be neglected.In order to clear the relationship between enterprise value and the macroeconomic factors further, after expounding the exchange rate and international oil price fluctuation risk faced by the enterprises and the polices have been promoted to reduce the losses in detail, this paper uses Residual income proportion model to estimate the enterprise value firstly, then puts up Johansen co-integration method on the analysis of estimate value and the fluctuation of the real effective exchange rate and international oil prices, moreover, builds the Error Correction Model, analyzes the co-movement of the three ones.The empirical research of this paper selects810listed companies, all of which have been listed before the end of2000, as the study object. Then estimate their actual enterprise value and compiles value index and price index. The results of empirical research show that there is true interconnection between the actual enterprise value and the fluctuations of market price of listed companies based on both bulk sample and sub-industry sample. Co-integration analysis shows that there are long-term relationship between enterprise value and the international oil prices and the real effective exchange rate. Lastly, Granger Causality Tests shows that the international oil price and the exchange rate are both the Granger reason of enterprise value index under the5%confidence level, while the reverse is not true. The long-term equilibrium relationship between the enterprise value of listed companies and the real effective exchange rate and the international oil prices reveals that the value of enterprises, especially the listed companies, could be suffered from the exchange rate and international oil price fluctuation in the long run. Besides, the international oil price and the exchange rate is the Granger reason of some relevant industries, such as manufacturing industry, information technology industry, finance and insurance industry, social services industry and so on.After judging whether there is a long-run equilibrium relationship between the three variables, this paper treats the three economic variables as the factors influence the listed companies’ stock price, then digging the intrinsical relationship between the three variables and share price movements of the listed companies. Empirical research applies the Support Vector Machines (SVM), promoted by Vapnik, on predicting. In the predicting model, enterprise value is treated as a direct factor of stock price changes, while exchange rates and international energy prices are teated as indirect factors. They are both selected as the input variables in supporting the SVM model. Then we build listed company’s share price nonlinear forecasting model, which has good prediction performance, achieves significantly better prediction consequent than the random walk model and traditional time series ARMA model. Furthermore, this paper leaving out variables of exchange rate and international oil fluctuation, only enterprise value is chosen as input variable to build a single-factor model. Empirical research suggests that predicting performance of the single-factor model is worse than multi-factor model. So, we conclude that the exchange rate and international oil fluctuation are important variables for enterprises’marketing value.Applying the statistics methods and metrology analysis tools in the analysis of enterprise value and the study of the stock price prediction based on the fluctuation of exchange rate and international oil price, effectively mining the essential relationship between the enterprise value and the fluctuation of international oil prices and exchange rate. And moreover, the SVM nonlinear model has been promoted for listed companies’ stock price forecasting. This paper not only enriches the vacancy of related researches theoretically, but also provides precious suggestions for government’s supervision, the companies’running and the determination of management objectives, the investors’ investing decision making and so on in reality.