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

Market Risk Factors and Cash Flow at Risk - The Empirical Analysis of Taiwan 50 Index Non-Financial Companies

莊承翰(Chen-Han Chuang)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2008年)

https://doi.org/10.6840/CYCU.2008.00067

摘要

在金融市場日趨複雜的影響下，一般企業在金融市場籌資的不確定也跟著上升，導致企業無法掌握市場價格的變化，造成公司財務可能出現問題。有鑑於此，企業在面臨不確定性的因素下，必須以更積極及謹慎的態度管理其經營所面對的風險。本文希望將風險值的概念應用於企業的經營環境中，利用現金流量風險值模型(Cash Flow at Risk，CFaR)，進行企業經營風險評估，以利於風險管理者採行適當的對策之參考。
本文考量4種市場風險因子及其落後期來解釋現金流量，分別為新台幣兌美元匯率、一銀三個月期定期存款利率、領先指標綜合指數及消費者物價指數，並使用四種不同定義現金流量來衡量個別公司現金流量風險值，分別為資本現金流量、權益現金流量、經濟附加價值及自由現金流量，以2000年第4季至2006第三季不包含金融業之臺灣50指數成份股的企業共計27家企業為研究對象，使用四種現金流量方程式估計樣本公司之現金流量風險值。
實證結果顯示，使用逐步迴歸法篩選影響樣本公司現金流量之市場風險因子中，匯率存在相當的顯著效果，其中權益現金流量受當期匯率的影響，其餘三種定義的現金流量皆受到匯率落後期的影響，與Amihud(1994)及Bartov and Bodner(1994)所提出，匯率改變對公司現金流量有長期的影響結果相符的。此外，利率、消費者物價指數及領先指標綜合指數皆存在落後效果。
由RMSE、MAE及Theil’s U三種預測力指標針對四種現金流量模型之預測力進行比較，結果顯示皆以經濟附加價值模型之預測力最佳，若以Theil’s U評估預測績效，則除了光寶科、日月光、矽品、聯強、廣達及寶成等六家企業，以資本現金流量模型為首選外，其餘公司皆以經濟附加價值模型為最佳。

關鍵字

現金流量風險值 ； 經濟附加價值 ； 自由現金流量 ； 資本現金流量 ； 權益現金流量

並列摘要

Because financial markets become more and more complex, the uncertainty for business’s raising funds and operation also increases. It results in the volatility of market price that the business can’t handle and trouble with corporate finance. Consequently, business should manage the risk carefully in facing the factor of uncertainty. This research applies the concept of Value at Risk to measure business’s the cash flow at risk (hereafter, CFaR) and based on the result of CFaR, support some suggestions for manager.
We consider four market risk factors including TWD/USD Exchange Rate, Deposit Rate-3 Month, Composite Leading Index and Consumer Price Index and their lagged terms to explain company’s cash flow. In evaluating cash flow at risk, we use four different definitions to measure cash flow, including capital cash flow, equity cash flow, value-added and free cash flow. The research object is non-financial companies of Taiwan Fifty Index from the 2000.4Q to 2006.3Q. Four cash flow equations are used to estimate the Cash Flow at Risk of sample companies.
After using stepwise regression to select the market risk factors that affect companies’ cash flow, the empirical results show that all equations affected by exchange rate and its lagged terms and this conclusion is consistent with that of Amihud(1994)、Bartov and Bodner(1994). Furthermore, Interest Rate、Composite Leading Index and Consumer Price Index and their lagged terms are all have significant effect on cash flow.
By using RMSE, MAE to evaluate the forecast performance in all cash flow equations, the results show that all companies are more suitable to adopt EVA model to fit cash flow equation and evaluate CFaR. But in using Theil’s U to evaluate forecast performance, LiteOn、ASE、SPIL、Synnex、Quanta Computer and Pou Chen are more suitable to adopt CCF model to fit cash flow equation and the EVA model other companies are the best choice for other companies.
Keyword: Cash Flow at Risk, Economic Value Added, Free Cash Flow, Capital Cash Flow, Equity Cash Flow.

並列關鍵字

Economic Value Added ； Free Cash Flow ； Capital Cash Flow ； Equity Cash Flow ； Cash Flow at Risk

參考文獻

歐進士(1998)，「我國企業研究發展與經營績效關聯性之實證研究」，中山管理評論，357-386。

Bartov, E., and Bodnar, G.M., (1994), “Firm valuation, earnings expectations, and the exchangerate exposure effect,” Journal of Finance, Vol. 49, No.5, pp.1755-85.

Chow, E. and Chen, H., (1998), “The determinants of foreign exchange rate exposure: evidence on Japanese firms,” Pacific-Basin Finance Journal, pp.153-174.

Copeland, T., Koller, T. and Murrin, J. (2005), “Valuation :Measuring and Managing the Value of Companies,” 4th ed., Wiley.

Duffie D. and Pan J., (1997), “An overview of value at risk,” The Journal of Derivatives, pp.7-49.