本研究探討公司使用衍生性商品避險、資訊不對稱與公司價值之間的關係。本研究除了使用虛擬變數代表公司是否使用衍生性商品避險,也利用國內研究比較少使用的避險金額,來衡量公司使用衍生性商品的程度。本研究也是國內首次以I/B/E/S分析師預測盈餘做為資訊不對稱代理變數的研究。在控制了相關變數後,對公司價值較低的公司而言,使用衍生性商品避險,對於分析師減少公司的資訊不對稱,有顯著的影響,然而對公司價值較高的公司而言,此關係並不顯著。而且,只有在公司價值較低的公司,才能發現避險金額與資訊不對稱的負向關係,使用金額愈多,對於改善資訊不對稱愈有顯著的影響,至於公司價值較高的公司,此負向關係並不顯著。
This paper investigates the relationship between a firm's hedging activity and its informational asymmetry, and the sensitivity of this relationship to the firm's value. The study unprecedentedly proposes a measure based on I/B/E/S analysts' earnings forecasts to proxy a firm's informational asymmetry. Furthermore, besides constructing a dummy variable to indicate whether a firm uses derivatives to hedge, we also use the firm's dollar amount of derivatives hedging to capture the intensity of the firm's hedging, which has been rarely adopted in similar research in Taiwan. We find that for low-value firms, those engaging in derivatives hedging have lower informational asymmetry. In contrast, for high-value firms, whether a firm engages in derivatives hedging bears no significant relationship with its degree of informational asymmetry. These results remain qualitatively unchanged when a firm's dollar amount in derivatives hedging is used to measure the firm's hedging activity.
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