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    Title: 外匯曝險對公司資本結構之影響
    The Effect of Foreign Exchange Rate Exposure on Corporation`s Capital Structure
    Authors: 蔡雅婷
    Contributors: 姜堯民
    Chiang,Yao Min
    蔡雅婷
    Keywords: 外匯曝險
    資本市場法
    資本結構
    Foreign exchange rate exposure
    Capital Market Approach
    Capital structure
    Date: 2009
    Issue Date: 2010-12-08 01:54:27 (UTC+8)
    Abstract: 　　本研究旨在分析台灣上市公司外匯避險和資本結構策略的運用。本文利用資本市場法，作為外匯曝險衡量模型，並利用預期和非預期的匯率變動探討對企業價值的影響是否有顯著差異，本文以2007~2009年期間的月頻率資料，篩選摩根台灣指數基金(MSCI Taiwan Index Fund-March 09, 2010)成分股共108家台灣上市公司為樣本對象，並進一步利用所量化出的外匯曝險，應用至公司資本結構上，採平衡追蹤資料(balanced panel data)進行分析，探討外匯曝險與其他影響因子對公司資本結構的關係。
    　　而研究結果發現，在外匯曝險衡量方面，在2007~2009年間，不論是預期或非預期外匯變動下，負值的外匯曝險係數家數明顯超越正值的外匯曝險係數家數，此研究結果也符合了台灣為一個出口導向的經濟體，當台幣相對貶值時，使得出口較具競爭力，企業的營收增加。此外，從顯著的企業樣本來看，金融證券業占大多數，顯示出匯率變動對金融證券業的影響尤其嚴重。
    　　在資本結構上，本研究以營運風險、公司成立年數、抵押資產價值、自由現金流量、外匯風險、成長率、稅盾效果、獲利性和公司規模共九個因子作為影響資本結構的變數，在Panel data固定效果模型中，除了成長性和公司規模兩變數在1%顯著水準之下呈現正相關，其餘變數為顯著負相關。且該模型對公司資本結構的解釋能力相當高，Panel data固定效果模型調整後的R2為78.96%。
    　　最後，本研究將產業別列入考量變數之一，結果發現，電子業與非電子業在資本結構決定因素上有顯著差異，且顯示電子業公司的負債比率較低，符合現實情況下，電子業公司在有資金需求時，大多不選擇舉債而較常採取權益融資的方式。而電子業受到外匯曝險對資本結構的影響力並不顯著，表示外匯曝險對公司負債比率並不會因為產業別而有不同的影響力。
    　　This study examines the foreign exchange rate exposure and capital structure strategy for the Taiwan’s Corporations. The research sample is MSCI Taiwan Index Fund, and the sample period is 2007 to 2009. To see how foreign exchange rate exposure affects the value of corporations, this study uses Capital Market Approach to be the model. Moreover, this study uses balanced panel data to see how exchange rate exposure and other variables affect the strategy of capital structure.
    　　According to the result, the numbers of negative significant samples are greater than the numbers of positive significant samples no matter when measured in expected exchange rate exposure or in unexpected exchange rate exposure. This result can exactly explain that Taiwan is an export-dominated economy. When Taiwan dollar depreciates, which means corporations in Taiwan could improve export competitiveness, thus increasing profits. Moreover, this study found that exchange rate exposure has a greater impact especially on the finance and security industry.
    　　In the capital structure part, this study selects nine variables to see how they affect the capital structure, including business risk, age, collateral value of assets, free cash flows, foreign exchange risks , growth, non-debt tax shields, profitability and size. In panel data fixed effect model, growth and size are found to be positive significant in 99% confidence level; other variables are found to be negative significant. Furthermore, the coefficient of determination, R2 of this panel data fix effect regression model is 78.96%, which means the regression line has a high explanatory power to explain the capital structure.
    Reference: 中文文獻
    王健聰(2009)，「資本結構決定因素之實證研究-以越南上市公司為例」，國立高雄第一科技大學金融理財研究所碩士論文。
    白淑芬(2006)，「資本結構影響因素之實證研究－以臺灣上市公司為例」，成功大學企業管理學系碩士論文。
    江立雯(2000)，「資本結構的影響因素之研究－以台灣地區上市電子業為例」，中央大學企業管理研究所碩士論文。
    江來成(2005)，「資本結構影響因素之研究－以台灣上市鋼鐵業為例」，銘傳大學管理學院高階經理碩士學程在職專班碩士論文。
    施衍礽、高櫻芬(2002)，「公司價值與匯率之間的關係：台灣上市公司之實證研究」， 風險管理學報，4, 19-45。
    胡麗玲(1996)，「多國際企業與國內企業資本結構決定因素之探討」，中國文化大學國際企業管理研究所碩士論文。
    徐宗基(2006)，「公司資本結構決定因素之實證－以台灣資訊電子業上市公司為例」，雲林科技大學財務金融系碩士論文
    許光華(2009)，「匯率曝險對企業價值影響-以電子產業為例」，朝陽科技大學財務金融系碩士論文。
    陳怡妏(2009)，「台灣上市公司外匯曝險之實證分析-東南亞金融風暴與環球性金融風暴之比較」，國立高雄第一科技大學財務管理所碩士論文。
    陳靜芬(2003)，「上市電子公司資本結構與產業分類關係之實證研究」，國立中央大學財務金融學系碩士在職專班碩士論文。
    湯蕙霞(2003)，「國內上市公司資本結構的長期調整」，銘傳大學經濟學系碩士論文。
    董澍琦，楊聲勇，紀妤瑩(2002)，「台灣多國籍企業外匯風險曝露之實證研究」，亞太經濟合作評論, 9, 36-49。
    英文文獻
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    Alder, M., Dumas, B., and Simon, D. (1984). Exposure to Currency Risk: Definition and Measurement. Financial Management 13, 41-50.
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    Description: 碩士
    國立政治大學
    財務管理研究所
    97357029
    98
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0097357029
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

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