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。

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.

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

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