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題名 固定匯率報告對股價崩盤風險與外匯曝險之影響
The Impact of Constant Currency Reporting on Stock Price Crash Risk and Foreign Exchange Exposure
作者 羅兆辰
Lo, Chao-Chen
貢獻者 張元晨
Chang, Yuan-Chen
羅兆辰
Lo, Chao-Chen
關鍵詞 固定匯率報告
股價崩盤風險
外匯曝險
Constant currency reporting
Crash risk
Foreign exchange exposure
日期 2024
上傳時間 5-Aug-2024 13:44:02 (UTC+8)
摘要 本研究探討美國上市公司排除匯率影響而以固定匯率基礎調整公司的獲利(以下簡稱固定匯率報告)是否會影響其股價崩盤風險與外匯曝險係數。文獻顯示固定匯率報告可以讓投資人更瞭解公司的營運表現，但也有文獻發現管理者會選擇性地利用固定匯率報告誤導投資人。過往較少文獻分析固定匯率報告與公司風險的相關性，因此本研究檢視固定匯率報告對於公司股價崩盤風險與外匯曝險係數的影響。 實證結果發現固定匯率報告與外匯曝險無顯著相關性，而公司同時使用固定匯率報告與營運避險策略可以顯著降低主要貨幣指數的外匯曝險。固定匯率報告與崩盤風險呈現顯著負相關，顯示固定匯率報告的揭露可以提供有價值的資訊，讓投資人更能夠準確地預估公司股價，避免股價受到高估而導致後續崩盤。然而公司於美元升值或匯兌損失時揭露固定匯率報告，有較高的崩盤風險，因此匯率波動對於公司不利時，固定匯率報告的揭露較具有投機性。
This study examines whether the adjustment of earnings based on constant currency basis (hereinafter referred to as constant currency reporting) affects stock price crash risk and foreign exchange exposure coefficients of U.S. listed firms. Prior literature shows that constant currency reporting makes investors better recognize the operational performance of firms. However, some studies indicate that managers would strategically disclose constant currency reporting to mislead investors. Little research analyzes the association between constant currency reporting and firm risk. Therefore, this study examines the impact of constant currency reporting on stock price crash risk and foreign exchange exposure coefficients. The association between constant currency reporting and foreign exchange exposure is not significant; however, firms adopting a combination of constant currency reporting and operational hedging strategies could significantly reduce exposure to Major Currency Index. The results also show a negative association between constant currency reporting and stock price crash risk, implying that the disclosure of constant currency reporting provides valuable information and allows investors to estimate stock price more accurately. Nevertheless, when facing US dollar appreciation or foreign exchange loss, U.S. firms tend to have higher crash risk after disclosing constant currency reporting, suggesting the disclosure is motivated by opportunism when exchange rate fluctuations are unfavorable to firms.
參考文獻 顧子宜（2023），影響美國公司以固定匯率評估財報的因素，國立政治大學財務管理學系碩士學位論文。 Adler, M., & Dumas, B. (1984). Exposure to currency risk: definition and measurement. Financial management, 41-50. Allayannis, G., & Ofek, E. (2001). Exchange rate exposure, hedging, and the use of. foreign currency derivatives. Journal of international money and finance, 20(2), 273-296. Barth, M. E., Gow, I. D., & Taylor, D. J. (2012). Why do pro forma and street earnings not reflect changes in GAAP? Evidence from SFAS 123R. Review of Accounting Studies, 17, 526-562. Bartram, S. M., & Bodnar, G. M. (2007). The exchange rate exposure puzzle. Managerial Finance, 33(9), 642-666. Bartram, S. M., Brown, G. W., & Minton, B. A. (2010). Resolving the exposure puzzle: The many facets of exchange rate exposure. Journal of Financial Economics, 95(2), 148-173. Bentley, J. W., Christensen, T. E., Gee, K. H., & Whipple, B. C. (2018). Disentangling. managers’ and analysts’ non‐GAAP reporting. Journal of Accounting Research, 56(4), 1039-1081. Bhattacharya, N., Black, E. L., Christensen, T. E., & Larson, C. R. (2003). Assessing the relative informativeness and permanence of pro forma earnings and GAAP operating earnings. Journal of Accounting and Economics, 36(1-3), 285-319. Black, D. E., & Christensen, T. E. (2009). US managers' use of ‘pro forma’adjustments. to meet strategic earnings targets. Journal of Business Finance & Accounting, 36(3‐4), 297-326. Black, D. E., Christensen, T. E., Ciesielski, J. T., & Whipple, B. C. (2018). Non‐GAAP reporting: Evidence from academia and current practice. Journal of Business Finance & Accounting, 45(3-4), 259-294. Black, D. E., Christensen, T. E., Ciesielski, J. T., & Whipple, B. C. (2021). Non‐GAAP earnings: A consistency and comparability crisis?. Contemporary Accounting Research, 38(3), 1712-1747. Bodnar, G. M., & Gentry, W. M. (1993). Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA. Journal of international Money and Finance, 12(1), 29-45. Bradshaw, M. T., Christensen, T. E., Gee, K. H., & Whipple, B. C. (2018). Analysts’ GAAP earnings forecasts and their implications for accounting research. Journal of Accounting and Economics, 66(1), 46-66. Bradshaw, M. T., & Sloan, R. G. (2002). GAAP versus the street: An empirical. assessment of two alternative definitions of earnings. Journal of accounting research, 40(1), 41-66. Broughton, K. (2022). Companies Focus On Constant-Currency Metrics to Soothe Investors’ Nerves. The Wall Street Journal, October 24, 2022. Brown, N. C., Huffman, A. A., & Cohen, S. (2023). Accounting Reporting Complexity. and Non-GAAP Earnings Disclosure. Accounting Review, 98(6). Butler, K. (2020). The Strategic Disclosure of Currency Headwinds and Tailwinds. University of Arkansas. Chang, F. Y., Hsin, C. W., & Shiah-Hou, S. R. (2013). A re-examination of exposure to exchange rate risk: The impact of earnings management and currency derivative usage. Journal of Banking & Finance, 37(8), 3243-3257. Chasan, E. (2015). Tilting at forex volatility effects. The Wall Street Journal, November. 24, 2015. Chen, J., Hong, H., & Stein, J. C. (2001). Forecasting crashes: Trading volume, past returns, and conditional skewness in stock prices. Journal of financial Economics, 61(3), 345-381. Chiang, Y. C., & Hui-Ju, L. I. N. (2005). The use of foreign currency derivatives and. foreign-denominated debts to reduce exposure to exchange rate fluctuations. International Journal of Management, 22(4), 598. Choi, J. J., & Jiang, C. (2009). Does multinationality matter? Implications of operational hedging for the exchange risk exposure. Journal of Banking & Finance, 33(11), 1973-1982. Chowdhry, B., & Howe, J. T. (1999). Corporate risk management for multinational corporations: Financial and operational hedging policies. Review of Finance, 2(2), 229-246. Christensen, T. E. (2007). Discussion of “Letting the ‘Tail Wag the Dog’: The debate over GAAP versus street earnings revisited”. Contemporary Accounting Research, 24(3), 741-762. Curtis, A. B., McVay, S. E., & Whipple, B. C. (2014). The disclosure of non-GAAP earnings information in the presence of transitory gains. The Accounting Review, 89(3), 933-958. Dhargalkar, A. (2015). Common Challenges to Hedging Foreign Exchange Risk. Corporate Finance Review, 20(1), 14. Doidge, C., Griffin, J., & Williamson, R. (2006). Measuring the economic importance of exchange rate exposure. Journal of Empirical Finance, 13(4-5), 550-576. Dominguez, K. M., & Tesar, L. L. (2006). Exchange rate exposure. Journal of international Economics, 68(1), 188-218. Doyle, J. T., Jennings, J. N., & Soliman, M. T. (2013). Do managers define non-GAAP earnings to meet or beat analyst forecasts?. Journal of Accounting and Economics, 56(1), 40-56. Doyle, J. T., Lundholm, R. J., & Soliman, M. T. (2003). The predictive value of expenses excluded from pro forma earnings. Review of Accounting Studies, 8, 145-174. Entwistle, G. M., Feltham, G. D., & Mbagwu, C. (2006). Financial reporting regulation and the reporting of pro forma earnings. Accounting Horizons, 20(1), 39-55. Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of financial economics, 33(1), 3-56. Farrell, D. M., Jensen, E. S., Kocher, B., Palter, R. N., & Rehm, W. (2009). Opening up to investors. Corporate Finance. Froot, K. A., Scharfstein, D. S., & Stein, J. C. (1993). Risk management: Coordinating corporate investment and financing policies. the Journal of Finance, 48(5), 1629-1658. Glaum, M., & Klöcker, A. (2011). When the tail wags the dog: Hedge accounting and its influence on financial hedging. Accounting and Business Research, forthcoming. Golden, R. (2017). Why the FASB cares about non-GAAP performance measures. FASB Outlook: From the Chairman’s Desk Q, 1, 2017. Guay, W. R. (1999). The impact of derivatives on firm risk: An empirical examination of new derivative users. Journal of accounting and economics, 26(1-3), 319-351. Guay, W., & Kothari, S. P. (2003). How much do firms hedge with derivatives?. Journal of financial economics, 70(3), 423-461. Haushalter, G. D. (2000). Financing policy, basis risk, and corporate hedging: Evidence from oil and gas producers. The Journal of Finance, 55(1), 107-152. He, J., & Ng, L. K. (1998). The foreign exchange exposure of Japanese multinational corporations. the Journal of Finance, 53(2), 733-753. Heckman, J. J. (1979). Sample selection bias as a specification error. Econometrica: Journal of the econometric society, 153-161. Heflin, F., & Hsu, C. (2008). The impact of the SEC's regulation of non-GAAP. disclosures. Journal of Accounting and Economics, 