外匯風險下操作避險型衍生性金融商品對企業經營成果之影響

Abstract

涉及跨國經濟活動之企業，其財務風險管理範疇中外匯風險避險策略之有無與執行良莠實為重要，而避險型衍生性金融商品之操作能否為企業降低外匯風險暴露並為企業經營成果帶來正向影響，亦是吾輩關心之議題。本研究以本國上市非金融保險業企業為對象，特以實際數據化之外匯資產及負債淨部位暴險為外匯風險暴露決定因子之一環，主要資料來源為台灣經濟新報資料庫，擷取資料期間乃從 2013年至 2016 年止，由全年操作名目本金與年底覆蓋比率二構面探討於外匯風險下操作避險型衍生性金融商品對企業經營成果之影響，並以追蹤資料模型進行迴歸分析；本研究結論如下： 一、 由避險型衍生性金融商品全年操作名目本金觀察，於有效匯率指數變動、外匯資產及負債淨部位暴險、速動比率、股價淨值比率及研發費用比率等外匯風險暴露決定因子愈大下，增加避險型衍生性金融商品全年名目本金之操作，對企業稅前淨利有著正向顯著影響。 二、 由避險型衍生性金融商品年底覆蓋比率操作觀察，於有效匯率指數變動、外匯資產及負債淨部位暴險、股價淨值比率及研發費用比率等外匯風險暴露決定因子愈大下，過多避險型衍生性金融商品年底覆蓋比率之操作，對企業稅前淨利有著負向顯著影響；惟於負債比率之外匯風險暴露決定因子愈大下，增加避險型衍生性金融商品年底覆蓋比率之操作，對企業稅前淨利有著正向顯著影響。

For companies involved in transnational economic activities, the existence and implementation of foreign currency risk hedging strategies in financial risk management are essential, and whether hedging purpose derivatives can reduce foreign exchange exposure and bring positive results to the business performance is also our concerned topic. This study is aimed at non-financial and insurance listed companies in Taiwan, applying the actual data of the foreign currency asset and liability net exposure as one of the determinants of the foreign exchange exposure. The primary data source is Taiwan Economic Journal Database during 2013 to 2016, examining the inference of hedging purpose derivatives operation on business performance under foreign currency risk explored by whole year notional amount and cover ratio two perspectives, we tested and compared the relationship using panel data regression model.

The results of this study are summarized as follow:

First, examining the hedging purpose derivatives whole year notional amount operation, the effective exchange rate index variance, foreign currency asset and liability net exposure, acid test ratio, price to book ratio and research development expense rate has significant positive association with Pre-Tax Income.

Second, examining hedging purpose derivatives cover ratio operation, the effective exchange rate index variance, foreign currency asset and liability net exposure, price to book ratio and research development expense rate has significant negative association with Pre-Tax Income. But, the liability ratio has significant positive association with Pre-Tax Income.