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題名 全球航空公司避險行為對公司價值的影響
The Impact of hedging on Firm Value in Global Airline Industry
作者 劉珊睿
貢獻者 張元晨
劉珊睿
關鍵詞 航空業
燃油避險
外匯避險
利率避險
經理人持股
聯貸利率
日期 2016
上傳時間 20-Jul-2016 17:13:03 (UTC+8)
摘要 本文蒐集1995年到2014年共計39家航空公司的避險數據，旨在檢視燃油避險、外匯避險和利率避險對於公司價值的影響。實證結果與多數文獻的結果一致，燃油和外匯避險對於公司價值多有顯著的正面影響。北美洲地區是唯一外匯避險有顯著負面影響的子樣本。至於利率避險在總樣本和多數的子樣本中對公司價值有顯著負面的影響。因此，本文認為避險與公司價值無絕對的關係，主要仍是取決於公司所面臨的風險。另外，經理人持股對於隔年燃油避險比率有正向關係，但不顯著。而不論燃油和外匯避險對於聯貸利率皆無顯著的關係。
Using a sample of 39 airline companies around the world over period 1995 to 2015 to examine whether jet fuel hedging, currency hedging and interest rate hedging increase the firm value of airline companies. We find that jet fuel and currency hedging is significantly positively related to their firm value holds in various sub-samples and total sample, but North American area is only one sub-sample which have negative relationship between currency hedging and firm value. However, interest rate hedging have significantly negatively impact on various sub-samples and total sample. Based on our result, there is no absolutely negative or positive relationship between hedging and firm value, it depend on which risk the firm faced and should be hedged.
Furthermore, CEO shares holding have non-significant positively relationship with hedge ratio. Our result also show there are no effect of hedging on reducing interest rate of syndicate loan.
參考文獻 1. Rueyjiau Lin, 2009 .The effect of hedging on firm value and analyst forecast accuracy: Evidence from the global airline industry.

2. Bruno Lucio Santos Vieira, José Guilherme Chaves Alberto, Sidney Lino de Oliveira, Everaldo Bonaldo,José Luiz Silva Ribeiro, Alex Moreira,2014.Does Hedging Make Economic Sense For American Airlines?

3. Richard Cobbs ,Alex Wolf, Spring 2004.Jet Fuel Hedging Strategies: Options Available for Airlines and a Survey of Industry Practices.

4. MURILLO CAMPELLO, CHEN LIN, YUE MA, and HONG ZOU,2011. The Real and Financial Implications of Corporate Hedging.

5. JOHN R. GRAHAM and DANIEL A. ROGERS,2002. Do Firms Hedge in Response to Tax Incentives?

6. David A. Carter, Daniel A. Rogers, and Betty J. Simkins,2006. Does Hedging Affect Firm Value? Evidence from the US Airline Industry.

7. Hany Ahmed, Alcino Azevedo1, Yilmaz Guney,2014. The Effect of Hedging on Firm Value and Performance: Evidence from the Nonfinancial UK Firms.

8. C Lester Westbrooks,2005.Airline Fuel Hedging: An Overview of Hedging Solutions Available to Airlines.

9. Stephen D. Treanor, David A. Carter,Daniel A. Rogers,Betty J. Simkins,2013. Operational and Financial Hedging: Friend or Foe? Evidence from the U.S. Airline Industry.

10. Bob van de Pol,2010.Does hedging increase firm value?
A closer look at fuel hedging in the European Airline Industry.

11. Khondoker Pear Mohammad,2014.Value of Hedging in US Airline Industry: A Perspective on Firm Value & Accounting Performance.


12. Yanbo Jin and Philippe Jorion,2006.Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers.

13. Yacine Belghitara, Ephraim Clarkb, and Amrit Judgec,2008. The Value Effects of Foreign Currency and Interest Rate Hedging: The UK Evidence.

14. Bartram, Söhnke M, Gregory W. Brown,and Frank R Fehle,2004.International evidence on financial derivatives usage, working paper, University of North Carolina.

15. Allayannis, George, and Eli Ofek, 2001.Exchange rate exposure, hedging and the use of foreign currency derivatives, Journal of international Money and Finance 20,273-296.

