臺灣博碩士論文加值系統

本研究針對在財務會計準則第34號公報正式實施後，508家台灣上市櫃公司於2006年第1季至2008年第4季共12季期間，操作衍生性金融商品之公司進行研究。本研究以Logit迴歸探討公司會因何種因素進行衍生性金融商品之操作，並以Multinomial Logistic 迴歸探討操作線性或非線性、利率型或匯率型衍生性金融商品之因素為何，以及公司操作衍生性金融商品對於公司價值及公司風險之間的關係。
結果顯示，投資支出、法人持股比例、其他替代方案愈多而經理人持股比例愈低，公司愈可能使用衍生性金融商品作為避險工具。當投資支出比例愈高、經理人持股比例與法人持股比例愈低，公司愈可能使用線性衍生性金融商品作為避險工具。而公司使用衍生性金融商品與公司價值之間的關係呈正向但不顯著；公司使用衍生性金融商品對公司風險之間為負向顯著的關係。

This study focus on the choices and motives of corporate derivatives use with the sample of 508 Taiwan listed companies from first quarter in 2006 to fourth quarter in 2008, after Financial Accounting Standard No.34 implementation. This study examines the motives of to companies to use the derivatives and to choose the linear or non-linear derivatives by Logit, Probit regression and Multinoamial Logistic regression models. Furthermore, this study investigates the relationships between corporate value and risk, when the companies using derivatives.
The results show the companies with more investing expenditure, higher institutional holding, more substitute projects of hedging and less insider holding, the companies will tend to use derivatives as the hedging tools. The relationship between derivatives use and corporate value is positively correlated, but not significantly. The relationship between derivatives use and corporate risk is negatively significantly correlated.

致謝 I
中文摘要 II
英文摘要 III
目錄 IV
圖目錄 VI
表目錄 VII
第壹章 緒論 1
第一節 研究背景及動機 1
第二節 研究目的 5
第三節 研究流程與論文架構 6
第貳章 文獻探討 8
第一節 風險管理 8
第二節 衍生性金融商品 12
第二節 操作衍生性金融商品動機之相關文獻 18
第三節 線性及非線性衍生性金融商品之相關文獻 27
第四節 公司操作衍生性金融商品對公司價值之影響 29
第五節 公司操作衍生性金融商品與公司風險之相關文獻 31
第參章 研究方法 33
第一節 研究架構 33
第二節 假設推導 34
第三節 變數定義與衡量 40
第四節 研究樣本與方法 47
第五節 研究方法 48
第肆章 實證結果與分析 55
第一節 樣本資料敘述性統計 55
第二節 企業操作衍生性金融商品與動機之迴歸分析 61
第三節 避險活動、公司價值與公司風險之關係 82
第伍章 結論與建議 91
第一節 研究結論 91
第二節 研究限制 96
第三節 研究建議 97
參考文獻 99

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