匯率風險管理之議題研究

Corporate Finance Issues on Exchange Rate Risk Management

張鳳逸(Feng-Yi Chang)

指導教授 ： 辛敬文 ； 夏侯欣榮

元智大學/管理學院/管理研究所/博士(2008年)

摘要

本論文主要在探討企業匯率風險管理的相關議題，分為二個部分。
第一個部分探討企業在財務避險及盈餘管理上的運用，是否可緩和匯率變動對公司股價報酬的影響。以S&P 500非財務公司為樣本，實證結果顯示，外匯衍生性金融商品及盈餘管理均可顯著的降低企業的匯率暴露 (Exchange Rate Exposure)，我們也發現當缺乏適當的外匯避險工具時，盈餘管理扮演著重要角色。
第二個部分進一步分析運用財務避險及盈餘管理對公司價值的影響，實證結果顯示外匯衍生性金融商品的使用可以顯著的增加公司價值，其避險溢酬約為11%。而盈餘管理可否增加公司價值則取決於公司規模，僅規模相對較小的公司能透過盈餘管理增加企業價值。

關鍵字

匯率風險 ； 財務避險 ； 盈餘管理

並列摘要

This study contains two essays about exchange rate risk management.
Essay 1 investigates whether the employment of financial hedging (real actions) and earnings management (artificial techniques) can mitigate firm-specific exchange rate exposure. Given the reality that investors are concerned with disclosed earnings, we hypothesize that earnings management will also lower exchange rate exposure as does hedging with foreign currency derivatives. Using a sample of S&P 500 non-financial firms, we find that both foreign currency derivatives and earnings management actions, especially those exercised for income smoothing and small-loss avoidance, significantly reduce firm-specific exchange rate exposure. We also provide evidence that earnings management plays an important role when the availability of appropriate currency derivative instruments is limited.
Essay 2 compares the potential impact of foreign currency derivative (FCD) usage and earnings management (EM) on firm value. Using a sample of S&P 500 non-financial firms from 2001 to 2003, we demonstrate that there is a significantly positive impact of FCD usage on firm market value. The premium from hedging is about 11% of firm value. However, whether earnings management adds value depends on firm size.

並列關鍵字

exchange rate exposure ； financial hedging ； earnings management

參考文獻

Barton, J. (2001), ‘Does the use of financial derivatives affect earnings management decisions?’, The Accounting Review, Vol. 76 (1), pp. 1–26.

Aabo, T. (2006), ‘The importance of corporate foreign debt in managing exchange rate exposures in non-financial companies’, European Financial Management, Vol. 12, pp. 633–649.

Adler, M., and B. Dumas (1984), ‘Exposure to Currency Risk: Definition and Measurement’, Financial Management, Vol. 13, pp. 41-50.

Bartov, E. and G.M. Bodnar (1994), ‘Firm Valuation, Earnings Expectations, and the Exchange-rate Exposure Effect’, Journal of Finance, Vol. 49, pp. 1755-85.

Bodnar, G.M. and M. Wong (2003), ‘Estimating Exchange Rate Exposures: Issues in Model Structure’, Financial Management, Vol. 32, pp. 35-67.