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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22647
Title: | 台灣鋼鐵產業匯率曝險之研究 An Empirical Study of the Foreign Exchange Exposure in Taiwan Iron Industry |
Authors: | Da Cheng 鄭達 |
Advisor: | 陳思寬(Shi-kuan Chen) |
Keyword: | 匯率曝險,現金流量法,鋼鐵產業,匯率曝險決定因子,多項式遞延分配模型, exchange rate exposure,cash flow-based methodology,iron industry,determinants of exchange rate exposure,Polynomial Distributed Lag Model, |
Publication Year : | 2010 |
Degree: | 碩士 |
Abstract: | 過去學者大多以資本市場法衡量公司或整個產業匯率曝險,也就是分析匯率波動與股價報酬變動間的關聯程度,但股價在實務上不一定能完全反映出公司未來價值。因此本研究使用較能反映公司真實價值變化的現金流量法,並以多項式遞延分配模型分解當期與落後期之影響,衡量台灣鋼鐵產業的匯率曝險及探討曝險因子。
本研究之樣本為台灣上市櫃的28家鋼鐵公司,期間為1999年至2008年,針對鋼鐵產業之特性,選取美元、澳幣與韓元,分別就三種不同的面向衡量產業當期與落後期之匯率曝險。然後再利用橫斷面的資料找出可能影響公司匯率曝險的決定因子。 實證結果顯示,以美元、澳幣與韓元三種貨幣分別分析時,匯率曝險顯著的公司佔總樣本比率皆高於68%,代表匯率從上述三個面向皆對台灣鋼鐵產業的獲利產生顯著影響。其中,澳幣的總樣本顯著比例最高,且長、短期之間顯著比率差異極大,樣本中落後期為長期的公司數較多,同時長期的顯著比例亦遠高於落後期為短期的公司,此可反映上游礦商依據相對匯率調整每年一簽之供料合約的現象。 在以現金流量法探討匯率曝險決定因子的分析中發現,公司規模變數之係數在澳幣的迴歸模型中為顯著正相關,而存貨週轉率變數之係數在三種貨幣中,僅在美元呈顯著負相關,營收成長率變數之係數於美元與澳幣的迴歸模型中,皆呈現顯著負相關。最後,速動比率與長期負債佔股東權益比,以三種貨幣檢視之解釋力皆不高。 Most people analyzed the exchange rate exposures of companies by capital market approach. However, the stock price doesn’t reflect a company’s real value. Therefore, we analyzed the exchange rate exposures of companies in Taiwan iron industry by cash flow-based methodology. Further, we also studied the potential determinants of exchange rate exposures under cash flow-based methodology. According to the characteristics of Taiwan iron industry, we examined exchange rate exposures of companies and the potential determinants of exchange rate exposures from three different angles by three kinds of currency, such as U.S. dollar, Australian dollar, and Korean won. Empirical results show that above 68% of the 28 sample companies exhibit significant exchange rate exposures of three kinds of currency. On the other hand, we found that there are three potential determinants, such as “company size”, “inventory turnover”, and “growth rate”, could affect the level of exchange rate exposures. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22647 |
Fulltext Rights: | 未授權 |
Appears in Collections: | 國際企業學系 |
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