台灣上市公司匯率風險與避險因子
Date Issued
2004
Date
2004
Author(s)
林佳瑾
DOI
zh-TW
Abstract
Abstract
The Asia Financial crisis that led to great exchange rate change aroused people’s awareness towards the importance of exchange-rate risk exposure. In this paper, by utilizing the sample with firms whose foreign sales ratio exceed 10% of total sales during the period of January, 2004 to December, 2003, we have ascertained the exchange-rate risk exposure of stock return and the determinates of the exchange-rate risk exposure. The results of this research are as follow:
1. We estimated the exchange-rate risk exposure by the Jorion’s (2000) model. The results indicated that the exchange-rate risk exposure varies with the length of time period. In addition, the exchange-rate risk exposure is significantly different in both symmetric model and the sign of exchange-rate risk exposure. It is concluded that corporate will face different exchange-rate risk exposure in short term and long term.
2. We extended the model presented by He & Ng (1998) and used the extended model to find the determinates of exchange-rate risk exposure. In short term, book to market value, foreign sales ratio, foreign currency derivatives ratio, and debt ratio are significant factors. Whereas, in the long term, book to market value, foreign sales ratio, debt ratio, corporate size are significant factors.
Subjects
匯率風險
公司報酬
匯率風險決定因子
exchange-rate risk exposure
the determinates of exchange-rate risk exposure
Type
thesis
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