淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-2606200722175300
中文論文名稱 公司價值與避險:台灣電子業之實證-以富邦台灣科技ETFs成份股為例
英文論文名稱 Firm and Hedging for Companies of Taiwan’s Electronic Industries : Evidence From underlying stocks of Fubon Taiwan Technology ETFs
校院名稱 淡江大學
系所名稱(中) 管理科學研究所碩士班
系所名稱(英) Graduate Institute of Management Science
學年度 95
學期 2
出版年 96
研究生中文姓名 吳姿蓉
研究生英文姓名 Tzu-Zong Wu
學號 694560136
學位類別 碩士
語文別 中文
口試日期 2007-06-07
論文頁數 58頁
口試委員 指導教授-倪衍森
委員-蕭文姃
委員-趙慕芬
中文關鍵字 避險  公司價值  衍生性金融商品 
英文關鍵字 Hedging  FirmValue  Derivatives 
學科別分類 學科別社會科學管理學
中文摘要 本研究主要探討2003年至2005年間,富邦台灣科技ETFs成份股公司其避險與公司價值的探討。本研究主要分為兩大部分,第一部分為公司避險決策因素的探討,乃利用羅吉斯模型,以匯兌損益之平穩度作為應變數,以財報資訊上之比率作為自變數,探討使用衍生性金融商品避險之好壞,在財務特性上是否有顯著的差異。第二部份為避險與公司價值之關聯性探討,乃利用多元迴歸與Panel Data模型,以Jin and Jorion (2006)於Journal of Finance發表的文章為主要架構,應用公司規模、獲利性、投資成長、接近金融市場及槓桿來分析其與公司價值的關係,其中公司價值以Tobin’s Q衡量。另外,本研究又加入信用評等、固定資產比率、現金流量比率等因素來探討。此外,並採用股價淨值比作為衡量公司價值的績效指標與Tobin’s Q做比較。

研究結果顯示:
一、公司避險決策因素包含外銷比率、負債比率、公司規模與經理人持股比,其中僅外銷比率與公司避險呈現負相關,其餘皆呈現正相關。意即當外銷比率愈低、負債比率愈高、公司規模愈大、經理人持股比愈大,公司愈傾向避險。

二、公司的風險管理會影響公司價值的提升,即有避險的公司其公司價值較高。

三、獲利性愈高、資本支出對總資產比愈高、現金流量比率愈高、信用評等佳者與無發放股利、負債比率較低者其公司價值較高。
英文摘要 This study uses a sample of Fubon Taiwan Technology Tracking Fund over the period 2003-2005. The main purposes are to know how firms use derivatives, to explore the relationship between hedging and corporate characteristics, and to understand the determinants for hedging. Some statistical methods are used including Logit regression, Multinomial regression and Panel Data model. The following conclusions are obtained in this study:

1.Hedgers and non-hedgers have some different corporate characteristics. The firm size of hedgers is larger; hedgers face more financial distress, and their liabilities are larger; share holding of managers is also larger; but export ratio is lower.

2.Risk management of firms would influence firm value, and cause firm value increase. It means hedgers have larger firm value.

3.More ROA, more capital expenditures over total assets, more cash flow ratio, and better credit rating cause firm value increase ;if the firm paid dividend and its liability is larger, it got lower firm value.
論文目次 目 次
第一章 緒論
第一節 研究背景與機....................................................... 1
第二節 研究目的.............................................................................................. 2
第三節 研究流程.............................................................................................. 3
第四節 論文架構.............................................................................................. 4

第二章 文獻探討
第一節 公司避險決策相關文獻探討.............................................................. 5
第二節 避險決策對公司價值的影響相關文獻探討.................................... 11
第三節 本論文研究之方向............................................................................ 13

第三章 研究方法
第一節 觀念性架構........................................................................................ 20
第二節 研究問題假說.................................................................................... 22
第三節 變數定義與衡量................................................................................ 24
第四節 資料蒐集與選取................................................................................ 28
第五節 研究分析方法.................................................................................... 28
第六節 樣本選擇模型.................................................................................... 32

