全球經濟結構的改變，台灣企業經營型態國際化，與國際市場相互接觸頻繁並有高度的貿易連結性，匯率的變動影響一國的進出口值及競爭力，造成總體經濟的不穩定性。企業對於匯率變動影響，除了增加企業經營不確定性，更影響未來公司營運現金流量，進而改變公司價值；面對匯率波動帶來不確定的衝擊，使公司對於匯率變動更為敏感，而匯率暴露風險的控管，若公司沒有妥當的避險及規劃，不只會使公司受到巨額的匯差損失，更直接影響公司獲利程度，是企業經營管理者不可忽略的長期公司營運風險重要問題。

本研究以54家台灣上市大型公司為樣本，探討2009-2017年台灣各個產業公司的股票報酬對於匯率風險暴露是否有顯著相關，以及影響匯率風險暴露的決定因子。實證結果顯示， 有17%的公司樣本顯示股價報酬對於外匯風險暴露有顯著影響，並多以負向顯著匯率風險暴露為主。而在影響匯率風險暴露的四個決定因子，公司規模大小、外銷比率、速動比率及長期負債比率皆呈正相關，但唯有長期負債比率顯著且正相關，對於台灣公司來說，長期負債比率對匯率風險暴露有顯著的影響。

For the changes in the global economic structure and getting more internationalize of Taiwanese business models, contact with the international market frequently and a high degree of trade connectivity, the foreign exchange fluctuations not only affect the import and export value and competitiveness of a country but also bring the instability to the Macroeconomic. The effect of foreign exchange fluctuations to the company, not only increase the instability to the business operations but also change the future cash flow of the company and directly affect the value of the company. Facing the uncertain impact of foreign exchange fluctuations, making the company have more sensitive with the change of foreign exchange rate, if the company without appropriate planning and hedging for foreign exchange exposure, the company may suffer huge exchange losses, and affects the company's profitability. This is an important issue for long-term corporate operational risks that cannot be ignored by the business manager.

This paper uses the sample of 54 Taiwanese huge listed corporations, for examines whether there is a significant correlation between stock returns of Taiwanese various industrial companies for exchange rate exposures in 2009-2017, and examines the determinant factors of foreign exchange exposure. Empirical evidence shows that 17% of the sample firms’ stock returns are significantly influenced by exchange rate exposure, and stock returns have existed more negative significantly influenced by exchange rate exposure. And the determinant four factors of foreign exchange exposure, firm size, exports ration, higher quick ratio, and long-term debt ratio all have positively correlated, but only the long-term debt ratio have positive significantly correlated. For Taiwanese companies, the long-term debt ratio has a significant impact on foreign exchange exposure.

目 錄
摘 要 i
ABSTRACT ii
誌謝 iii
表目錄 vi
圖目錄 vi
第一章、緒論 P1
1-1研究背景與動機 P1
1-2研究目的 P4
1-3研究架構 P5
第二章、文獻回顧 P6
2-1匯率暴露的定義 P6
2-2匯率風險暴露衡量與因子之相關文獻 P8
2-2-1國外相關文獻研究 P8
2-2-2國內相關文獻研究 P10
第三章、研究方法 P12
3-1研究假說 P12
3-1-1匯率風險暴露估計 P12
3-1-2匯率風險暴露決定因子 P13
3-2研究設計與模型 P15
3-2-1匯率風險暴露衡量模型 P15
3-2-2匯率風險暴露決定因子模型 P16
3-3變數定義 P17
3-3-1 匯率風險暴露衡量模型變數 P17
3-3-2 匯率風險暴露決定因子模型變數 P17
3-4資料來源與樣本選取 P19
3-4-1資料來源 P19
3-4-2研究期間 P19
3-4-3樣本選取 P20
第四章、實證結果與分析 P21
4-1匯率風險暴露實證結果 P21
4-2 匯率風險暴露決定因子實證結果 P29
第五章、結論 P32
參考文獻 P34

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