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題名 兩篇關於國際財務管理的論文
Essays on International Financial Management: (1) Foreign Investors in Emerging Markets: The Case of Taiwan (2) Exchange Risk Management: The Case of Taiwan作者 徐政義 貢獻者 林基煌
徐政義日期 2002 上傳時間 10-May-2016 18:56:51 (UTC+8) 摘要 My Ph.D. dissertation, entitled “Essays on International Financial Management”, includes the following essays: (1) Foreign Investors in Emerging Markets: The Case of Taiwan (2) Exchange Risk Management: The Case of Taiwan In my first essay, I find that foreign investors tend to be momentum traders. The aggregate current net foreign purchases (NFP) have a positive effect on future return, implying that foreign investors, on average, might have an information advantage over local investors. However, when I further investigate the relation at the firm level, the results are mixed. Foreign investors that have an information advantage over local investors are limited to firms based on large size, low B/M stocks, and those that have issued ECBs. They have a tendency toward trading stocks they are familiar with. Furthermore, I document that foreign buys, sells, total trading, and net foreign purchases all increase their conditional volatility. In my second essay, I examine the determinants of hedging exchange risk for Taiwanese firms in 1999 and 2000. To examine the decision to hedge and the decision of the hedging extent separately, I employ a two-step procedure decision suggested by Cragg (1971). In the first equation, the probit model is examined and the response variable is whether to hedge (=1) or not (=0). The likelihood of hedging is related to firm size, the export ratio, and managerial ownership. Larger firms and firms with higher exports, or those with higher managerial ownership, are more likely to manage risks. In the second equation, I conduct conditional regressions on the hedging firms. The dependent variable is the hedging proportion. The hedging extent is found to be related to foreign exposure and compensation structure, and is negatively correlated to firm size. Empirical results show that the decision to hedge is positively associated with foreign exposure, managerial ownership, and economies of scale in hedging costs. The decision of hedging extent is positively correlated to the foreign exposure, compensation structure, and the financial distress costs. The empirical results support the economies of scale hypothesis, the financial distress hypothesis, and the managerial incentive hypothesis, but seem to not support the tax hypothesis. 參考文獻 Atiase, R.K., 1987. Market implications of predisclosure information: size and exchange effects. Journal of Accounting Research 25, 168-176. Bekaert, G., and C.R. Harvey, 2000. Foreign speculator and emerging equity markets. Journal of Finance 55, 565-613. Blackwell, D.W., M.W. Marr, and M.F. Spivey, 1990. Shelf registration and the reduced due diligence argument: implications of the underwriter certification and the implicit insurance hypotheses. Journal of Financial and Quantitative Analysis 25, 245-259. Bollerslev, T., and J.M. Wooldridge, 1992. Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Reviews 11, 143-172. Brennan, M.J., and H.H. Cao, 1997. International portfolio investment flows. Journal of Finance 52, 1851-1880. Choe, H., B. Kho, and R.M. Stulz, 1999. Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics 54, 227-264. Choe, H., B. Kho, and R.M. Stulz, 2000. Do domestic investors have more valuable information about individual stocks than foreign investors? Working paper, Ohio State University. Chung, D.Y., and J. Lee, 1998. Ownership structure and trading volume reaction to earnings announcements: Evidence from Japan. Pacific-Basin Finance Journal 6, 45-60. Coval, J.D., T.J Moskowitz, 1999. Home bias at home: Local equity preference in domestic portfolios, Journal of Finance 54, 2045-2073. Coval, J.D., T.J Moskowitz, 2001. The geography of investment: Informed trading and asset prices. Journal of Political Economy 109, 811-841. Dahlquist, M., and G. Robertsson, 2001. Direct foreign ownership, institutional investors, and firm characteristics. Journal of Financial Economics 59, 413-440. Easley, D., M. O’Hara, and J. Paperman, 1998. Financial analysts and information-based trade. Journal of Financial Markets 1, 175-201. Easley, D., M. O’Hara, and P.S. Srinivas, 1998. Option volume and stock prices: Evidence on where informed traders trade. Journal of Finance 53, 431-465. Fama, E.F., and