第四章 實證結果與分析
第一節 敘述統計量........................................................................................ 37
第二節 避險決策因素.................................................................................... 39
第三節 避險決策對公司價值的影響............................................................ 41

第五章 結論與建議
第一節 研究結論............................................................................................ 50
第二節 建議.................................................................................................... 53
第四節 研究限制............................................................................................ 54
參考文獻................................................................................................................. 55


表 目 錄

表 2-1 文獻結果整理............................................................................................ 14
表 4-1 各變數基本統計量.................................................................................... 37
表 4-2 模型一之實證結果.................................................................................... 39
表 4-3 避險決策因素實證結果彙整表................................................................ 40
表 4-4 模型二之多元迴歸分析實證結果............................................................ 41
表 4-5 模型二之Panel Data分析實證結果......................................................... 43
表 4-6 模型三之多元迴歸分析實證結果............................................................ 44
表 4-7 模型三之Panel Data分析實證結果......................................................... 46
表 4-8 模型四之多元迴歸分析實證結果............................................................ 47
表 4-9 模型四之Panel Data分析實證結果......................................................... 48





圖 目 錄

圖 1-1 研究流程...................................................................................................... 3
圖 3-1 本研究觀念性架構………………............................................................ 21
圖 3-2 財務特性對風險管理之探討……............................................................ 21
圖 3-3 財務特性與風險管理對公司價值之探討................................................ 22

參考文獻 一、中文文獻

李燕華,2007,「台灣電子業外匯暴險及避險之探討」,輔仁大學金融研究所未出版碩士論文。
陳香蘭,2004,「公司治理與衍生性金融商品使用關連性之研究」,淡江大學會計學研究所未出版碩士論文。
陳建行,1998,「企業衍生性金融商品運用與避險因素之探討」,淡江大學國際貿易系國際貿易學碩士班未出版碩士論文。
陳雅雯,1996,「台灣電子業操作衍生性商品避險與公司特質之關聯性」,國立交通大學經營管理研究所未出版碩士論文。
陳靜修,1998,「我國上市公司衍生性金融商品使用及財務報導之實證研究」,國立成功大學會計學研究所未出版碩士論文。
粘凱均,2005,「上市公司避險決定因素與經營績效之研究」,國立政治大學金融研究所未出版碩士論文。
黃薏萍,2000,「上市公司使用衍生性金融商品避險動機與行為之研究」,國立成功大學國際企業研究所未出版碩士論文。
鐘文亮,1996,「企業避險因素與價值之實證分析」,國立中山大學財務管理所未出版碩士論文。
盧婉甄,2000,「台灣電子業使用衍生性金融商品避險之研究」,國立台灣大學會計研究所,未出版之碩士論文。

