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    题名: The Impact of Foreign Exchange Fluctuation on Taiwan Listed Firm Strategy and Economic Exposure
    外匯波動對企業策略與經濟風險影響之研究－以台灣為例
    作者: 吳彥臻
    Wu,Jenny Yen-Chen
    贡献者: 譚丹琪
    郭炳伸
    Tan,Danchi
    Kuo,Biing-Shen
    吳彥臻
    Wu,Jenny Yen-Chen
    关键词: 匯率風險曝露
    經濟風險因素分析
    主成份分析
    Foreign Exchange Rate Exposure
    Economic Exposure
    Multiple Currency Model
    Principal Factor Analysis
    日期: 2004
    上传时间: 2009-09-11 17:13:15 (UTC+8)
    摘要: 本篇論文從不同公司策略，以月資料來探討台灣532家上市公司在1999~2004年之公司對匯率風險曝露的敏感度，並以六十個月各上市公司股價報酬率為依變數，與台灣最大十五個貿易夥伴的匯率資料為自變數橫斷面資料，進行匯率風險對股價報酬關係之檢定。與之前實證研究不同之處是，本研究是利用多種貨幣模型來解釋各股價報酬，非只有一個貨幣當作唯一的指標。實證結果發現尚未加進大盤指數為控制變數時，只有0.93%受匯率風險暴露，反之，加進大盤指數之後，受到匯率風險的公司增加到88.2%。以公司策略及產業角度來看，結果顯示當公司外銷比例越大，此公司承受的經濟風險會越高。
    The purpose of this empirical study is to investigate sensitivity of company values to fluctuation in foreign exchange rates. Distinguishing from the previous research, this study employs a multiple currency proxy model to estimate firm’s exposures instead of using a single currency model.

    The research sample includes all Taiwan listed firms’ data for the period from 1999 to 2004. The empirical evidence from Taiwan listed firms indicates that 85.3 to 88.2 percent of firms are exposed to foreign exchange rate movements when market return control variable is included in the regression. A small percentage of firms are exposed to the foreign exchange rate movements with exclusion of the control variable. Results from ordinary least square analyses reveal that export intensity increases economic exposure to fluctuation of foreign exchange rate.
    參考文獻: Adler, M., and Dumas, B. “Exposure to Currency Risks: Definition and Measurement.” Financial Management, Vol. 13, p.41-50, 1984.
    Amihud, Y. “Exchange Rates and the Valuation of Equity Shares.” Illinois: Irvwin, 49-59, 1994.
    Bartov, E. and G. M. Bodnar. “Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effects.” Journal of Financial, Vol.49, pp.1755-1785, 1994.
    Bostock, Paul. “Expectations, outcomes and risk.” Journal of Asset Management, 5, 223-229, 2004.
    Bowman Edward. “A Risk/Return Paradox for Strategic Management.” Sloan Management Review, 21, 17-22, 1980.
    Cassell, Merrill. “Risk and Return.” Management Accounting, 77, 22-31, 1999.
    Chan Kam, Seow, Gim, and Tam, Kinsum. “Foreign Exchange Risk and Firm Value: An Analysis of US Pharmaceutical Firms.” Managerial Finance, 28, 57-63, 2002.
    Dominguez, K. M. E., Tesar, L. “A Reexamination of Exchange-Rate Exposure.” American Economic Review, 396-399, 2001.
    Garner, C. K., Shapiro, A. C. “A Practical Method of Assessing Foreign
    Exchange Risk.” Midland Corporate Finance Journal, 6-17, 1984.
    George, Abraham. “Managing Foreign Exchange for Competitive Advantage.” Sloan Management Review, 32, 105-117, 1991.
    Hill, C. International Business-Competing in the Global Markets. McGraw Hill, 2004 Edition.
    Holton, Gyln A. “Perspectives-Defining Risk.” Financial Analysts Journal, 60, 19-25, 2004.
    Jorion, P. “The Exchange Rate Exposure of U.S. Multinationals.” Journal of Business, 331-345, 1990.
    Knight, F.H. (1921). Risk Uncertainty, and Profit.” Chicago: University of Chicago, 1971.
    Massoud, Marc F, Raiborn, Cecily A. “Managing Risk in Global Operation.” The Journal of Corporate Accounting & Finance, 41-49, 1993.
    Miles, R.E. and Snow, C. “Organizational Strategy, Structure, and Process.” New York: McGraw-Hill. 1978.
    Miller, Kent “A Framework for integrated Risk Management in International Business.” Journal of International Business Studies, 311-331, 1992.
    Miller, Kent “Economic Exposure and Integrated Risk Management,” Strategic Management Journal, 19, 497-514, 1998.
    Miller, Kent and Jeffery J. Reuer, “Firm strategy and economic exposure to foreign exchange rate movements,” Journal of International Business Studies, 29, 493-514, 1998.
    Pfeffer, J. and Salancik, G. “The External Control of Organizations: A Resource Dependence Perspective.” New York: Harper and Row. 1978.
    Rotengerg, W. “Assessing Foreign Exchange Exposure: Theory and Applications Using Canadian Firms.” Journal of International Financial Management and Accounting, 1-22, 1990.
    Shapiro, A.C. “Multinational Financial Management.” Boston, MA: Allyn & Bacon. 1992.
    Schnabel, Jacques. “Real Exposure to Foreign Currency Risk.” Managerial Finance, 20, 69-77, 1994.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    92351047
    93
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923510471
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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