K.R. French, 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50, 131-155. Fama, E.F., and J.D. MacBeth, 1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607-636. Froot, K. A., P.J. O``Connell, and M.S. Seasholes, 2001. The portfolio flows of international investors. Journal of Financial Economics 59, 151-193. Grinblatt, M., and M. Keloharju, 2000. The investment behavior and performance of various investor types: a study of Finland’s unique data set. Journal of Financial Economics 55, 43-67. Hamao, Y., and J. Mei, 2001. Living with the “enemy”: an analysis of foreign investment in the Japanese equity market. Journal of International Money and Finance 20, 715-735. Henry, P.B., 2000. Stock market liberalization, economic reform, and emerging market equity prices. Journal of Finance 55, 529-564. Kang, J.K., R.M. Stulz, 1997. Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics 46, 3-28. Karpoff, J.M., 1987. The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis 22, 109-126. Kodres, L.E., and M. Pritsker, 2002. A rational expectations model of financial contagion. Journal of Finance (forthcoming). Krishnaswami, S., P. A. Spindt, and V. Subramaniam, 1999. Information asymmetry, valuation, and the corporate spin-off decision. Journal of Financial Economics 53, 73-112. Lin, C.H., and C. Shiu, 2002. Foreign ownership in the Taiwan stock market: An empirical analysis. Journal of Multinational Financial Management (forthcoming). Newey, W., and K. West, 1987. A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708. The Salomon Smith Barney Guide to World Equity Markets, 1998, Euromoney Publications PLC and Salomon Smith Barney, 482-489. Seasholes, M.S., 2000. Smart foreign traders in emerging markets. Working paper, Harvard University. Shukla, R.K., and G.B. van Inwegen, 1995. Do locals perform better than foreigners?: An analysis of UK and US mutual fund managers. Journal of Economics and Business 47, 241-254. Wang, L., and C. Shen, 1999. Do foreign investments affect foreign exchange and stock markets — the case of Taiwan. Applied Economics 31, 1303-1314. Exchange risk management: The case of Taiwan References Allayannis G., and E. Ofek, 2001. Exchange rate exposure, hedging, and the use of foreign currency derivatives. Journal of International Money and Finance 21, 273-296. Bartov, E., and G.M. Bodnar, 1994. Firm valuation, earnings expectations, and the exchange-rate exposure effect. Journal of Finance 49, 1755-1785. Bessembinder, H., 1991. Forward contracts and firm value: Investment incentive and contracting effects. Journal of Financial and Quantitative Analysis 26, 519-532. Brown, G.W., 2000. Managing foreign exchange risk with derivatives. Working paper, the University of North Carolina at Chapel Hill. Cragg, J.G., 1971. Some statistical models for limited dependent variables with application to the demand for durable goods. Econometrica 39, 829-844. Doukas, J., P.H. Hall, and L.H.P. Lang, 1999. The pricing of currency risk in Japan. Journal of Banking and Finance 23, 1-20. Froot, K.A., D.S. Scharfstein, and J.C. Stein, 1993. Risk management: Coordinating corporate investment and financing policies. Journal of Finance 48, 1629-1658. Graham J.R., and C.W. Smith, 1999. Tax incentives to hedge. Journal of Finance 54, 2241-2262. Haushalter, G.D., 2000. Financing policy, basis risk, and corporate hedging: evidence from oil and gas producers. Journal of Finance 55, 107-152. He, J., L.K. Ng, 1998. The foreign exchange exposure of Japanese multinational corporations. Journal of Finance 53, 733-753. Jorion, P., 1990. The exchange-rate exposure of U.S. multinationals. Journal of Business 63, 331-345. Ma, T., 1998. Additional evidence on the determinants of hedging: the case of Taiwan. Journal of Financial Studies 6, 49-63. Mayers, D., and C. Smith, 1990. On the corporate demand for insurance: Evidence from the reinsurance market. Journal of Business 63, 19-40. Mian, S.L., 1996. Evidence on corporate hedging policy. Journal of Financial and Quantitative Analysis 31, 419-439. Miller, M., and F. Modigliani, 1958. The cost of capital, corporate finance and the theory of investment. American Economic Review 53, 261-297. Myers, S.C., 1977. Determinants of Corporate Borrowings. Journal of Financial Economics 5, 147-175. Nance, D.R., C.W. Smith, Jr., and C.W. Smithson, 1993. On the determinants of corporate hedging. Journal of Finance 48, 267-284. Opler, T., L. Pinkowitz, R. Stulz, and R. Williamson, 1999. The determinants and implications of corporate cash holdings. Journal of Financial Economics 52, 3-46. Smith, C.W., and R.M. Stulz, 1985. The determinants of firms’ hedging policies. Journal of Financial and Quantitative Analysis 20, 391-405. Tufano, P., 1996. Who manages risk? An empirical examination of risk management practices in the gold mining industry. Journal of Finance 51, 1097-1137 描述 博士
