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系統識別號 U0026-0812200914115431
論文名稱(中文) 台灣上市電子業公司價值受匯率暴露程度與決定因子
論文名稱(英文) Foreign Exchange Exposure and Determinants of Exposure in Taiwan Electronic Industry
校院名稱 成功大學
系所名稱(中) 企業管理學系碩博士班
系所名稱(英) Department of Business Administration
學年度 96
學期 2
出版年 97
研究生(中文) 張文勇
研究生(英文) Wen-Yung Chang
學號 R4695140
學位類別 碩士
語文別 中文
論文頁數 73頁
口試委員 口試委員-江明憲
口試委員-張紹基
指導教授-許永明
口試委員-康信鴻
中文關鍵字 匯率暴露  EVA  利率  通貨膨脹率  毛利率 
英文關鍵字 gross profit margin rate  Inflation rate  Interest rate  Exchange rate exposure  EVA (Economic Value Added) 
學科別分類
中文摘要 隨著布列敦森林制度瓦解、台灣進口替代政策及台灣高度的貿易依存度,都在顯示著匯率波動對於台灣企業體的影響深遠,進而造就了「中小企業王國」之美譽與創造台灣的經濟奇蹟。雖著時代的進步與科學園區的建立,使得出口比例最高的產業由中小企業轉變為現今的大企業中的電子工業,然而匯率對電子業所可能產生之風險實為本研究所欲加以實證與探究。。
在衡量匯率暴露上,過去以往使用股價報酬作為公司價值的變數,時值公司價值的衡量指標進步,且台灣的金融市場非為一個有效率市場,故本研究藉由EVA(Economic Value Added)較為準確之衡量公司價值之方式取代過去以股價報酬的衡量方式,並針對EVA探究出影響EVA之總體經濟變數-利率-作為控制變數,進而推演得出之匯率暴露值,再加以探究影響匯率暴露之決定因子。
在決定因子部分,過去文獻所探討之部分在於公司特性因子或避險動機因子,於公司特性因子方面,本研究針對台灣電子業以代工為主的架構下,加入毛利率作為公司特性因子,探究出毛利率將影響到公司的衍生性金融商品的使用動機,並加以實證。然實際影響到電子業暴露在匯率風險底下之因素,除了個體因素外,尚須加入總體經濟變數,而本研究根據影響匯率的因素中,擷取通貨膨脹率作為總體經濟部分之決定因子,乃在於通貨膨脹率會間接影響到利率進而在購買力評價理論下影響匯率,進而造成電子業暴露在匯率風險底下。
根據過去文獻的推論,得出本研究之匯率暴露衡量模型與決定因子之變數選取及估計式,進而進行實證分析,確實以EVA變化率取代過去股價報酬率作為公司價值變數,有較顯著之結果。而在總體經濟之決定因子部分,實證中也得出國內通貨膨脹率確實會對公司價值造成匯率風險之暴露。然國外總體經濟變數部分,雖無法得出顯著結果,本研究也做了相關推論說明。
英文摘要 Over the Bretton Wood System abolished, the Taiwan import substitution policy and highly foreign trade dependence of Taiwan, the exchange rate fluctuation has a profound effect on Taiwan enterprises. Therefore, Taiwan creates dramatic economical miracles with the fine reputation “The Kingdom of Small and Medium Enterprises”. As time goes by and the science park established, the electronics industry of large enterprises occupy the highest export proportion which replace the small and medium enterprises. Accordingly, this paper tries to analyze the exchange rate risk on the electronics industry of Taiwan.
By measuring the exchange rate exposure, we divide the differential volume of company value with the differential volume of exchange rate. The stock return is the common way to evaluate the company value. This paper tries to replace stock return with EVA (Economic Value Added) base on two main reasons: the progressive measurement of company value, the financial market in Taiwan is not an efficient market. Besides, this study let interest rate to be the control variable which is the macroeconomic variable affects EVA. Then this paper estimates the value of exchange rate exposure, and tries to figure out the determinants of the exchange rate exposure.
The determinants of the exchange rate exposure are focus on the company characteristic factors or hedging factors in the past literatures. Base on the nature of Taiwan electronics industry, Original Equipment Manufacturer, this paper add gross profit margin rate to be one of the company characteristic factors. Then, this paper does an empirical analysis and indicates that the motivation of using derivatives is affected by gross profit margin rate. However, the factors which influence electronics industry exchange rate exposure are not only microeconomic factors, but also macroeconomic ones. The inflation ratio let the electronics industry expose to the exchange rate risk by swaying interest rate indirectly, affecting exchange rate under the purchasing power parity theory. Thus, according to the affecting exchange rate factors, this paper extracts inflation ratio to be the determinants of macroeconomic.
Base on the history literatures, this paper develops exchange rate measurement model and the determinants estimation model to do the empirical analysis. This study find out there are more significant results by replacing the stock return with the differential volume of EVA. Within the macroeconomic determinants, the empirical analysis shows the domestic inflation rate does let the company value expose to exchange rate risk. Besides, this paper will discuss the insignificant foreign macroeconomic variables finally.
論文目次 摘要------------------------------------------------------------------------------------------------------I
Abstract-------------------------------------------------------------------------------------------------II
致謝----------------------------------------------------------------------------------------------------III
目錄----------------------------------------------------------------------------------------------------IV
圖目錄-------------------------------------------------------------------------------------------------VI
表目錄------------------------------------------------------------------------------------------------VII

第一章 緒論------------------------------------------------------------------------------------------1
第一節 研究背景------------------------------------------------------------------------------1
第二節 研究動機----------------------------------------------------------------------------- 5
第三節 研究目的----------------------------------------------------------------------------- 7
第四節 研究架構----------------------------------------------------------------------------- 8
第二章 文獻探討------------------------------------------------------------------------------------9
第一節 匯率暴露的定義和分類----------------------------------------------------------10
第二節 匯率暴露之衡量-------------------------------------------------------------------15
第三節 價值基礎管理----------------------------------------------------------------------20
第四節 匯率暴露衡量方法的改進-------------------------------------------------------23
第五節 匯率暴露決定因子----------------------------------------------------------------25
第三章 研究設計----------------------------------------------------------------------------------33
第一節 研究假說----------------------------------------------------------------------------34
第二節 研究方法和模型-------------------------------------------------------------------41
第三節 樣本選取和變數定義-------------------------------------------------------------44
第四節 資料來源----------------------------------------------------------------------------49
第四章 實證結果----------------------------------------------------------------------------------50
第一節 公司價值之匯率暴露估計-------------------------------------------------------50
第二節 匯率暴露決定因子之研究-------------------------------------------------------60
第五章 結論與建議-------------------------------------------------------------------------------66
第一節 結論----------------------------------------------------------------------------------66
第二節 建議----------------------------------------------------------------------------------68
參考文獻----------------------------------------------------------------------------------------------70
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