16. Nain, Amrita,2004. The strategic motives for corporate risk management, working paper, University of Michigan.

17.Ana Maria Alves Joaquim Henriques,2015.Does risk management increases the firm value?

18. Tufano,Peter,1996.Who manages risk? An empirical examination of risk
management practices in the gold mining industry, Journal of Finance 51,1097-
1137.

19.Géczy,Christopher,Bernadette A. Minton, and Catherine Schrand 1997. Why firms use currency derivatives, Journal of Finance 52,1323-1354.

20.Gay,Greald D., and Jouahn,Nam,1998. The underinvestment problem and corporate derivatives use, Financial Management 27,53-69.

21.Haushalter,G.David, 2000, Financing policies, basis risk, and corporate hedging: Evidence from oil and gas producers, Journal of Finance 55,107-152.

22. Breeden,Douglas, and S .Viswanathan,1999.Why do firm hedge? An asymmetric information model ,working paper, Duke University.



23. Rogers,Daniel A.,2002.Does executive portfolio structure affect risk management ?CEO risk-taking incentives and corporate derivatives usage, Journal of Banking & Finance 26,271-295.
描述 碩士
國立政治大學
財務管理研究所
103357037
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103357037
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.author (Authors) 劉珊睿zh_TW
dc.creator (作者) 劉珊睿zh_TW
dc.date (日期) 2016en_US
dc.date.accessioned 20-Jul-2016 17:13:03 (UTC+8)-
dc.date.available 20-Jul-2016 17:13:03 (UTC+8)-
dc.date.issued (上傳時間) 20-Jul-2016 17:13:03 (UTC+8)-
dc.identifier (Other Identifiers) G0103357037en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99330-
dc.description (描述) 碩士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 (描述) 103357037zh_TW
dc.description.abstract (摘要) 本文蒐集1995年到2014年共計39家航空公司的避險數據，旨在檢視燃油避險、外匯避險和利率避險對於公司價值的影響。實證結果與多數文獻的結果一致，燃油和外匯避險對於公司價值多有顯著的正面影響。北美洲地區是唯一外匯避險有顯著負面影響的子樣本。至於利率避險在總樣本和多數的子樣本中對公司價值有顯著負面的影響。因此，本文認為避險與公司價值無絕對的關係，主要仍是取決於公司所面臨的風險。另外，經理人持股對於隔年燃油避險比率有正向關係，但不顯著。而不論燃油和外匯避險對於聯貸利率皆無顯著的關係。zh_TW
dc.description.abstract (摘要) Using a sample of 39 airline companies around the world over period 1995 to 2015 to examine whether jet fuel hedging, currency hedging and interest rate hedging increase the firm value of airline companies. We find that jet fuel and currency hedging is significantly positively related to their firm value holds in various sub-samples and total sample, but North American area is only one sub-sample which have negative relationship between currency hedging and firm value. However, interest rate hedging have significantly negatively impact on various sub-samples and total sample. Based on our result, there is no absolutely negative or positive relationship between hedging and firm value, it depend on which risk the firm faced and should be hedged.
Furthermore, CEO shares holding have non-significant positively relationship with hedge ratio. Our result also show there are no effect of hedging on reducing interest rate of syndicate loan.		en_US
dc.description.tableofcontents 第一章 緒論...............................................1
第二章 文獻回顧........................................... 4
第一節 避險行為和公司價值的關聯.............................4
第二節 避險行為對利率的影響.................................6
第三節 經理人的激勵制度對避險行為的影響.....................6
第三章 樣本資訊..........................................7
第一節 避險行為影響航空公司價值的變數.......................8
第二節 避險行為影響聯貸利率的變數..........................13
第四章 研究方法及實證結果.................................15
第一節 燃油避險行為對公司價值的影響.......................15
第二節 經理人持股對燃油避險比率(Hedge Ratio)的影響..........20
第三節 避險行為對聯貸利率的影響...........................22
第五章 結論..............................................25
圖表......................................................27
參考文獻...................................................50		zh_TW
dc.format.extent 1000448 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103357037en_US
dc.subject (關鍵詞) 航空業zh_TW
dc.subject (關鍵詞) 燃油避險zh_TW
dc.subject (關鍵詞) 外匯避險zh_TW
dc.subject (關鍵詞) 利率避險zh_TW
dc.subject (關鍵詞) 經理人持股zh_TW
dc.subject (關鍵詞) 聯貸利率zh_TW
dc.title (題名) 全球航空公司避險行為對公司價值的影響zh_TW
dc.title (題名) The Impact of hedging on Firm Value in Global Airline Industryen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 1. Rueyjiau Lin, 2009 .The effect of hedging on firm value and analyst forecast accuracy: Evidence from the global airline industry.

