企業使用衍生性金融商品避險對其績效之影響：以臺灣上市上櫃公司為例

Abstract

臺灣高度仰賴出口貿易，為了避免產生過高的匯兌損失，臺灣企業經常使用衍生性商品避險。然而，近幾年不少企業對於匯率走勢判斷錯誤，使用過多的避險工具，迫使企業支出不必要的成本，導致績效下降。鑒於上述情形，本論文試圖探討使用衍生性商品避險對於公司績效是否有實質效益。有別於過去支持衍生性商品避險效果的文獻，本論文利用不同的外匯曝險估計方式， 同時使用OLS與2SLS迴歸，觀察2011年至2018年樣本公司使用衍生性商品對於公司績效的影響。此外，本論文將研究期間切成臺幣較強勢與臺幣較弱勢的期間，探討在臺幣強弱的情境下，外匯避險的效果是否有所差異。最後，本論文亦針對外銷收入高於平均的產業進行避險效果分析，並將遠期契約交易金額從衍生性商品的交易金額獨立出來，觀察使用遠期契約對於公司績效的影響。本論文的研究結果顯示公司無論使用衍生性商品或遠期契約避險，皆無法顯著提高公司績效，而在臺幣較弱勢的期間，高外匯曝險公司使用衍生性商品不僅無法顯著提高公司績效，反而有顯著降低衍生性商品對公司績效影響的現象。

Taiwan's economy is highly export-oriented. Companies in Taiwan usually use currency derivatives for hedging. However, in recent years, many companies have made incorrect judgement on exchange rate movements and used excessive hedging tools. Specially, companies spend unnecessary cost of hedging, which leads to a decline in firm value. Given the circumstances, this dissertation seeks to analyze whether using currency derivatives increases firm value by applying different model in a firm’s exchange rate exposure estimate. This dissertation uses OLS and 2SLS regressions to analyze the relationship between the usage of currency derivatives and firm value during 2011~2018. This dissertation further divides the sample period into higher exchange rate period and lower exchange rate period and focuses on the hedging effect of industries with high export sales. The empirical results suggest that using currency derivatives and forward contracts are unable to increase firm value. In addition, during the higher exchange rate period, there is a strong negative relationship between the usage of currency derivatives and firm value.