國立政治大學
財務管理研究所資料來源 http://thesis.lib.nccu.edu.tw/record/#A2010000067 資料類型 thesis dc.contributor.advisor 林基煌 zh_TW dc.contributor.author (Authors) 徐政義 zh_TW dc.creator (作者) 徐政義 zh_TW dc.date (日期) 2002 en_US dc.date.accessioned 10-May-2016 18:56:51 (UTC+8) - dc.date.available 10-May-2016 18:56:51 (UTC+8) - dc.date.issued (上傳時間) 10-May-2016 18:56:51 (UTC+8) - dc.identifier (Other Identifiers) A2010000067 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/96311 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description.abstract (摘要) My Ph.D. dissertation, entitled “Essays on International Financial Management”, includes the following essays: (1) Foreign Investors in Emerging Markets: The Case of Taiwan (2) Exchange Risk Management: The Case of Taiwan In my first essay, I find that foreign investors tend to be momentum traders. The aggregate current net foreign purchases (NFP) have a positive effect on future return, implying that foreign investors, on average, might have an information advantage over local investors. However, when I further investigate the relation at the firm level, the results are mixed. Foreign investors that have an information advantage over local investors are limited to firms based on large size, low B/M stocks, and those that have issued ECBs. They have a tendency toward trading stocks they are familiar with. Furthermore, I document that foreign buys, sells, total trading, and net foreign purchases all increase their conditional volatility. In my second essay, I examine the determinants of hedging exchange risk for Taiwanese firms in 1999 and 2000. To examine the decision to hedge and the decision of the hedging extent separately, I employ a two-step procedure decision suggested by Cragg (1971). In the first equation, the probit model is examined and the response variable is whether to hedge (=1) or not (=0). The likelihood of hedging is related to firm size, the export ratio, and managerial ownership. Larger firms and firms with higher exports, or those with higher managerial ownership, are more likely to manage risks. In the second equation, I conduct conditional regressions on the hedging firms. The dependent variable is the hedging proportion. The hedging extent is found to be related to foreign exposure and compensation structure, and is negatively correlated to firm size. Empirical results show that the decision to hedge is positively associated with foreign exposure, managerial ownership, and economies of scale in hedging costs. The decision of hedging extent is positively correlated to the foreign exposure, compensation structure, and the financial distress costs. The empirical results support the economies of scale hypothesis, the financial distress hypothesis, and the managerial incentive hypothesis, but seem to not support the tax hypothesis. en_US dc.description.tableofcontents 致謝詞 Abstract Contents 1. Introduction-----4 2. Data-----9 2.1 History and structure of TSE-----9 2.2 Foreign investors in TSE-----11 2.3 Sample construction-----12 3. Covariance of foreign trade and stock return-----12 3.1 Foreign trade measurement and summary statistics-----12 3.2 Covariance decomposition of foreign trade and stock return-----13 3.3 Covariance decomposition results-----14 4. Are foreign investors momentum traders? -----16 4.1 Methodology-----16 4.2 Regression results-----16 5. The lead-lag relation of foreign trading and stock return-----18 5.1 Methodology-----18 5.2 Results-----19 6. Do NFPs predict future returns? -----21 6.1 Prediction model-----21 6.2 Regression results-----22 7. Information advantage and firm characteristics-----24 7.1 Portfolio formation-----24 8. Does foreign trade increase stock market volatility? -----27 8.1 GARCH model-----27 8.2 Estimated results-----28 9. Conclusion-----30 References-----32 Figure 1. Foreign ownership and trading in the Taiwan Stock Exchange-----35 Figure 2. Normalized foreign net purchases (NFP) and TSE Index-----36 Figure 3. The frequency distribution of parameters on NFP and past returns-----37 Figure 4. The frequency distribution of parameters on lead-lag