公司使用衍生性商品對外匯曝險的影響

The Impact of Derivatives on Firm Risk

林俊成(Chun Cheng Lin)

指導教授 ： 陳達新

國立臺北大學/商學院/企業管理學系/碩士(2010年)

摘要

民國95年34號公報規定衍生性商品的認列，從過去的「表外認列」轉為「表內認列」，在此公報影響下，投資人能依據公司財報數據，來觀察企業詳實衍生性操作部位及其資產價值性。因為會計公報的實施，使得企業財務報表更加完善及透明化，使得本研究可以站在客觀角度，觀察台灣企業操作衍生性商品績效。而台灣大多企業操作衍生商品是為了規避匯率波動造成的外匯風險，而匯率波動又會導致公司股價變動，進而影響公司價值。
因此為了解公司使用衍生性商品對公司價值的影響，故採以Jorion (1991)提出兩階段市場模型作為研究模型最能搭配其研究目的。首先樣本期間為2006年1月到2008年12月，挑選出36家研究樣本。接著進行第一階段篩選有外匯曝險公司；第二階階段，改良就有模型，新加入公司治理股權結構變動，對外匯曝險的影響。最後實證發現企業使用衍生性商品可以有效控制外匯曝險，且股權結構(經理人持股比例、董監事持股比例、大股東持股比例)可以有效反映出外匯風險的變化。

關鍵字

34號公報 ； 衍生性商品 ； 外匯曝險 ； 股權結構

並列摘要

Financial Accounting No. 34 was announced in the 95th year of the Republic Era, and it made some regulations on derivatives operations. For example, derivatives recognized was changed from the past " recognized outside the balance sheet " to now "recognized within the balance sheet ". Under the influence, investors can use balance sheet data to observe the companies of derivatives operations and the value of assets. For the sake, we want to study the Taiwan companies’ performance of derivatives operations. Foreign exchange fluctuations led to stock price which would change affect the value of the company, most Taiwan companies use derivatives to avoid foreign exchange risk. We use Jorion (1991) model to investigate the relationship between the use of currency derivatives, and foreign exchange rate exposure. In the first stage, model is used to estimate the foreign exchange rate exposure coefficients for the individual firms in the sample. And it selected 28 companies have significant foreign exchange exposure. In the second stage, we added the ownership structure of corporate governance changes on the impact of foreign exchange exposure. The study finds that the companies can control foreign exchange exposure effectively by derivatives operations, and ownership structure can reflect changes of foreign exchange risk.

並列關鍵字

Financial Accounting No. 34 ； derivatives ； foreign exchange risk ； ownership structure

參考文獻

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