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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 陳思寬(Shi-kuan Chen) | |
dc.contributor.author | Da Cheng | en |
dc.contributor.author | 鄭達 | zh_TW |
dc.date.accessioned | 2021-06-08T04:23:23Z | - |
dc.date.copyright | 2010-07-02 | |
dc.date.issued | 2010 | |
dc.date.submitted | 2010-06-28 | |
dc.identifier.citation | 一、 中文部分
朱延智 (2006),產業分析,五南圖書,p69-93。 呂亞諭 (2008),「我國上市櫃電子業之長短期外匯風險研究–以網路通訊類股為 例」,國立中央大學財務金融學系碩士在職專班碩士論文。 林育志與郭照榮 (2008),「應用PDL模型探討匯率變動與公司價值關係」,經濟與 管理論叢,4,2,145-162。 陳櫻丰 (2006),「台灣上市電子業公司外匯風險暴露之研究」,世新大學管理學院 財務金融學系碩士論文。 劉威孝 (2009),「台灣塑膠產業匯率曝險之研究」,國立台灣大學國際企業研究所 碩士論文。 賴寶月 (2004),「台灣鋼鐵產業匯率暴露和決定因子之研究」,大同大學事業經營 研究所碩士論文。 二、 英文部分 Adler, M., Dumas, B., 1984. Exposure to currency risk: definition and measurement. Financial Management 13 (2), 41–50. Almon, S., 1965. The distributed lag between capital appropriations and expenditures. Econometrica 33, 178–196. Amihud Y., 1994. Evidence on Exchange Rates and Valuation of Equity Shares. Amihud Y. and R.M. Levich [eds.] Exchange Rates and Corporate Performance, New York: Irwin Professional Publishing. Bartov, E., Bodnar, G.M., 1994. Firm valuation, earnings expectations, and the exchange rate exposure effect. Journal of Finance 44 (5), 1755–1785. Bartram, S.M., 2007. Corporate cash flow and stock price exposures to foreign exchange rate risk. Journal of Coporate Finance 13, 981-994. Bodnar, G.M., Gentry, W.M., 1993. Exchange-rate exposure and industry characteristics: evidence from Canada, Japan and the U.S. Journal of International Money and Finance 12, 29–45. Chamberlain, S., Howe, J.S., Popper, H., 1997. The exchange rate exposure of US and Japanese banking institutions. Journal of Banking and Finance 21, 871–892. Choi, J.J., Prasad, A.M., 1995. Exchange risk sensitivity and its determinants: A firm and industry analysis of US multinationals. Financial Management 24, 77–88. Chow, E.H., Lee, W.Y., Solt, M.E., 1997a. The exchange-rate risk exposure of asset returns. Journal of Business 70, 105–123. Chow, E.H., Lee, W.Y., Solt, M.E., 1997b. The economic exposure of US multinational firms. Journal of Financial Research 20, 191–210. Donnelly, R., Sheehy,E, 1996. The Share Price Reaction of U.K. Expoters to Exchange Rate Movements: An Empirical Study. Journal of InternationalBusiness Studies, 157-165. He, J., Ng, L.K., 1998. The foreign exchange exposure of Japanese multinational corporations. Journal of Finance 53 (2), 733–753. Jorion, P., 1990. The exchange-rate exposure of U.S. multinationals. Journal of Business 63, 331–345. Levi, M., 1994. Evidence on Exchange Rates and Valuation of Firms. Amihud, Y., Levich, R.M.(Eds.), Exchange Rates and Corporate Performance. Irwin Professional ,New York, pp.37-48. Li, D., Moshirian, F., Wee, T., Wu, E., 2009. Foreign exchange exposure: Evidence from the U.S. insurance industry. Journal of International Finance Market, Institution and Money 19, 306-320. Marston, R.C., 2001. The Effects of Industry Structure on Economic Exposure. Journal of International Money and Finance 20, 149-164. Martin, A.D., Mauer, L.J., 2003. Exchange rate exposures of U.S. banks: a cash flow-based methodology. Journal of Banking and Finance 27, 851–865. Shapiro, A. C., 2006. Multinational Financial Management, eighth edition, John Wiley &Sons, Inc. | |
dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/22647 | - |
dc.description.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。 | zh_TW |
dc.description.abstract | 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. | en |
dc.description.provenance | Made available in DSpace on 2021-06-08T04:23:23Z (GMT). No. of bitstreams: 1 ntu-99-R97724076-1.pdf: 767180 bytes, checksum: 462272a42362aa77c967614153966453 (MD5) Previous issue date: 2010 | en |
dc.description.tableofcontents | 口試委員審定書
誌謝 i 摘要 ii Abstract iii 第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 3 第三節 研究架構 4 第二章 理論與文獻回顧 5 第一節 鋼鐵產業介紹 5 第二節 匯率曝險相關文獻 7 第三章 研究方法 14 第一節 研究假設 14 第二節 研究設計與模型 18 第三節 樣本選取與變數定義 21 第四節 資料來源 23 第四章 實證結果與分析 24 第一節 現金流量法估計匯率曝險 24 第二節 匯率曝險決定因子橫斷面分析 32 第五章 結論與建議 38 第一節 結論 38 第二節 研究限制與建議 40 參考文獻 41 | |
dc.language.iso | zh-TW | |
dc.title | 台灣鋼鐵產業匯率曝險之研究 | zh_TW |
dc.title | An Empirical Study of the Foreign Exchange Exposure in Taiwan Iron Industry | en |
dc.type | Thesis | |
dc.date.schoolyear | 98-2 | |
dc.description.degree | 碩士 | |
dc.contributor.oralexamcommittee | 張銘仁,萬哲鈺 | |
dc.subject.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, | zh_TW |
dc.subject.keyword | exchange rate exposure,cash flow-based methodology,iron industry,determinants of exchange rate exposure,Polynomial Distributed Lag Model, | en |
dc.relation.page | 43 | |
dc.rights.note | 未授權 | |
dc.date.accepted | 2010-06-28 | |
dc.contributor.author-college | 管理學院 | zh_TW |
dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
顯示於系所單位: | 國際企業學系 |
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