46(2-3), 349-365. Hoberg, G., & Moon, S. K. (2017). Offshore activities and financial vs operational. hedging. Journal of Financial Economics, 125(2), 217-244. Hsu, C., Wang, R., & Whipple, B. C. (2022). Non-GAAP earnings and stock price crash risk. Journal of Accounting and Economics, 73(2-3), 101473. Huffman, S. P., Makar, S. D., & Beyer, S. B. (2010). A three-factor model investigation of foreign exchange-rate exposure. Global Finance Journal, 21(1), 1-12. Hutton, A. P., Marcus, A. J., & Tehranian, H. (2009). Opaque financial reports, R2, and. crash risk. Journal of financial Economics, 94(1), 67-86. Jennings, R., & Marques, A. (2011). The joint effects of corporate governance and regulation on the disclosure of manager‐adjusted non‐GAAP earnings in the US. Journal of Business Finance & Accounting, 38(3‐4), 364-394. Jin, L., & Myers, S. C. (2006). R2 around the world: New theory and new tests. Journal of financial Economics, 79(2), 257-292. Jorion, P. (1990). The exchange-rate exposure of US multinationals. Journal of business, 331-345. Kim, J. B., Li, Y., & Zhang, L. (2011). Corporate tax avoidance and stock price crash risk: Firm-level analysis. Journal of financial Economics, 100(3), 639-662. Kim, J. B., & Zhang, L. (2016). Accounting conservatism and stock price crash risk: Firm‐level evidence. Contemporary accounting research, 33(1), 412-441. Kim, Y. S., Mathur, I., & Nam, J. (2006). Is operational hedging a substitute for or a complement to financial hedging?. Journal of corporate finance, 12(4), 834-853. Kiy, F. (2015). Effects of the Adoption of Hedge Accounting. Available at SSRN. 2697570. Kolev, K., Marquardt, C. A., & McVay, S. E. (2008). SEC scrutiny and the evolution of non‐GAAP reporting. The Accounting Review, 83(1), 157-184. Kothari, S. P., Shu, S., & Wysocki, P. D. (2009). Do managers withhold bad news?. Journal of Accounting research, 47(1), 241-276. Lougee, B. A., & Marquardt, C. A. (2004). Earnings informativeness and strategic disclosure: An empirical examination of “pro forma” earnings. The Accounting Review, 79(3), 769-795. Marques, A. (2010). Disclosure strategies among S&P 500 firms: Evidence on the disclosure of non-GAAP financial measures and financial statements in earnings press releases. The British Accounting Review, 42(2), 119-131. McVay, S. E. (2006). Earnings management using classification shifting: An examination of core earnings and special items. The accounting review, 81(3), 501-531. Muller, A., & Verschoor, W. F. (2006). European foreign exchange risk exposure. European Financial Management, 12(2), 195-220. Nance, D. R., Smith Jr, C. W., & Smithson, C. W. (1993). On the determinants of corporate hedging. The journal of Finance, 48(1), 267-284. Nydahl, S. (1999). Exchange rate exposure, foreign involvement and currency hedging. of firms: some Swedish evidence. European Financial Management, 5(2), 241-257. Pantzalis, C., Simkins, B. J., & Laux, P. A. (2001). Operational hedges and the foreign exchange exposure of US multinational corporations. Journal of International Business Studies, 32, 793-812. Pollock, A. J. (2005). FAS 133: what is accounting truth?. Journal of applied corporate. finance, 17(3), 102-106. Rajgopal, S. (2022). The Underbelly Of Financial Reporting And Management: Foreign. Currency Transactions. Forbes, May 16, 2022. Rapoport, M. (2016). SEC probes whether companies are misusing adjusted earnings metrics. The Wall Street Journal, C-3. Sherman, H. D., & Young, S. D. (2018). The Pitfalls of Non-GAAP Metrics. MIT Sloan Management Review, 59(2), 57-63. Smith Jr, C. W., Smithson, C. W., & Wilford, D. S. (1989). Managing financial risk. Journal of Applied Corporate Finance, 1(4), 27-48. Wang, G. (2014). The presentation arrangements of pro forma earnings disclosures: Managerial incentives and market responses. Accounting and Finance Research (2014). Wei, K. D., & Starks, L. T. (2013). Foreign exchange exposure elasticity and financial distress. Financial Management, 42(4), 709-735. Whipple, B. C. (2015). The great unknown: Why exclude “other” items from non-GAAP earnings calculations in the post-reg G world?. Available at SSRN 2480663. White, M. J. (2016). Focusing the lens of disclosure to set the path forward on board diversity, non-GAAP, and sustainability. In International Corporate Governance Network Annual Conference. San Francisco, California, US: Securities and Exchange Commission (SEC).
