公司價值與避險：台灣電子業之實證－以富邦台灣科技ETFs成份股為例

Firm and Hedging for Companies of Taiwan’s Electronic Industries : Evidence From underlying stocks of Fubon Taiwan Technology ETFs

吳姿蓉(Tzu-Zong Wu)

指導教授 ： 倪衍森

淡江大學/管理學院/管理科學研究所碩士班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00838

摘要

本研究主要探討2003年至2005年間，富邦台灣科技ETFs成份股公司其避險與公司價值的探討。本研究主要分為兩大部分，第一部分為公司避險決策因素的探討，乃利用羅吉斯模型，以匯兌損益之平穩度作為應變數，以財報資訊上之比率作為自變數，探討使用衍生性金融商品避險之好壞，在財務特性上是否有顯著的差異。第二部份為避險與公司價值之關聯性探討，乃利用多元迴歸與Panel Data模型，以Jin and Jorion (2006)於Journal of Finance發表的文章為主要架構，應用公司規模、獲利性、投資成長、接近金融市場及槓桿來分析其與公司價值的關係，其中公司價值以Tobin’s Q衡量。另外，本研究又加入信用評等、固定資產比率、現金流量比率等因素來探討。此外，並採用股價淨值比作為衡量公司價值的績效指標與Tobin’s Q做比較。

研究結果顯示：
一、公司避險決策因素包含外銷比率、負債比率、公司規模與經理人持股比，其中僅外銷比率與公司避險呈現負相關，其餘皆呈現正相關。意即當外銷比率愈低、負債比率愈高、公司規模愈大、經理人持股比愈大，公司愈傾向避險。

二、公司的風險管理會影響公司價值的提升，即有避險的公司其公司價值較高。

三、獲利性愈高、資本支出對總資產比愈高、現金流量比率愈高、信用評等佳者與無發放股利、負債比率較低者其公司價值較高。

關鍵字

避險 ； 公司價值 ； 衍生性金融商品

並列摘要

This study uses a sample of Fubon Taiwan Technology Tracking Fund over the period 2003-2005. The main purposes are to know how firms use derivatives, to explore the relationship between hedging and corporate characteristics, and to understand the determinants for hedging. Some statistical methods are used including Logit regression, Multinomial regression and Panel Data model. The following conclusions are obtained in this study:

1.Hedgers and non-hedgers have some different corporate characteristics. The firm size of hedgers is larger; hedgers face more financial distress, and their liabilities are larger; share holding of managers is also larger; but export ratio is lower.

2.Risk management of firms would influence firm value, and cause firm value increase. It means hedgers have larger firm value.

3.More ROA, more capital expenditures over total assets, more cash flow ratio, and better credit rating cause firm value increase ;if the firm paid dividend and its liability is larger, it got lower firm value.

並列關鍵字

Hedging ； FirmValue ； Derivatives

參考文獻

Ma, T. (1995), “Additional evidence on the determinants of hedging: The case of Taiwan,” Journal of Financial Studies, Vol.6, pp.49-63.

Allayannis, G. and Ofek, E. (2001), “Exchange rate exposure, hedging, and the use of foreign currency derivatived,” Journal of International Money and Finance, Vol.20, pp.273-296.

Allayannis, G. and Weston, J.P. (2001), “The use of foreign currency derivatives and firm market value,” Review of Financial Studies, Vol.14, pp.243-276.

Barton, J. (2001), “Does the use of financial derivatives affect earnings management decisions? ” Accounting Review, Vol.76, pp.1-26.

Bessembinder,H. (1991), “Forward contracts and firm value: Investment incentive and contracting effect,” Journal of Financial and Quantitative Analysis, Vol.26, pp.519-532.