匯率曝露對企業價值影響-以電子產業為例

The Impact of Exchange Rate on Corporation’s Value- Evidences from Electronics Industry in Taiwan

邱淑芬(SHU-FEN CHIU)

指導教授 ： 李見發 ； 許光華

朝陽科技大學/管理學院/財務金融系/碩士(2009年)

摘要

本研究係探討匯率變動對企業價值之影響，衡量匯率曝露程度在企業經營管理上是一項重要的課題，也是影響公司價值的主要因素。研究對象以台灣上市公司電子業為主，探討1997年亞洲金融風暴與2007年全球金融危機前後期間，企業價值受匯率變動影響的程度，採用傳統線性迴歸模型（Classical Linear Regression Model，簡稱CLRM）及及一般化自我迴歸異質條件變異數模型（Generalized Autoregressive Conditional Heteroskedasticity，簡稱GARCH），分別衡量個別企業匯率曝露程度。本研究並採用緃橫資料迴歸分析法來探討影響匯率曝露決定因子：公司規模、出口比例、速動比率、長期負債比率。
　　實證結果顯示，公司匯率曝露係數為負的居多，表示企業採取完全避險策略，確保企業市場價值不受外匯變動的影響。匯率曝露決定因子中，出口比例愈高的公司有較大匯率曝露，表示公司的國外銷售程度愈高時，其所面對匯率風險愈大。然公司規模、速動比率及長期負債比率對企業的匯率曝露並無顯著相關。

關鍵字

企業價值 ； 匯率曝露 ； 一般化自我迴歸異質條件變異數模型

並列摘要

The purposes of the present study are to analyze the exchange rate exposure of the electronics industry in Taiwan. The extents of measure for the exchange rate exposures play a important role on the enterprise management. The samples are divided into three sub periods with Asian Financial Crisis and Global Financial Crisis. This study intends to measure the exchange rate exposure of electronic by using CLRM and GARCH model. We also use panel data analysis to explore the determinants of exchange rate exposure such as firm size, export ratio, quick ratio, and long-term debt ratio.
The findings of this paper are summarized as follows. On the average, Taiwanese corporations’ stock returns have significant negative economic exposure effects. Namely, the manager of the enterprises adopt fully hedging strategy and ensure that the market value of a corporation is not affected by foreign exchange rate volatility . The higher export ratio of corporation tends to have higher exposure to exchange rate risk. However, firm size, quick ratio, and long-term debt ratio of corporation play little role on the firm’s exchange rate exposure.

並列關鍵字

GARCH ； Exchange Rate Exposures ； Firm’s Value

參考文獻

12. 黃韻禎(2007)，匯率波動對台灣出口的影響。碩士論文，國立政治大學國際貿易研究所。

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