relationship between NFP and stock returns-----38 Figure 5. The frequency distribution of parameters on NFP and future stock returns-----45 Table 1. Statistics for QFIIs in Taiwan from 1991 to 2000: -----47 Table 2. Summary statistics for foreign trading-----48 Table 3. Covariance decomposition-----49 Table 4. Daily normalized net foreign purchases and past return-----51 Table 5. The lead-lag relationship of daily normalized net foreign purchases and stock return-----52 Table 6. Foreign net purchases and future stock returns-----54 Table 7. Trading advantage and firm characteristics-----55 Table 8. OLS Results for foreign trading advantage and firm characteristics-----56 Table 9. GARCH model estimates for foreign trading and stock returns volatility-----57 Exchange Risk Management: The Case of Taiwan-----59 Abstract-----59 1. Introduction-----60 2. Hypotheses-----63 2.1 Financial distress costs and under-investment problems-----63 2.2 Taxes-----65 2.3 Managerial incentives-----66 2.4 Foreign exchange risk exposure-----67 2.5 The other factors-----68 2.6 Summary of hypotheses and variables-----69 3. Data and Methodology-----69 3.1 Samples-----69 3.2 Descriptive characteristics-----70 3.3 Econometric model-----72 4. Univariate Analysis-----74 4.1 The decision to hedge-----74 4.2 The extent of hedging-----76 5. Multivariate Analysis-----77 5.1 The decision to hedge-----77 5.2 The decision of hedging extent 6. Conclusion-----81 References-----83 Figure 1. Hedge proportion Year 1999 and 2000-----85 Table 1. Variable definitions and summary of hypotheses-----86 Table 2. Instruments used to hedge exchange risk-----87 Table 3. Sample Characteristics-----88 Table 4. Univariate Analysis - Hedge verse Not Hedge-----89 Table 5. Univariate Analysis - Minor Hedge verse Extensive Hedge-----90 Table 6. Multivariate Analysis - Cragg Model-----91 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2010000067 en_US dc.title (題名) 兩篇關於國際財務管理的論文 zh_TW dc.title (題名) Essays on International Financial Management: (1) Foreign Investors in Emerging Markets: The Case of Taiwan (2) Exchange Risk Management: The Case of Taiwan en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Atiase, R.K., 1987. Market implications of predisclosure information: size and exchange effects. Journal of Accounting Research 25, 168-176. Bekaert, G., and C.R. Harvey, 2000. Foreign speculator and emerging equity markets. Journal of Finance 55, 565-613. Blackwell, D.W., M.W. Marr, and M.F. Spivey, 1990. Shelf registration and the reduced due diligence argument: implications of the underwriter certification and the implicit insurance hypotheses. Journal of Financial and Quantitative Analysis 25, 245-259. Bollerslev, T., and J.M. Wooldridge, 1992. Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Reviews 11, 143-172. Brennan, M.J., and H.H. Cao, 1997. International portfolio investment flows. Journal of Finance 52, 1851-1880. Choe, H., B. Kho, and R.M. Stulz, 1999. Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics 54, 227-264. Choe, H., B. Kho, and R.M. Stulz, 2000. Do domestic investors have more valuable information about individual stocks than foreign investors? Working paper, Ohio State University. Chung, D.Y., and J. Lee, 1998. Ownership structure and trading volume reaction to earnings announcements: Evidence from Japan. Pacific-Basin Finance Journal 6, 45-60. Coval, J.D., T.J Moskowitz, 1999. Home bias at home: Local equity preference in domestic portfolios, Journal of Finance 54, 2045-2073. Coval, J.D., T.J Moskowitz, 2001. The geography of investment: Informed trading and asset prices. Journal of Political Economy 109, 811-841. Dahlquist, M., and G. Robertsson, 2001. Direct foreign ownership, institutional investors, and firm characteristics. Journal of Financial Economics 59, 413-440. Easley, D., M. O’Hara, and J. Paperman, 1998. Financial analysts and information-based trade. Journal of Financial Markets 1, 175-201. Easley, D., M. O’Hara, and P.S. Srinivas, 1998. Option volume and stock prices: Evidence on where informed traders trade. Journal of Finance 53, 431-465. Fama, E.F., and K.R. French, 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50, 131-155. Fama, E.F., and J.D. MacBeth, 1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607-636. Froot, K. A., P.J. O``Connell, and M.S. Seasholes, 2001. The portfolio flows of international investors. Journal of Financial Economics 59, 151-193. Grinblatt, M., and M. Keloharju, 2000. The investment behavior and performance of various investor types: a study of Finland’s unique data set. Journal of Financial Economics 55, 43-67. Hamao, Y., and J. Mei, 2001. Living with the “enemy”: an analysis of foreign investment in the Japanese equity market. Journal of International Money and Finance 20, 715-735. Henry, P.B., 2000. Stock market liberalization, economic reform, and emerging market equity prices. Journal of Finance 55, 529-564. Kang, J.K., R.M. Stulz, 1997. Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics 46, 3-28. Karpoff, J.M., 1987. The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis 22, 109-126. Kodres, L.E., and M. Pritsker, 2002. A rational expectations model of financial contagion. Journal of Finance (forthcoming). Krishnaswami, S., P. A. Spindt, and V. Subramaniam, 1999. Information asymmetry, valuation, and the corporate spin-off decision. Journal of Financial Economics 53, 73-112. Lin, C.H., and C. Shiu, 2002. Foreign ownership in the Taiwan stock market: An empirical analysis. Journal of Multinational Financial Management (forthcoming). Newey, W., and K. West, 1987. A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708. The Salomon Smith Barney Guide to World Equity Markets, 1998, Euromoney Publications PLC and Salomon Smith Barney, 482-489. Seasholes, M.S., 2000. Smart foreign traders in emerging markets. Working paper, Harvard University. Shukla, R.K., and G.B. van Inwegen, 1995. Do locals perform better than foreigners?: An analysis of UK and US mutual fund managers. Journal of Economics and Business 47, 241-254. Wang, L., and C. Shen, 1999. Do foreign investments affect foreign exchange and stock markets — the case of Taiwan. Applied Economics 31, 1303-1314. Exchange risk management: The case of Taiwan References Allayannis G., and E. Ofek, 2001. Exchange rate exposure, hedging, and the use of foreign currency derivatives. Journal of International Money and Finance 21, 273-296. Bartov, E., and G.M. Bodnar, 1994. Firm valuation, earnings expectations, and the exchange-rate exposure effect. Journal of Finance 49, 1755-1785. Bessembinder, H., 1991. Forward contracts and firm value: Investment incentive and contracting effects. Journal of Financial and Quantitative Analysis 26, 519-532. Brown, G.W., 2000. Managing foreign exchange risk with derivatives. Working paper, the University of North Carolina at Chapel Hill. Cragg, J.G., 1971. Some statistical models for limited dependent variables with application to the demand for durable goods. Econometrica 39, 829-844. Doukas, J., P.H. Hall, and L.H.P. Lang, 1999. The pricing of currency risk in Japan. Journal of Banking and Finance 23, 1-20. Froot, K.A., D.S. Scharfstein, and J.C. Stein, 1993. Risk management: Coordinating corporate investment and financing policies. Journal of Finance 48, 1629-1658. Graham J.R., and C.W. Smith, 1999. Tax incentives to hedge. Journal of Finance 54, 2241-2262. Haushalter, G.D., 2000. Financing policy, basis risk, and corporate hedging: evidence from oil and gas producers. Journal of Finance 55, 107-152. He, J., L.K. Ng, 1998. The foreign exchange exposure of Japanese multinational corporations. Journal of Finance 53, 733-753. Jorion, P., 1990. The exchange-rate exposure of U.S. multinationals. Journal of Business 63, 331-345. Ma, T., 1998. Additional evidence on the determinants of hedging: the case of Taiwan. Journal of Financial Studies 6, 49-63. Mayers, D., and C. Smith, 1990. On the corporate demand for insurance: Evidence from the reinsurance market. Journal of Business 63, 19-40. Mian, S.L., 1996. Evidence on corporate hedging policy. Journal of Financial and Quantitative Analysis 31, 419-439. Miller, M., and F. Modigliani, 1958. The cost of capital, corporate finance and the theory of investment. American Economic Review 53, 261-297. Myers, S.C., 1977. Determinants of Corporate Borrowings. Journal of Financial Economics 5, 147-175. Nance, D.R., C.W. Smith, Jr., and C.W. Smithson, 1993. On the determinants of corporate hedging. Journal of Finance 48, 267-284. Opler, T., L. Pinkowitz, R. Stulz, and R. Williamson, 1999. The determinants and implications of corporate cash holdings. Journal of Financial Economics 52, 3-46. Smith, C.W., and R.M. Stulz, 1985. The determinants of firms’ hedging policies. Journal of Financial and Quantitative Analysis 20, 391-405. Tufano, P., 1996. Who manages risk? An empirical examination of risk management practices in the gold mining industry. Journal of Finance 51, 1097-1137 zh_TW
