關於衍生性金融商品之研究,國內外有相當多的探討,然而,過去國內可能由於資料不易取得,因此對於衍生性金融商品之研究大多著墨於公司特性此議題。隨著三十四號公報適用避險會計之後,企業關於衍生性金融商品之資料更為詳盡及準確。因此,本研究擬探討國內企業使用衍生性金融商品之成效為何?是否操作程度愈高就愈能夠幫助公司提高價值?另外,不同產業間之操作績效是否具有差異性,亦為本研究主要探討目標。 由於三十四號公報對於避險會計有明確的規範,故本研究從開始適用三十四號公報(民國95年之後),作為本研究之研究期間,並將衍生性金融商品區分成匯率型(FX)、利率型(IR)與商品型(CO),並挑選四個較可能同時操作此三類型衍生性金融商品之產業,四個產業分別為鋼鐵、橡膠、油電燃氣與航運業。 本研究使用多元迴歸模型分析,其實證結果顯示,(1)在不區分產業別時,僅由匯率型避險與公司價值間之係數為正,但不具顯著性 (2)在區分產業別時,鋼鐵業操作衍生性金融商品將提升公司價值,惟不具顯著性;另外三個產業則在操作匯率型衍生性金融商品上,對公司價值有提升之作用,惟兩者間仍不具顯著性。 綜合上述實證結果,本研究結果發現,我國公司操作衍生性金融商品對於公司之價值並無顯著提升作用,顯示我國公司操作衍生性金融商品之績效可能不佳。
There have been many foreign and domestic studies on the derivatives. However, as the data of the derivatives in Taiwan were not available in the past, and most of the studies discussed on firm characteristics. After the hedge accounting of SFAS No.34 became effective, the data of the hedge use of derivatives are finally available. For this reason, this study intends to examine the performance of enterprises in Taiwan using the derivatives, and whether the more usage on the derivatives, the higher the firm’s value will be. In addition, this study further examines whether the performance among different industries exist significant variations. As the SFAS No.34 specifies hedge accounting clearly, this study uses the sample period starting from the time that the SFAS No.34 became effective (after 2006). Then, this study divides the usages of derivatives into three different types, foreign exchange rate (FX), interest rate (IR), and commodity price(CO). Moreover, the stduy chooses four industries which use the three types of derivatives simultaneously. The four industries are steel; rubber; oil, gas and electricity; and shipping and transportation. This study uses multiple regression analysis. The empirical results indicates that 1) Without distinguishing industries, the hedging effect of derivatives on firm value is positive, but only in foreign exchange rate derivatives and is not significant. 2) After distinguishing industries, the hedginf effect of derivatives on firm value is positive in the steel industry, but insignificant; the other three industries using the foreign exchange rate derivatives are also associated with higher firm value and again insignificant. To summarize, this study finds that enterprises in Taiwan using the derivatives have little positive effect on their value, suggesting the performance of enterprises in Taiwan using the derivatives is not so significant.
為了持續優化網站功能與使用者體驗,本網站將Cookies分析技術用於網站營運、分析和個人化服務之目的。
若您繼續瀏覽本網站,即表示您同意本網站使用Cookies。