臺灣博碩士論文加值系統

本研究主要在探討EFT 50 的成分股對於外匯波動與公司價值之間的影響關係，依據傳統的資本資產定價模型之理論，同時並加入外匯波動風險之因子和匯兌升貶走勢之風險不對稱因子，以了解企業價值與外匯風險之間的關聯性，以及對於匯率升貶值走勢對於波動風險因子的反應會存在顯著差異而具有不對稱性。另外，也依產業類別區分為資訊科技類股、傳統產業類股和金融服務類股等三種產業別之公司來進行探討。研究期間從2002年1月1日起到2013年2月27日為止，以日資料來進行實證。最後，獲得主要的研究結論為：
首先、發現在部份的傳統產業類及資訊科技類之中，公司股價報酬率會存在外匯風險溢酬，因此支持公司價值與外匯風險具有一定的相關性，但金融服務類股的公司並未發現有如此結果。其次，也發現有十七家的公司是支持外匯升值和貶值的情況會使公司的價值對於匯率風險的反應程度存在明顯的差異而具有不對稱性。最後，本文也發現國內的金融服務業的股價會存在外匯風險之不對稱性，這可能國內金融業近年來規模大型化、國際化後，對於匯率的變動和走勢的關連性提高有關，因此也使得金融業的股價與外匯波動之間也呈現一定的關係。

This study mainly explores the influential relationship between foreign exchange fluctuations and company values for EFT 50 constituent stocks. Base on the traditional capital asset pricing model, introduces simultaneously both the foreign exchange fluctuation risk factor and the exchange rate fluctuation asymmetric risk factor, the study is to understand the connections between company value and the risk of foreign exchange, and the asymmetric characteristic caused by the significant differences demonstrated through the reaction of trend of exchange rate fluctuation relative to the fluctuation risk factor. In addition, the constituent stocks are also divided into three different types of industries, the information technology, traditional businesses, and financial services for further explorations. The period of the study is from January 1st of 2002 to February 27th of 2013, daily data was used for empirical study. And finally, the main conclusions are as followed:
First, the study discovered that, within part of the traditional businesses and information technology industry, the foreign exchange risk premium can exist in company stock returns. Hence the evidence supports that certain relationships does exist between company value and the risk of foreign exchange; however companies of financial service industry are found with no such results. Secondly, seventeen companies are found to support foreign exchange fluctuations, which can cause the reaction of company value relative to the exchange rate risk to have significant differences and possess asymmetrical property. Finally, this article also found that domestic financial service companies’ stock prices also showed asymmetric property of foreign exchange risk. This is probably because the increased connection between domestic financial service companies and the variation and trend of exchange rate after their growth in company size and internationalization in recent years. Hence there is also certain connection exists between financial company stock prices and foreign exchange fluctuations.

第一章 緒論------------------------------------------------------------ 1
第一節 研究背景與動機------------------------------------------------- 1
第二節 研究目的------------------------------------------------------ 5
第三節 研究架構------------------------------------------------------ 6
第二章 文獻回顧-------------------------------------------------------- 8
第一節 公司價值評估：資本資產定價模型------------------------------------- 8
第二節 外匯曝險的探討--------------------------------------------------- 11
第三節 外匯風險對股價報酬的影響------------------------------------------ 14
第三章 研究變數與實證方法----------------------------------------------- 20
第一節 資料說明及研究變數----------------------------------------------- 20
第二節 研究流程及假說--------------------------------------------------- 28
第三節 實證方法設計----------------------------------------------------- 31
第四章 實證結果及分析--------------------------------------------------- 37
第一節 基本統計分析及單根檢定-------------------------------------------- 37
第二節 市場模型的評估結果----------------------------------------------- 46
第三節 雙元資產模型的評估結果-------------------------------------------- 53
第四節 外匯風險對於公司價值的影響之不對稱性------------------------------- 60
第五章 研究結論及建議--------------------------------------------------- 68

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