2. Bruno Lucio Santos Vieira, José Guilherme Chaves Alberto, Sidney Lino de Oliveira, Everaldo Bonaldo,José Luiz Silva Ribeiro, Alex Moreira,2014.Does Hedging Make Economic Sense For American Airlines?

3. Richard Cobbs ,Alex Wolf, Spring 2004.Jet Fuel Hedging Strategies: Options Available for Airlines and a Survey of Industry Practices.

4. MURILLO CAMPELLO, CHEN LIN, YUE MA, and HONG ZOU,2011. The Real and Financial Implications of Corporate Hedging.

5. JOHN R. GRAHAM and DANIEL A. ROGERS,2002. Do Firms Hedge in Response to Tax Incentives?

6. David A. Carter, Daniel A. Rogers, and Betty J. Simkins,2006. Does Hedging Affect Firm Value? Evidence from the US Airline Industry.

7. Hany Ahmed, Alcino Azevedo1, Yilmaz Guney,2014. The Effect of Hedging on Firm Value and Performance: Evidence from the Nonfinancial UK Firms.

8. C Lester Westbrooks,2005.Airline Fuel Hedging: An Overview of Hedging Solutions Available to Airlines.

9. Stephen D. Treanor, David A. Carter,Daniel A. Rogers,Betty J. Simkins,2013. Operational and Financial Hedging: Friend or Foe? Evidence from the U.S. Airline Industry.

10. Bob van de Pol,2010.Does hedging increase firm value?
A closer look at fuel hedging in the European Airline Industry.

11. Khondoker Pear Mohammad,2014.Value of Hedging in US Airline Industry: A Perspective on Firm Value & Accounting Performance.


12. Yanbo Jin and Philippe Jorion,2006.Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers.

13. Yacine Belghitara, Ephraim Clarkb, and Amrit Judgec,2008. The Value Effects of Foreign Currency and Interest Rate Hedging: The UK Evidence.

14. Bartram, Söhnke M, Gregory W. Brown,and Frank R Fehle,2004.International evidence on financial derivatives usage, working paper, University of North Carolina.

15. Allayannis, George, and Eli Ofek, 2001.Exchange rate exposure, hedging and the use of foreign currency derivatives, Journal of international Money and Finance 20,273-296.

16. Nain, Amrita,2004. The strategic motives for corporate risk management, working paper, University of Michigan.

17.Ana Maria Alves Joaquim Henriques,2015.Does risk management increases the firm value?

18. Tufano,Peter,1996.Who manages risk? An empirical examination of risk
management practices in the gold mining industry, Journal of Finance 51,1097-
1137.

19.Géczy,Christopher,Bernadette A. Minton, and Catherine Schrand 1997. Why firms use currency derivatives, Journal of Finance 52,1323-1354.

20.Gay,Greald D., and Jouahn,Nam,1998. The underinvestment problem and corporate derivatives use, Financial Management 27,53-69.

21.Haushalter,G.David, 2000, Financing policies, basis risk, and corporate hedging: Evidence from oil and gas producers, Journal of Finance 55,107-152.

22. Breeden,Douglas, and S .Viswanathan,1999.Why do firm hedge? An asymmetric information model ,working paper, Duke University.



23. Rogers,Daniel A.,2002.Does executive portfolio structure affect risk management ?CEO risk-taking incentives and corporate derivatives usage, Journal of Banking & Finance 26,271-295.		zh_TW