- 學位論文
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
Macroeconomic Factors, Hedging and Cash Flow at Risk：Evidence in Taiwan Photoelectric Industry
摘要
中文摘要 在世界貿易組織 ( WTO ) 於1995年後，衍生出全球化諸多的問題與影響。由於傳統衡量風險的風險值 ( VaR ) 方法不適用於非金融業，故本論文將風險值的觀念應用於非金融業，以現金流量風險值 ( CFaR ) 模型評估企業的風險，提供企業管理者控管風險的參考依據。 在實證研究中先以逐步迴歸篩選出最佳影響現金流量之總體經濟指標，並使用追蹤資料估計法衡量公司的現金流量。最後，以蒙地卡羅模擬法衡量現金流量風險值。為了證明採行避險措施對於降低營運風險的重要性，並建立兩條現金流量方程式，分別為採行避險措施與未採行避險措施兩種。 實證選取台灣上市之36家光電產業公司，總樣本期間為2001年第3季至2007 年第3季，其中 2001年第3季至2006 年第3季為樣本內資料，共21筆季資料，樣本外預測期間為2006 年第 4 季至 2007年第 3 季。 實證結果顯示，72% 的光電產業樣本公司以考量避險策略的現金流量模型其預測能力較佳，支持公司採行避險措施，對於降低現金流量風險是重要的。
並列摘要
From World Trade Organization ( WTO ) was promoted in 1995, derived from many question and influence with the impact of globalization. Since the traditional method of ponder risk didn’t adapt to non-financial companies, and use cash flow at risk ( CFaR ) model to estimate company’s operating risks. From the estimated CFaR, the administrators of enterprise can learn about how to manage risks. This research first adopts stepwise regression to find out the appropriate economic indices influencing the cash flow, then using Panel Data estimation to estimate the cash flow of company. Finally, using Monte Carol simulation to estimate CFaR. To prove the importance of adopting hedging to avoid some operating risk, and construct two cash flow equations, that is with hedging program and without hedging program. In empirical study, this research selects 36 listed photoelectric companies in Taiwan Stock Exchange Market. Sample period spans from the third quarter in 2001 to the third quarter in 2007. From the third quarter in 2001 to the third quarter in 2006 is in-sample period, the reminder is out-of-sample period. The empirical result shows that about 72% of the photoelectric companies are suitable for estimate with the model that consider hedging strategy have better forecasting.