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| Title: | 企業外匯避險實務：以新光鋼鐵為例
Foreign Exchange Hedging Practice Case of Hsin Kuang Steel |
| Authors: | 簡明祥
Chien, Ming Hsiang |
| Contributors: | 屠美亞
Twu, Mia
簡明祥
Chien, Ming Hsiang |
| Keywords: | 避險
外匯
新光鋼鐵
比例式變動法
金融海嘯
hedging
foreign exchange
Hsin Kuang Steel
dynamic hedging
financial crisis |
| Date: | 2015 |
| Issue Date: | 2016-02-03 11:17:19 (UTC+8) |
| Abstract: | 本篇論文以新光鋼鐵作為企業外匯避險實務之研究對象，從公司之經營策略及財務特性進行分析，並針對公司之長期避險策略與理念進行研究。
深受鋼鐵產業之產業特性影響，公司本業受景氣波動影響程度大。此外，為配合公司轉型，新光鋼鐵財務特性亦出現營運週期增加、存貨占公司資產比例偏高、速動比率偏低的現象，在因為企業轉型而使營運風險漸增的情形下，如何有效穩定公司現金流、降低風險為新光鋼鐵首要任務。新光鋼鐵銷貨成本約有六成以外幣結算，其中又以美元為大宗；對於毛利率偏低的產業而言，美元的變化對公司營運表現顯得格外重要，因此新光鋼鐵以長期匯率變化及市場觀察經驗，研擬出「比例式變動法」之動態避險準則，降低外匯變化對於公司營運之衝擊。本論文除介紹此動態避險準則外，同時亦著重公司長期體悟之避險心境法則。論文中以台灣過去所遭遇較嚴重之金融衝擊事件作為避險績效討論，分別為1997年亞洲金融風暴、2000年網路科技泡沫化、2008次級房貸事件及2013美國QE進場。在此重要事件中，新光鋼鐵因採取積極之避險策略，成功降低公司現金支付美元負債之支出，對企業維持長期競爭優勢具有一定幫助。從數據分析中發現，新光鋼鐵避險策略長期而言仍受匯率走勢之影響，然而在短期及市場極端狀況發生時，避險效果明確。對於多數台灣中小企業而言，避險之財務觀念仍未普遍，新光鋼鐵之避險邏輯及策略著實對於一般企業之風險控管運作，具有啟示效用。
This study takes Hsin Kuang Steel for example to understand how corporates run foreign exchange hedging strategy.
Hsin Kuang Steel operating business is severely affected by economic changes. Besides, as the company transforms the way they do business in recent years, the financial characteristics has changed, such as the increase in business cycle and inventory to asset ratio. In addition, they usually pay in US dollars, so it’s primary mission is to decrease its foreign exchange risk and stabilize cash flows.
The company takes advantage of “dynamic hedging strategy” to hedge to minimize the effect of foreign exchange. We use 4 financial events to describe how effective the dynamic hedging strategy works, and also apply the multiple regression to test the the effectiveness of the hedging practice.
During Asian Financial Crisis in 1997, Dot-com Bubble in 2000, Financial Crisis in 2008, and US Quantitative Easing in 2013, dynamic hedging strategy plays an important role in decreasing the cash outflow of US dollar debt. From the multiple regression analysis, we find that though Hsin Kuang Steel has high exposure to US dollars, the stock return has nothing to do with US exchange fluctuation both in short-term. |
| Reference: | 中文部分：
新光鋼鐵，(2012)。新光鋼鐵101年年度財務報表。
新光鋼鐵，(2013)。新光鋼鐵102年年度財務報表。
春源鋼鐵，(2013)。春源鋼鐵102年年度財務報表。
財團法人中技社，(2013)。台灣鋼鐵業的挑戰與機會。
經濟部中小企業部，(2015)。2014中小企業白皮書。
邱京君，(2006)。中小企業外匯風險管理，中華工學院碩士論文。
陳國裕 ，(2006)。台灣企業外匯風險管理之研究，國立中央大學財務金融碩士論文。
詹雅雯，(2007)。營運與財務避險對多國籍外匯風險暴露之影響-以台灣上市公司公司為例，朝陽科技大學碩士論文
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彭美鳳, （2005）,匯率變動對公司營業收入及股票報酬率之影響—以台灣非金融上市公司為例，台北大學合作經濟所碩士班論文
林孟儀，(2013)。打敗不景氣，新光鋼鐵連賺十九年文，商業周刊838期。
守寍寍，(2004)。新光鋼鐵董事長粟明德：要做鋼鐵業的聯強國際，遠見雜誌216期。
英文部分：
Abhay K. Singh, David E. Allen(2013) Extreme market risk and extreme value theory Mathematics and Computers in Simulation Volume 94, August 2013, Pages 310–328
Brett Trueman and Sheridan Titman(1988) An Explanation for Accounting Income Smoothing Vol. 26, Studies on Management`s Ability and Incentives to Affect the Timing and Magnitude of Accounting Accruals (1988), pp. 127-139
Chow, E.H. and Chen, H.L.(1998) “The Determinants of Foreign Exchange Rate Exposure: Evidence on Japanese Firms”,
Gordon M. Bodnar(1998) Wharton Survey of Financial Risk Management by US Non-Financial Firms Financial Management Vol. 27, No. 4 (Winter, 1998), pp. 70-91
Gregory W Brown (2001) “Managing Foreign Exchange Risk with Derivatives ,” Journal of Financial Economics, 60 , 449-485.
Hoa Nguyen, Robert Faff, June (2002), “On The Determinants of Derivative Usage by Australian Companies,” Australian Journal of Management, 27, 1-24.
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Jorion, P., (1990) “The Exchange-Rate Exposure of U.S. Multinationals.” The Journal of Business, Vol.63, No. 3, 331-345
Muller, A.,Verschoor, W.(2006).Asymmetric foreign exchange risk exposure: evidence from U.S. multinational firms.Journal of Empirical Finance,13,498-518.
Paul Embrechts(1999) Extreme Value Theory as a Risk Management Tool North American Actuarial JournalVolume 3, Issue 2
Smith & Stulz(1985)The Determinants of Firms` Hedging Policies Journal of Financial and Quantitative Analysis / Volume 20 / Issue 04 / December 1985, pp 391-405
Shapiro and Titman, 1986 An integrated approach to corporate risk management J. Stern, D. Chew (Eds.), The revolution in corporate finance, Blackwell, New York |
| Description: | 碩士
國立政治大學
財務管理研究所
102357019 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0102357019 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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