台灣上市公司匯率風險與避險因子

Abstract

1997年7月發生的東南亞金融風暴，喚醒了國人對於匯率風險的重視，因此本文研究匯率對公司報酬的影響及影響風險暴露的因子，以了解風險對於公司報酬的重要性。以1998年1月至2003年12月為研究期間，針對191家出口比例超過10%之上市公司，進行實證分析。結果如下： ㄧ、利用Jorion(1990)提出的風險模型，估計風險暴露，本研究發現，企業風險暴露會隨著時間長短不同，無論在對稱情況或是風險暴露方向，均有顯著不同，因此公司長短期面對不同的匯率風險。 二、延續He & Ng(1998)的匯率影響因子模型，找出影響台灣上市公司影響匯率風險的因子，研究發現在短期的風險暴露因子，帳面對市價比、出口比例、衍生性商品使用比例、負債比為顯著因子，而長期的風險暴露因子為：帳面對市價比、出口比例、負債比、公司規模。

Abstract The Asia Financial crisis that led to great exchange rate change aroused people’s awareness towards the importance of exchange-rate risk exposure. In this paper, by utilizing the sample with firms whose foreign sales ratio exceed 10% of total sales during the period of January, 2004 to December, 2003, we have ascertained the exchange-rate risk exposure of stock return and the determinates of the exchange-rate risk exposure. The results of this research are as follow: 1. We estimated the exchange-rate risk exposure by the Jorion’s (2000) model. The results indicated that the exchange-rate risk exposure varies with the length of time period. In addition, the exchange-rate risk exposure is significantly different in both symmetric model and the sign of exchange-rate risk exposure. It is concluded that corporate will face different exchange-rate risk exposure in short term and long term. 2. We extended the model presented by He & Ng (1998) and used the extended model to find the determinates of exchange-rate risk exposure. In short term, book to market value, foreign sales ratio, foreign currency derivatives ratio, and debt ratio are significant factors. Whereas, in the long term, book to market value, foreign sales ratio, debt ratio, corporate size are significant factors.