台灣上市公司之公司特質及財務健全度對其操作衍生性金融商品的影響

Impacts of Corporate Characteristics and Financial Robustness on Derivative Transactions for Listed Companies of Taiwan

郭怡君(Yi-Chun Kuo)

指導教授 ： 劉曦敏

國立臺北大學/商學院/國際財務金融碩士在職專班/碩士(2009年)

摘要

2008年美國華爾街所引發的金融海嘯，讓世人再一次體認到企業的風險控管與財務健全的重要性，而衍生性金融商品的操作與此二者均有關聯。本研究因此擬探討台灣上市公司之公司特質及財務健全度對其操作衍生性金融商品的影響。我們首先以Laitinen and Laitinen（1998）的現金管理模型，檢視本文依據七種標準來區別186家樣本公司財務健全度的適當性。其次，簡述這些公司使用衍生性金融商品之情形和基本資料。最後，使用Probit模型實證分析公司特質、財務危機、投資機會及避險替代工具等類別的變數對企業操作衍生性金融商品的影響。

本文主要的發現如下。第一，財務健全的公司，具有風險意識，會為了降低企業的營業風險而進行必要的避險措施；而財務危機高的公司，其流動性較差，約當現金較低，故會減少以衍生性金融商品進行避險。第二，企業使用的衍生性工具仍以遠期契約最為普遍，尤其在這次金融海嘯之後。第三，有些公司，如超豐、川湖、奇偶、飛捷、陞泰、威達電、新日興等，並未使用衍生性金融商品，亦未面臨財務危機，且其規模大小適中，頗值得投資人留意。

關鍵字

衍生性金融商品 ； 避險 ； 公司特質 ； Probit模型 ； 財務健全度

並列摘要

The financial tsunami of Wall Street occurred in 2008 has made investors realize again the importance of companies’ risk control and financial robustness. And companies’ usages of financial derivatives are affected by their financial risk conditions. Thus, this study tries to investigate the impacts of corporate characteristics and financial robustness on derivative transactions for listed companies of Taiwan. This research first employs Laitinen & Laitinen’s (1998) cash management model to examine properness of our using 7 criteria to judge 186 sample companies’ financial robustness. Then, derivative operations and basic information of the sample companies are briefly described. Finally, Probit models are adopted to empirically inspect the influences of factors belonging to groups of corporate characteristics, financial risks, investment opportunities, and hedging alternatives on companies’ derivative operations.

The major findings of this study are as follows. First, financial robust companies will use derivatives appropriately to hedge their risks, while companies facing financial crises use fewer derivatives due to the lack of liquidity and cash flow. Second, the most commonly used derivatives are forward contracts, especially after the 2007-2008 financial tsunami. Third, some medium-size companies in our sample face no financial risk, and do not use derivatives at all. They are worthy targets of investors.

並列關鍵字

Derivatives ； Hedging ； Corporate Characteristics ； Probit Model ； Financial

參考文獻

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