營運、投資與融資現金流量風險值之評估:以台指50成分股為例

Cash Flow at Risk in Operating, Investing and Financing Activities: Evidence from the Companies in Taiwan 50 Index

曾惠萍(Huei-Ping Zeng)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2010年)

https://doi.org/10.6840/cycu201000298

摘要

自2006年至2007年，美國房價開始下降，次級房貸危機開始蔓延全世界，而次級房貸問題在2007年的第三季最明顯，在2007年至2008年整整兩年間發生環球金融危機。全球非金融企業所面臨的不確定因素及風險種類增加，故風險大幅提升，企業需要更多的現金來因應未預期風險。有鑑於此，企業現金流量風險值的重要性不容忽視。在全球經濟環境不佳的時期，企業須要有足夠的現金流量以維持其正常營運，所以現金流量風險值衡量對企業的經營相當重要，而風險值不僅能提供財務報表使用者有關個體在特定時間下，持有部位所曝露的市場風險，對企業的管理當局而言，風險值還能使企業正視其未來因市場的波動可能造成企業價值的減損，進而促其採取適當之避險策略以降低可能的鉅額損失。
現金流量表中包含了三大活動，分別為營運活動(operating activitives)、投資活動(investing activites)與融資活動(financing activities)，傳統現金流量風險值之計算多以現金流量表三大現金活動的總金額做為衡量風險之基準，但實際上不同的總體經濟活動對於三大現金活動的風險影響程度不同。因此企業對於現金流量之風險值之控管時，應分別針對三種現金流量制定不同之公司政策。本文欲以三大活動在不同總體經濟指標下，對營運活動、投資活動、融資活動的影響程度不同，來說明現金流量風險之衡量不可忽視三大現金活動。
現金流量三大活動在性質上本不同，加上投資活動為現金流出，而其它三項現金流量為現金流入，因此，四種現金流量活動的風險值正負號應不相同，風險值跟總體經濟風險因子來源應不相同，所以在估計企業之現金流量風險值時，不可將現金流量三大現金活動併在一起估計現金流量風險值，應分別計算現金流量三大活動的各別風險值。此外，在包含金融海嘯與不包含金融海嘯的兩段樣本期間下，其風險因子來源應不相同，且樣本外之預測能力也不相同。

關鍵字

風險值 ； 現金流量風險值 ； 蒙地卡羅模擬法 ； 追蹤資料估計法

並列摘要

U.S. house prices started to decline and the sub-prime mortgage crisis began to spread around the world from 2006 to 2007. The sub-prime mortgage problem was obviously in the third quarter of 2007 and the global financial crisis occurred from 2007 to 2008. Global non-financial enterprises have been faced the increasing uncertainty and different risk sourses, so enterprises need more cash for unexpected risk. In view of this, the cash flow at risk of enterprise has become more important than past, so enterprises can’t ignore the importance of cash flow at risk. In a period of poor global economic environment, businesses must have sufficient cash flow to maintain its normal operating, so it is important for enterprises to measure cash flow at risk for enterprises’ operation. Value at risk is not only to provide financial statement users to obvious how companies’ cash flow exposed to market risk at a specific time. It also provides a signal for the management of enterprises to take appropriate hedge strategies to aviod cash flow fluctuations by the market in the future. When enterprises can control cash flow efficiently, enterprises can reduce huge unexpected losses.

Statement of cash flow includes three major activities that are operating activities, investing activites and financing activities. The traditional calculation of cash flow at risk use the total amount of three kind cash flow activities as a benchmark to measure, but the overall economic activities will influence three kind cash flow activites with different degrees. Therefore, when enterprise want to control cash flow at risk should aim operating, investing and financing activities to develope different company policies. This article wants to prove the three kinds cash flow activities influenced by different economic risk factors with different degrees and show that enterprises can’t ignore the three kind cash flow activities in measure cash flow at risk.

Three major cash flow activities are different in essentially, the investing activities is cash outflow, operating and financing are cash inflow activities. Therefore, operating, investing and financing activities will have different sign in cash flow at risk. Exception to three kind cash flow activities have different cash flow at risk, it also have different economic risk factors, so when estimate enterpieses cash flow at risk should separate statement of cash flow into operating, investing and financing activities. In additional, this research use two samples which include the financial tsunami and without financial tsunami during the financial crisis, two samples will have different risk factors and out of sample forecasting power.

並列關鍵字

Monte Carlo simulation ； panel data estimation ； cash flow at risk ； value at risk

參考文獻

黃佩純(2007)，「總體因素與現金流量風險值-台灣半導體產業之實證分析」，中原大學國際貿易學系研究所碩士論文。

莊承翰(2008)，「市場風險因子與現金流量風險值-臺灣50指數成份股非金融企業之實證研究」，中原大學國際貿易學系研究所碩士論文。

黃永昇(2008)，「現金流量風險值之估計-Linear、STAR與STARX之比較分析」，中原大學國際貿易學系研究所碩士論文。

艾意婷(2008)，「總體經濟因素、避險措施與現金流量風險值-台灣光電產業之實證分析」，中原大學國際貿易學系研究所碩士論文。

潘聖潔、黃永昇、吳博欽(2011)，現金流量風險值之估計，管理與系統，第18卷第2期。