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系統識別號 U0026-0812200915105409
論文名稱(中文) 企業匯率暴露與衍生性金融商品的使用對資訊不對稱的影響
論文名稱(英文) The Impact of Exchange Rate Exposure, Currency Derivative Usage on Information Asymmetric
校院名稱 成功大學
系所名稱(中) 國際企業研究所碩博士班
系所名稱(英) Institute of International Business
學年度 97
學期 2
出版年 98
研究生(中文) 湯蕙嘉
研究生(英文) Hui-chia Tang
學號 r6696110
學位類別 碩士
語文別 英文
論文頁數 49頁
口試委員 指導教授-許永明
口試委員-江明憲
口試委員-康信鴻
口試委員-張紹基
中文關鍵字 資訊不對稱  匯率暴露  衍生性金融商品的使用 
英文關鍵字 exchange rate exposure  derivative usage  information asymmetry 
學科別分類
中文摘要 本研究假設匯率暴露的程度及金融衍生性商品的使用皆可降低公司內部人與外部投資大眾的資訊不對稱,有助於公司在資本市場上更容易慕集資金以利從事各方生產活動,同時使得股票價值提升。1973年終止以釘住匯率為方針的布列敦森林協定(Bretton Woods Agreement),全世界進入浮動匯率的時代,此後匯率波動遍及國家、產業、家計單位。伴隨著金融創新,企業體運用衍生性金融商品來降低匯率暴露。避險除了有實質稅盾效果,可以有效降低公司財務危機,外部投資人更願意投資、減少公司的交易成本,反之,匯率暴露則會影響公司的現金流量和公司價值,降低匯率風險的方法之一是使用衍生性商品,它能提高公司價值並使外部投資人對公司的資訊不對稱降低,最終能幫助公司減少交易成本。

本研究利用美國非財務型公司(S&P 100 Non-financial firms)為樣本,首先,驗證樣本公司的匯率暴露和公司價值的關連性,再進一步實證研究匯率暴露和衍生性金融商品的使用對資訊不對稱的影響,乃過去文獻並未針對匯率暴露與資訊不對稱的關係加以驗證。

與過去文獻的25%顯著程度相比,本文實證發現,2007年的匯率暴露較過去前兩年更為顯著,達到47%的信賴水準。本文再更深入研究何種公司特性會影響避險動機,此乃直接影響匯率暴露的程度。實證結果得知,公司具有高涉入國際貿易活動、高流動性、低槓桿程度、低外部融資成本,會有顯著的匯率暴露,乃因於這類型的公司較不會有避險的誘因所致。最後,針對公司的匯率暴露和衍生性商品影響資訊不對稱的程度進行實證,本文的研究結果與文獻呈一致性的結論,衍生性商品的使用能顯著性地降低公司與外部大眾的資訊不對稱程度,惟本文新引入的變數-匯率暴露,無法顯著性地解釋它和資訊不對稱的關聯,然而兩者關係,如同本文原先所預期般,呈正向關係。

根據研究結果以利公司作為避險管理決策時的參考依據,若公司能善用避險工具以設法降低匯率暴露,則可避免資訊不對稱所產生的種種負面影響,進而達到避險之綜效。
英文摘要 The floating rate system begins in 1973 after the breakdown of Bretton Woods agreement, currency rate fluctuates all over the world. Besides, hedging can eliminate the currency exposure. Derivative usage can maximize a firm’s value by taxes benefits, reduction in costs of financial distress, and managerial risk aversion.

The purpose of this article is to examine the effect of exchange rate exposure and the use of foreign currency derivatives on information asymmetric in a sample of S&P 100 nonfinancial firms for the period 2005 to 2007.

First, we find that about 47% of our sample experienced significant exchange rate exposure effects in 2007. The high level of exchange rate exposure can be explained by the extent of higher foreign sales, higher current ratio, lower debt ratio and higher book-to-market equity value. Therefore, the estimated exposure to exchange rate fluctuations not only varied substantially across companies but also varied across years. Second, we conjecture the derivatives usage is associated with lower information asymmetry. More importantly, we find a positive link between exchange rate exposure and information asymmetry. However, we fail to find a significant correlation between the currency exposure and information asymmetry.

For the managerial implication, exchange rate risk management and hedging can both maximize the firm’s value and raise transparency between firms and investors that can lower capital cost and increase the firm’s reputation.
論文目次 TABLE OF CONTENTS I
INTRODUCTION 1
BACKGROUND 1
PURPOSE 2
LITERATURE REVIEW 6
MEASUREMENT OF INFORMATION ASYMMETRY 6
EXCHANGE RATE EXPOSURE AND INFORMATION ASYMMETRY 7
HEDGING AND INFORMATION ASYMMETRY 7
EXCHANGE RATE EXPOSURE THEORY 8
MODIFY THE MEASUREMENT OF EXCHANGE RATE EXPOSURE 10
INTERNATIONALIZATION INVOLVEMENT OF FIRMS 12
BENEFITS OF HEDGING 14
HEDGING DETERMINANTS 14
METHODOLOGY 21
RESEARCH HYPOTHESES AND CORRESPONDING MODELS 21
Exchange Rate Exposure Model 21
Information Asymmetric Model 26
SAMPLE SELECTION 28
RESULTS 31
DATA DESCRIPTION AND CORRELATION MATRIX FOR THE MODEL OF EXCHANGE RATE EXPOSURE AND INFORMATION ASYMMETRY 33
THE DETERMINANTS OF EXCHANGE RATE EXPOSURE 36
THE DETERMINANTS OF INFORMATION ASYMMETRY 40
CONCLUSIONS 45
REFERENCES 47


LIST OF TABLES
TABLE 1 COMPARISON OF EXCHANGE RATE MEASUREMENT ACROSS SIX EMPIRICAL LITERATURES……………………………………………………………………………13
TABLE 2 CORPORATE HEDGING COMPARISON: EIGHT EMPIRICAL RESULTS………..18
TABLE 3 VARIABLES DESCRIPTION…………………………………………………………….30
TABLE 4 EXCHANGE RATE EXPOSURE COEFFICIENTS, B1, FOR 72 FIRMS WITH YEARS 2005-2007……………………………………………………………………….32
TABLE 5 DESCRIPTIVE STATISTICS FOR THE DETERMINANTS OF EXCHANGE RATE EXPOSURE AND INFORMATIONAL ASYMMETRY………………………………...33
TABLE 6 CORRELATION COEFFICIENT MATRIX MULTIVARIATE SET……………………35
TABLE 7 FIRM CHARACTERISTIC DETERMINANTS OF CURRENCY EXPOSURE………………………………………………………………………………37
TABLE 8 THE EFFECT OF EXCHANGE RATE EXPOSURE AND FINANCIAL DERIVATIVE USAGE ON INFORMATION ASYMMETRY…………………………………………41
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