描述 碩士
國立政治大學
財務管理學系
111357030
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357030
資料類型 thesis
dc.contributor.advisor 張元晨zh_TW
dc.contributor.advisor Chang, Yuan-Chenen_US
dc.contributor.author (Authors) 羅兆辰zh_TW
dc.contributor.author (Authors) Lo, Chao-Chenen_US
dc.creator (作者) 羅兆辰zh_TW
dc.creator (作者) Lo, Chao-Chenen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 13:44:02 (UTC+8)-
dc.date.available 5-Aug-2024 13:44:02 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 13:44:02 (UTC+8)-
dc.identifier (Other Identifiers) G0111357030en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152730-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 111357030zh_TW
dc.description.abstract (摘要) 本研究探討美國上市公司排除匯率影響而以固定匯率基礎調整公司的獲利(以下簡稱固定匯率報告)是否會影響其股價崩盤風險與外匯曝險係數。文獻顯示固定匯率報告可以讓投資人更瞭解公司的營運表現，但也有文獻發現管理者會選擇性地利用固定匯率報告誤導投資人。過往較少文獻分析固定匯率報告與公司風險的相關性，因此本研究檢視固定匯率報告對於公司股價崩盤風險與外匯曝險係數的影響。 實證結果發現固定匯率報告與外匯曝險無顯著相關性，而公司同時使用固定匯率報告與營運避險策略可以顯著降低主要貨幣指數的外匯曝險。固定匯率報告與崩盤風險呈現顯著負相關，顯示固定匯率報告的揭露可以提供有價值的資訊，讓投資人更能夠準確地預估公司股價，避免股價受到高估而導致後續崩盤。然而公司於美元升值或匯兌損失時揭露固定匯率報告，有較高的崩盤風險，因此匯率波動對於公司不利時，固定匯率報告的揭露較具有投機性。zh_TW
dc.description.abstract (摘要) This study examines whether the adjustment of earnings based on constant currency basis (hereinafter referred to as constant currency reporting) affects stock price crash risk and foreign exchange exposure coefficients of U.S. listed firms. Prior literature shows that constant currency reporting makes investors better recognize the operational performance of firms. However, some studies indicate that managers would strategically disclose constant currency reporting to mislead investors. Little research analyzes the association between constant currency reporting and firm risk. Therefore, this study examines the impact of constant currency reporting on stock price crash risk and foreign exchange exposure coefficients. The association between constant currency reporting and foreign exchange exposure is not significant; however, firms adopting a combination of constant currency reporting and operational hedging strategies could significantly reduce exposure to Major Currency Index. The results also show a negative association between constant currency reporting and stock price crash risk, implying that the disclosure of constant currency reporting provides valuable information and allows investors to estimate stock price more accurately. Nevertheless, when facing US dollar appreciation or foreign exchange loss, U.S. firms tend to have higher crash risk after disclosing constant currency reporting, suggesting the disclosure is motivated by opportunism when exchange rate fluctuations are unfavorable to firms.en_US
dc.description.tableofcontents 第一章 緒論 7 第一節 研究背景與動機 7 第二節 研究目的 12 第三節 研究架構 14 第二章 文獻回顧與研究假說 15 第一節 非一般公認會計準則(Non-GAAP) 15 第二節 固定匯率報告 16 第三節 股價崩盤風險 17 第四節 外匯曝險 19 第三章 研究方法 23 第一節 樣本資料 23 第二節 資料說明 23 第三節 實證模型 25 第四章 實證結果 34 第一節 敘述統計 34 第二節 固定匯率報告與股價崩盤風險之相關性 36 第三節 固定匯率報告與外匯曝險之相關性 41 第四節 固定匯率報告搭配避險策略對於公司風險之影響 45 第五節 穩健性測試 49 第五章 結論與建議 53 第一節 研究結論 53 第二節 研究限制與後續研究建議 54 參考文獻 55 附錄 穩健性測試之迴歸結果 62zh_TW
dc.format.extent 1309426 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357030en_US
dc.subject (關鍵詞) 固定匯率報告zh_TW
dc.subject (關鍵詞) 股價崩盤風險zh_TW
