匯率風險與衍生性金融商品使用對公司價值的影響

The Effects of Currency Exposure and Derivatives Employed on Firm Value

王宜敏(Imin Wang)

指導教授 ： 倪衍森

淡江大學/商管學院/管理科學學系企業經營碩士在職專班/碩士(2020年)

https://doi.org/10.6846/TKU.2020.00810

摘要

本研究以2014年至2018年共計5年資料為樣本，來探討匯兌損益公司使用衍生性金融商品與公司價值的關係，並得到以下的結果，其一、外幣匯兌損益較佳的企業，能增加財報中的淨利潤率，但對公司價值及績效沒有顯著影響，推論企業在短期性的匯率避險有利於淨利潤率提升，但公司價值仍需看長期營運績效。其二、匯率影響數較高對公司價值無顯著影響，但對於公司財報績效有正面影響，此乃於由匯率風險管理好的企業其資產利用效率也較高，有助於企業的整體運營效益，但匯率風險不影響投資人對企業價值評估。其三、公司持有衍生性金融商品對公司價值呈負向關係，企業不當使用衍生性金融商品或進行以非避險為目的衍生性商品，可能造成企業陷入虧損，公司具有投機性的財務管理，極有可能導致公司獲利下降，進而降低公司價值，此實證結果與過去相關文獻上公司持有衍生性金融商品避險提升公司價值的實證結果有所不同。

關鍵字

公司價值 ； 公司績效 ； 避險策略 ； 衍生性金融商品

並列摘要

By employing the firms listed on TWSE over the period 2014-2018 as our sample, we explore whether the firm with realized and unrealized currency exposure as well as derivative employed would affect firm value, and then derive the following important findings. First, we reveal that the firms with realized currency gain might not significantly affect firm value in spite of net profit ratio enhanced. We infer that currency gain might raise net profit ratio, but firm value enhancement would depended on the long-term firm performance. Second, we disclose that the firms with unrealized currency gain might not significantly affect firm value although these firms have better financial performance on their financial reports. We deduce that unrealized currency gain might reflect these firms with better asset management, thereby enhancing their firm performance, but the above evidence might not affect the firm value evaluation form investors’ perspective. Third, we show that the firms with derivative employed would negatively affect their firm value. We infer that the firms might inappropriately employ derivatives such as speculative concern instead of hedging concern, which might not be beneficial for firm value enhanced. The above result might be different from that the firms employing derivatives with hedging concerns might raise firm value shown in the relevant literature.

並列關鍵字

Derivatives, hedging ； Firm Value ； Firm performance

參考文獻

Aktas, N., Croci, E., & Petmezas, D. (2015). Is working capital management value-enhancing? Evidence from firm performance and investments. Journal of Corporate Finance, 30, 98-113.

Allayannis, G., Ihrig, J., & Weston, J. P. (2001). Exchange-rate hedging: Financial versus operational strategies. American Economic Review, 91(2), 391-395.

Allayannis, G., Lel, U., & Miller, D. P. (2012). The use of foreign currency derivatives, corporate governance, and firm value around the world. Journal of International Economics, 87(1), 65-79.

Bae, S. C., Kim, H. S., & Kwon, T. H. (2018). Currency derivatives for hedging: New evidence on determinants, firm risk, and performance. Journal of Futures Markets, 38(4), 446-467.

Bakke, T. E., Mahmudi, H., Fernando, C. S., & Salas, J. M. (2016). The causal effect of option pay on corporate risk management. Journal of Financial Economics, 120(3), 623-643.