我國34號、36號公報之實施對公司操作衍生性商品之影響暨公司操作衍生性商品與公司特質之關聯性

Abstract

本研究主要的研究主題有兩大方向，一為探討我國34號及36號公報之實施對公司操作衍生性金融商品之影響，二為探討公司特質與公司操作衍生性金融商品之關聯性。而後者又可區分成兩部分，第一部分為公司是否操作衍生性金融商品與公司特質之關聯性，第二部分為公司使用衍生性金融商品之程度與公司特質之關聯性。實證結果如下： 在新公報之實施對於公司操作衍生性金融商品的影響方面，新公報實施後，公司使用衍生性金融商品的程度較新公報實施前之使用程度低，顯示在新公報之規範下，公司降低了衍生性金融商品的使用。除此之外，公司有於94年底之前就將衍生性金融商品契約結清，或是減少衍生性金融商品之使用，以避免於95年度適用新公報，而必須將衍生性金融商品調整至公平價值入帳的現象產生。 在公司操作衍生性金融商品和公司特質之關聯性方面，本研究發現公司規模、財務槓桿、利息保障倍數、董事會持股比例、外銷收入比重以及股利發放率皆會影響公司是否使用衍生性金融商品；當公司規模愈大、財務槓桿愈大、利息保障倍數愈低、董事會持股比例愈多、外銷收入比重愈大、股利發放率愈高時，公司愈傾向使用衍生性商品。然而，當本研究再進一步探討公司特質和公司使用衍生性金融商品程度之間的關聯性時，僅有財務槓桿以及股利發放率對公司使用衍生性金融商品的程度有顯著影響；當公司之財務槓桿愈大、股利發放率愈高時，公司使用衍生性金融商品的程度愈大。

This study focuses on two issues: one is “the impacts of SFAS NO. 34 and SFAS NO. 36 on the corporate use of derivatives,” and the other one is “the relationships between corporate characteristics and the use of the derivatives.” The latter one can be separated into two sections. The fist section discusses which corporate characteristics are the determinants of the use of derivatives, and the second section discusses the relationships between the degree of the use of derivatives and the corporate characteristics. The Empirical evidences are as following: In the first issue, I find that the degree of corporate use of derivatives decreases after SFAS NO. 34 and SFAS NO. 36 come into effect. In addition, I find the phenomenon that firms close the derivatives contracts before the end of year 94 to avoid the new rules in year 95, which require entities to recognize all derivatives as assets or liabilities at their fair value on the balance sheet. In the second issue, I find that firm size, financial leverage, interest coverage ratio, managerial ownership, export ratio and dividend payout ratio significantly affect companies’ motivation to use derivatives; when the firm size is larger, financial leverage is higher, interest coverage ratio is lower, managerial ownership is higher, export ratio is higher and dividend payout ratio is higher, companies are more likely to use derivatives. However, only financial leverage and dividend payout ratio significantly affect the degree of the use of derivatives; when the financial leverage is higher and dividend payout ratio is higher, the degree of corporate use of derivatives is larger.