dc.subject (關鍵詞) 外匯曝險zh_TW
dc.subject (關鍵詞) Constant currency reportingen_US
dc.subject (關鍵詞) Crash risken_US
dc.subject (關鍵詞) Foreign exchange exposureen_US
dc.title (題名) 固定匯率報告對股價崩盤風險與外匯曝險之影響zh_TW
dc.title (題名) The Impact of Constant Currency Reporting on Stock Price Crash Risk and Foreign Exchange Exposureen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 顧子宜（2023），影響美國公司以固定匯率評估財報的因素，國立政治大學財務管理學系碩士學位論文。 Adler, M., & Dumas, B. (1984). Exposure to currency risk: definition and measurement. Financial management, 41-50. Allayannis, G., & Ofek, E. (2001). Exchange rate exposure, hedging, and the use of. foreign currency derivatives. Journal of international money and finance, 20(2), 273-296. Barth, M. E., Gow, I. D., & Taylor, D. J. (2012). Why do pro forma and street earnings not reflect changes in GAAP? Evidence from SFAS 123R. Review of Accounting Studies, 17, 526-562. Bartram, S. M., & Bodnar, G. M. (2007). The exchange rate exposure puzzle. Managerial Finance, 33(9), 642-666. Bartram, S. M., Brown, G. W., & Minton, B. A. (2010). Resolving the exposure puzzle: The many facets of exchange rate exposure. Journal of Financial Economics, 95(2), 148-173. Bentley, J. W., Christensen, T. E., Gee, K. H., & Whipple, B. C. (2018). Disentangling. managers’ and analysts’ non‐GAAP reporting. Journal of Accounting Research, 56(4), 1039-1081. Bhattacharya, N., Black, E. L., Christensen, T. E., & Larson, C. R. (2003). Assessing the relative informativeness and permanence of pro forma earnings and GAAP operating earnings. Journal of Accounting and Economics, 36(1-3), 285-319. Black, D. E., & Christensen, T. E. (2009). US managers' use of ‘pro forma’adjustments. to meet strategic earnings targets. Journal of Business Finance & Accounting, 36(3‐4), 297-326. Black, D. E., Christensen, T. E., Ciesielski, J. T., & Whipple, B. C. (2018). Non‐GAAP reporting: Evidence from academia and current practice. Journal of Business Finance & Accounting, 45(3-4), 259-294. Black, D. E., Christensen, T. E., Ciesielski, J. T., & Whipple, B. C. (2021). Non‐GAAP earnings: A consistency and comparability crisis?. Contemporary Accounting Research, 38(3), 1712-1747. Bodnar, G. M., & Gentry, W. M. (1993). Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA. Journal of international Money and Finance, 12(1), 29-45. Bradshaw, M. T., Christensen, T. E., Gee, K. H., & Whipple, B. C. (2018). Analysts’ GAAP earnings forecasts and their implications for accounting research. Journal of Accounting and Economics, 66(1), 46-66. Bradshaw, M. T., & Sloan, R. G. (2002). GAAP versus the street: An empirical. assessment of two alternative definitions of earnings. Journal of accounting research, 40(1), 41-66. Broughton, K. (2022). Companies Focus On Constant-Currency Metrics to Soothe Investors’ Nerves. The Wall Street Journal, October 24, 2022. Brown, N. C., Huffman, A. A., & Cohen, S. (2023). Accounting Reporting Complexity. and Non-GAAP Earnings Disclosure. Accounting Review, 98(6). Butler, K. (2020). The Strategic Disclosure of Currency Headwinds and Tailwinds. University of Arkansas. Chang, F. Y., Hsin, C. W., & Shiah-Hou, S. R. (2013). 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