摘要
由於各國陸續放棄布列敦森林協定，讓各國家開始走向浮動匯率。另外，全球化經濟腳步加速，使得廠商開始面對匯率波動所造成的影響。過去有關於外匯暴露的研究，大多數的研究方向為利用雙邊匯率及國家貿易加權匯率去探討個別廠商或產業的市場價值是否受外匯波動的影響，其多數結果不具顯著性。 也因為結果不具顯著性，研究學者開始探討不顯著的原因有那些，比例說，廠商的市場價值不僅受匯率影響，同時也會受其它總體經濟因素影響。又或者為在短期下，不易檢驗出顯著的外匯暴露，反而在長期下易檢驗出來，這是因為廠商易規避短期外匯風險。其它不顯著原因分別為外匯暴露是具遞延效果、外匯暴露是具不對稱性…等等。再者，過去學者會再進一步對外匯暴露決定因子進行研究，決定因子例如有外銷比例、廠商使用衍生性金融商品的程度、公司規模、速動比例、公司的成長機會…等等，檢視這些因子與外匯暴露之間的關係。 檢視過去的研究，然而發現，若以產業資料加以檢視，並不易檢驗出外匯暴露顯著性，原因在於產業中的個別廠商暴露情況不齊一，在產業報酬加總的情況下，易相互抵消。因此應以個別廠商為研究對象應為適宜。另外，在匯率的測度上，以雙邊匯率或國家貿易加權匯率來檢驗時，此兩種匯率並無法正確的代表個別廠商真正所面臨的外匯風險。所以本研究承襲過去的探討，以個別廠商貿易情況作為加權匯率的基礎去檢驗個別廠商的外匯暴露情況。另外，以全球投資組合來作為市場報酬的代理變數。依此模型檢驗出台灣上市上櫃公司的外匯暴露情況，其具顯著性的結果比過去的研究都來的大幅增加許多。也代表著本研究的模型可以有效地檢驗出廠商的外匯暴露的情況。
並列摘要
From the breakdown of Bretton Woods system, many researchers begun to study the relationship between foreign exchange rate and firm’s returns. They used foreign currency per US dollar or exchange rate of country trade-weighted to examine exchange rate exposure for individual firm and industries. Unfortunately, the results of most studies were insignificant. Due to the results were insignificant, studies started to realize what reasons for the insignificant results were. Some of studies thought that the return of individual firm was not only affected by foreign exchange rate, but also by other microeconomic effects. Besides, other studies indicate that legged effect, asymmetric effect and the use of financial tool also affect exchange rate exposure be met with limited success. Moreover, passed studies further discuss that the determinants of exchange rate exposure such as the ratio of foreign sales, firm size, speed ratio and leverage etc. They found the positive relationship between the exchange rate exposure of firm value and the ratio of foreign sales or between the exchange rate exposure of firm value and leverage. There was a negative relationship between the exchange rate exposure of firm value and firm size. This paper develops a model of firm valuation to examine exchange rate exposure of 202 Taiwan firms during 1999-2005. In contrast to previous studies, we find that exchange rate fluctuations do affect firm value. More specifically, we find that higher significant exchange rate exposure by using the exchange rate of firm trade-weighted to examine than foreign currency per US dollar or exchange rate of country trade-weighted.