Publications-Theses
Article View/Open
Publication Export
-
Google ScholarTM
NCCU Library
Citation Infomation
Related Publications in TAIR
題名 匯率風險揭露、避險策略與公司價值之關聯性
Foreign Exchange Risk Disclosure, Hedging Strategies, and Their Impact on Firm Value作者 徐宇嫻
Hsu, Yu-Hsien貢獻者 張元晨
Chang, Yuan-Chen
徐宇嫻
Hsu, Yu-Hsien關鍵詞 匯率風險資訊揭露
避險策略
固定匯率報告
公司價值
FX risk disclosure
Hedging strategy
Constant currency reports
Firm values日期 2025 上傳時間 1-Jul-2025 14:49:34 (UTC+8) 摘要 本研究旨在探討美國企業面對匯率風險時，其於10-k財報中揭露的匯率風險資訊、固定匯率報告及避險策略之使用情形，同時我們進一步分析外匯風險揭露、固定匯率報告及避險策略之使用對美國企業價值之影響。實證結果發現外匯曝險對企業匯率風險之揭露有顯著的影響，外匯曝險也會誘發企業開始使用固定匯率報告，讓投資人了解控制匯率影響下的公司營運表現。同時，企業若於其財報中揭露匯率風險資訊、使用避險策略或公告固定匯率報告皆能顯著提升企業價值。然而，當企業同時揭露匯率風險資訊並採用避險策略時，因資訊揭露與避險策略之使用存在成本較高的問題，使得企業價值未能被提升，同時，我們也發現具高跨國經營程度之企業，其企業價值並不一定較高，顯示投資人更重視企業是否具備有效的風險管理行為，而非僅有海外營收比重。我們的研究證實匯率風險管理之重要性，亦發現企業採取匯率風險資訊揭露或避險策略有助於企業價值的增加，提供企業進行風險管理決策時重要的參考依據。
This study investigates how U.S. firms exposed to exchange rate risk employ foreign exchange (FX) risk disclosures, constant currency reporting, and hedging strategies in their 10-K filings. Additionally, we examine the impact of these practices on firm value. First, our findings indicate that FX exposure has a significant impact on FX risk disclosures. It can also drive firms to utilize constant currency reporting, enabling investors to better understand the company’s operating performance without currency fluctuations. Meanwhile, FX risk disclosures, the use of hedging strategies, and constant currency reporting are each significantly associated with higher firm value. However, when firms simultaneously disclose FX risk and implement hedging strategies, the potential costs related to disclosure and hedging may offset their combined benefits, resulting in no significant improvement in firm value. Furthermore, we find that a high proportion of international sales does not necessarily correspond to higher firm value. This suggests that investors may place greater emphasis on the effectiveness of a firm’s risk management practices rather than the extent of its international operations. Overall, our study provides empirical evidence that FX disclosure and hedging strategies play a critical role in enhancing firm value, particularly when managerial decisions regarding risk management are involved.參考文獻 一、中文文獻 羅兆辰（2024），固定匯率報告對股價崩盤風險與外匯曝險之影響，國立政治大學財務管理學系碩士學位論文。 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。 二、英文文獻： Adams, P., & Verdelhan, A. (2021). FX transaction and translation risk. 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. Allayannis, G., & Weston, J. P. (2001). The use of foreign currency derivatives and firm market value. The Review of Financial Studies, 14(1), 243-276. 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. Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27. Brown, G. W. (2001). Managing foreign exchange risk with derivatives. Journal of Financial Economics, 60(2-3), 401-448. 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. 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. Butler, K. (2020). The Strategic Disclosure of Currency Headwinds and Tailwinds. University of Arkansas. Curtis, A., McVay, S., & Whipple, B. (2014). Non-GAAP earnings: informative or opportunistic? An analysis of transitory gains. The Accounting Review, 89(3), 933-958. Dominguez, K. M., & Tesar, L. L. (2006). Exchange rate exposure. Journal of International Economics, 68(1), 188-218. 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. Gao, T. (2000). Exchange rate movements and the profitability of US multinationals. Journal of International Money and Finance, 19(1), 117-134. Guay, W., & Kothari, S. P. (2003). How much do firms hedge with derivatives?. Journal of Financial Economics, 70(3), 423-461. Hagelin, N., & Pramborg, B. (2004). Hedging foreign exchange exposure: Risk reduction from transaction and translation hedging. Journal of International Financial Management & Accounting, 15(1), 1-20. Harris, T. S., & Rajgopal, S. (2018). Foreign currency: Accounting, communication and management of risks. Columbia business school research paper, (17-93). Harris, T., & Rajgopal, S. (2022). Foreign currency: Accounting, communication and management of risks. Foundations and Trends® in Accounting, 16(3), 184-307. He, Jia, and Lilian K. Ng. "The foreign exchange exposure of Japanese multinational corporations." The Journal of Finance 53.2 (1998): 733-753. Healy, P. M., & Palepu, K. G. (2001). Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of Accounting and Economics, 31(1-3), 405-440. Hoberg, G., & Moon, S. K. (2017). Offshore activities and financial vs operational hedging. Journal of Financial Economics, 125(2), 217-244. Kiymaz, H. (2003). Estimation of foreign exchange exposure: an emerging market application. Journal of Multinational Financial Management, 13(1), 71-84. Konchitchki, Y., & Xie, J. (2023). Undisclosed material inflation risk. Journal of Monetary Economics, 140, S82-S100. Kothari, S. P., Shu, S., & Wysocki, P. D. (2009). Do managers withhold bad news?. Journal of Accounting research, 47(1), 241-276. Lang, M. H., & Lundholm, R. J. (1996). Corporate disclosure policy and analyst behavior. Accounting Review, 467-492. Li, Y., He, J., & Xiao, M. (2019). Risk disclosure in annual reports and corporate investment efficiency. International Review of Economics & Finance, 63, 138-151. Liang, W. L., Hsiou-wei, W. L., & Syu, Y. J. (2010). Precision of investor information and financial disclosure. International Review of Economics & Finance, 19(4), 627-632. Lin, C. M., Phillips, R. D., & Smith, S. D. (2008). Hedging, financing, and investment decisions: Theory and empirical tests. Journal of Banking & Finance, 32(8), 1566-1582. Muller, A., & Verschoor, W. F. (2006). Foreign exchange risk exposure: Survey and suggestions. Journal of Multinational Financial Management, 16(4), 385-410. Nanda, S., & Panda, A. K. (2018). The determinants of corporate profitability: an investigation of Indian manufacturing firms. International Journal of Emerging Markets, 13(1), 66-86. Siegel, M. (2014). For the investor: The use of non-GAAP metrics. FASB Outlook Q, 4, 2014. Wang, W., Su, C., & Duxbury, D. (2021). Investor sentiment and stock returns: Global evidence. Journal of Empirical Finance, 63, 365-391. White, M. J. (2016, June). Keynote address, International Corporate Governance Network Annual Conference: 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. 三、 網站： Deloitte財務長的挑戰：淺談企業匯率風險管理，https://www2.deloitte.com/tw/tc/pages/strategy-operations/articles/foreign-exchange-risk.html Deloitte Constant currency presentation，https://dart.deloitte.com/USDART/home/accounting/sec/sec-reporting-interpretations-manual/roadmap-non-gaap-financial-measures/chapter-4-non-gaap-measures-that/4-13-constant-currency-presentations Vena The pros and cons of constant currency reporting，https://www.venasolutions.com/blog/pros-and-cons-of-constant-currency-reporting Abylon Understanding constant currency in management reporting，https://dart.deloitte.com/USDART/home/accounting/sec/sec-reporting-interpretations-manual/roadmap-non-gaap-financial-measures/chapter-4-non-gaap-measures-that/4-13-constant-currency-presentations Gtreasury 5 challenges of year-over-year constant currency reporting，https://dart.deloitte.com/USDART/home/accounting/sec/sec-reporting-interpretations-manual/roadmap-non-gaap-financial-measures/chapter-4-non-gaap-measures-that/4-13-constant-currency-presentations 描述 碩士
國立政治大學
財務管理學系
112357004資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357004 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.advisor Chang, Yuan-Chen en_US dc.contributor.author (Authors) 徐宇嫻 zh_TW dc.contributor.author (Authors) Hsu, Yu-Hsien en_US dc.creator (作者) 徐宇嫻 zh_TW dc.creator (作者) Hsu, Yu-Hsien en_US dc.date (日期) 2025 en_US dc.date.accessioned 1-Jul-2025 14:49:34 (UTC+8) - dc.date.available 1-Jul-2025 14:49:34 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2025 14:49:34 (UTC+8) - dc.identifier (Other Identifiers) G0112357004 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157770 - 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) 112357004 zh_TW dc.description.abstract (摘要) 本研究旨在探討美國企業面對匯率風險時，其於10-k財報中揭露的匯率風險資訊、固定匯率報告及避險策略之使用情形，同時我們進一步分析外匯風險揭露、固定匯率報告及避險策略之使用對美國企業價值之影響。實證結果發現外匯曝險對企業匯率風險之揭露有顯著的影響，外匯曝險也會誘發企業開始使用固定匯率報告，讓投資人了解控制匯率影響下的公司營運表現。同時，企業若於其財報中揭露匯率風險資訊、使用避險策略或公告固定匯率報告皆能顯著提升企業價值。然而，當企業同時揭露匯率風險資訊並採用避險策略時，因資訊揭露與避險策略之使用存在成本較高的問題，使得企業價值未能被提升，同時，我們也發現具高跨國經營程度之企業，其企業價值並不一定較高，顯示投資人更重視企業是否具備有效的風險管理行為，而非僅有海外營收比重。我們的研究證實匯率風險管理之重要性，亦發現企業採取匯率風險資訊揭露或避險策略有助於企業價值的增加，提供企業進行風險管理決策時重要的參考依據。 