二、英文文獻

Allayannis, G. and Ofek, E. (2001), “Exchange rate exposure, hedging, and the use of foreign currency derivatived,” Journal of International Money and Finance, Vol.20, pp.273-296.
Allayannis, G. and Weston, J.P. (2001), “The use of foreign currency derivatives and firm market value,” Review of Financial Studies, Vol.14, pp.243-276.
Barton, J. (2001), “Does the use of financial derivatives affect earnings management decisions? ” Accounting Review, Vol.76, pp.1-26.
Bessembinder,H. (1991), “Forward contracts and firm value: Investment incentive and contracting effect,” Journal of Financial and Quantitative Analysis, Vol.26, pp.519-532.
Berkman, H. and Bradbury, M. E. (1996), “Empirical evidence on the corporate use Of derivatives,” Financial Management, Vol.25, pp.5-13.
Block, S.B. and Gallagher, T.J. (1986), “The use of interest rate futures and options by corporate financial managers,” Financial Management, Vol.15, pp.73-78.
Carter, D., Rogers, D., and Simkins, B. (2003), “Does fuel hedging makes economics sense? The case of the US airline industry, ” working paper, Oklahoma State University.
DeMarzo, Peter, M. and Duffie, D. (1991), “Corporate financial hedging with proprietary information,” Journal of Economic Theory, Vol.53, pp.261-286.
Dolde, W. (1995), “Hedging, leverage, and primitive risk,” Journal of Financial Engineering, Vol.4, pp.187-121.
Froot, K. A., Scharfstein, D. S. and Stein, J. C. (1993), “Risk management: Coordinating corporate investment and financial policies, ” Journal of Finance, Vol.48, pp.1629-1658.
Gay, G. D. and Nam, J. (1998), “The underinvestment problem and corporate derivatives use, ” Financial Management, Vol.27, pp.53-69.
Geczy,C.,B., Minton, A. and Schrand, C. (1997), “Why firms use currency derivatives,” Journal of Finance, Vol. 52, pp.1323-1354.
Graham, J. R., and Rogers, D. A. (2002), “Do firms hedge in response to tax incentives?” Journal of Finance, Vol. 57, pp.815-839.
Guay, W. R. (1999), “The impact of derivatives on firm risk: An empirical examination of new derivative users,” Journal of Accounting and Economics, Vol.26, pp.31-351.
Guay, W., and Kothari, S. P. (2003), “How much do firms hedge with derivatives? ” Journal of Financial Economics, Vol.70, pp.423-461.
Haushalter, G.D. (2000), “Financing policy, basis risk, and corporate hedging: Evidence from oil and gas producers,” Journal of Finance, Vol. 55, pp.107-152.
Howton, S. D. and Perfect, S. B. (1998), “Management compensation and firm derivative usage: An empirical analysis, ” Journal of Derivatives, Vol.6, pp.53-64.
Jensen, M. C. and Meckling, W. H. (1976), “Theory of firm: Managerial behavior,agency cost, and ownership structure, ” Journal of Financial Economics, Vol.3, pp.305-360.
Jin, Y. and Jorion, P. (2006), ” Firm value and hedging: Evidence from U.S. oil and gas producers,” Journal of Finance, Vol. 61, pp.893-919.
Knopf, J. D., Nam, J. and Thornton, J. H. Jr. (2002), “The volatility and price sensitivities of managerial stock option portfolios and corporate hedging,” Journal of Finance, Vol.57, pp. 801-811.
Mayers, D. and Smith, C. W. (1982), “On the corporate demand for insurance,” Journal of Business, Vol.55, pp.281-296.
Mayers, D. and Smith, C. W. (1990), “On the corporate demand for insurance: Evidence from the reinsurance market, ” Journal of Business, Vol.63, pp.19-40.
Mian, S. L. (1996), “Evidence on corporate hedging policy,” Journal of Financial and Quantitative Analysis, Vol.31, pp.419-439.
Myers,S.C. (1977), “The determinants of corporate borrowing,” Journal of Financial Economics, Vol. 5, pp.147-175.
Markar, S. D. and Huffman, S. P.(1997), “ Foreign currency risk management practicesin U.S. multinationals,” Journal of Applied Business Research, Vol. 13, pp.73-86.
Ma, T. (1995), “Additional evidence on the determinants of hedging: The case of Taiwan,” Journal of Financial Studies, Vol.6, pp.49-63.
Miller, M., and Modigliani, F. (1958), “The cost of capital, corporate finance and the theory of investment,” American Economic Review, Vol.53, pp.261-297.
Nance,D.R., Smith, C.W . and Smithson, C.W. (1993), “On the determinants of corporate hedging,” Journal of Finance, Vol.48, pp.267-281.
Nguyen, H., & Robert F.(2003), “On the determinants of derivative usage by Australian companies,” Financial Management, Vol.29, pp.5-30.
Smith,C.,and Stulz, R. (1985), “The determinants of firms’ hedging policies,” Journal of Financial and Quantitative Analysis, Vol. 20, pp.391-405.
Smith, C.W. , Smithson, C.W. and Wilford, D.S. (1990), “Financial engineering: Why hedge? ” in Handbook of Financial Engineering Chap. 5, pp. 126–137, Harper & Row, New York.
Tufano, P. (1996), ”Who manages risk? An empirical examination risk management practices in the gold mining industry,” Journal of Finance, Vol. 26, pp.3-27.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2007-06-29公開。
  • 同意授權瀏覽/列印電子全文服務,於2012-06-29起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信