zh_TW dc.description.abstract (摘要) This study investigates how U.S. firms exposed to exchange rate risk employ foreign exchange (FX) risk disclosures, constant currency reporting, and hedging strategies in their 10-K filings. Additionally, we examine the impact of these practices on firm value. First, our findings indicate that FX exposure has a significant impact on FX risk disclosures. It can also drive firms to utilize constant currency reporting, enabling investors to better understand the company’s operating performance without currency fluctuations. Meanwhile, FX risk disclosures, the use of hedging strategies, and constant currency reporting are each significantly associated with higher firm value. However, when firms simultaneously disclose FX risk and implement hedging strategies, the potential costs related to disclosure and hedging may offset their combined benefits, resulting in no significant improvement in firm value. Furthermore, we find that a high proportion of international sales does not necessarily correspond to higher firm value. This suggests that investors may place greater emphasis on the effectiveness of a firm’s risk management practices rather than the extent of its international operations. Overall, our study provides empirical evidence that FX disclosure and hedging strategies play a critical role in enhancing firm value, particularly when managerial decisions regarding risk management are involved. en_US dc.description.tableofcontents 第一章緒論 10 第一節研究動機與問題 10 第二節研究目的 19 第三節研究架構 20 第二章文獻回顧與研究假說 20 第一節 外匯風險（Currency Risk）與外匯曝險（Currency Exposure）的揭露 20 第二節 風險因子（Risk factor）與管理階層對財務狀況及經營績效的討論與分析（MD&A）相關研究 22 第三節 非公認會計原則報告（Non-GAAP） 24 第四節 外匯管理方法－固定匯率報告與避險策略 26 第五節 風險資訊揭露對公司價值之影響 30 第六節 避險策略對公司價值之影響 31 第三章研究方法 33 第一節樣本資料 33 第二節資料說明 34 一、美國企業是否面臨匯率風險 34 二、企業匯率風險資訊揭露 34 三、固定匯率報告 35 四、財務避險與營運避險 38 五、企業價值（Tobin’s Q）的衡量方式 38 六、控制變數 39 第三節實證模型 41 一、企業揭露匯率風險與使用固定匯率報告的決定因素 41 二、企業外匯曝險程度與匯率風險相關資訊揭露之關係 42 三、外匯風險對企業價值變化之關係 44 第四章實證結果 47 第一節敘述統計分析 47 一、財報風險揭露 47 二、匯率風險及其在財報上的揭露情形 52 三、樣本敘述統計 54 第二節迴歸統計分析 56 一、企業揭露匯率風險與使用固定匯率報告的決定因素 56 二、企業外匯曝險程度與匯率風險相關資訊揭露之關係 57 三、企業匯率風險資訊揭露與避險策略對美國企業市值變化之關係 65 第五章結果與建議 70 第一節研究結論 70 第二節研究限制與後續建議 71 參考文獻 73 附錄 78 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357004 en_US dc.subject (關鍵詞) 匯率風險資訊揭露 zh_TW dc.subject (關鍵詞) 避險策略 zh_TW dc.subject (關鍵詞) 固定匯率報告 zh_TW dc.subject (關鍵詞) 公司價值 zh_TW dc.subject (關鍵詞) FX risk disclosure en_US dc.subject (關鍵詞) Hedging strategy en_US dc.subject (關鍵詞) Constant currency reports en_US dc.subject (關鍵詞) Firm values en_US dc.title (題名) 匯率風險揭露、避險策略與公司價值之關聯性 zh_TW dc.title (題名) Foreign Exchange Risk Disclosure, Hedging Strategies, and Their Impact on Firm Value en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文文獻 羅兆辰（2024），固定匯率報告對股價崩盤風險與外匯曝險之影響，國立政治大學財務管理學系碩士學位論文。 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。 二、英文文獻： Adams, P., & Verdelhan, A. (2021). FX transaction and translation risk. 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. Allayannis, G., & Weston, J. P. (2001). The use of foreign currency derivatives and firm market value. The Review of Financial Studies, 14(1), 243-276. 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. Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of Empirical Finance, 11(1), 1-27. Brown, G. W. (2001). Managing foreign exchange risk with derivatives. Journal of Financial Economics, 60(2-3), 401-448. 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. 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. Butler, K. (2020). The Strategic Disclosure of Currency Headwinds and Tailwinds. University of Arkansas. Curtis, A., McVay, S., & Whipple, B. (2014). Non-GAAP earnings: informative or opportunistic? An analysis of transitory gains. The Accounting Review, 89(3), 933-958. Dominguez, K. M., & Tesar, L. L. (2006). Exchange rate exposure. Journal of International Economics, 68(1), 188-218. 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. Gao, T. (2000). Exchange rate movements and the profitability of US multinationals. Journal of International Money and Finance, 19(1), 117-134. Guay, W., & Kothari, S. P. (2003). How much do firms hedge with derivatives?. Journal of Financial Economics, 70(3), 423-461. Hagelin, N., & Pramborg, B. (2004). Hedging foreign exchange exposure: Risk reduction from transaction and translation hedging. Journal of International Financial Management & Accounting, 15(1), 1-20. Harris, T. S., & Rajgopal, S. (2018). Foreign currency: Accounting, communication and management of risks. Columbia business school research paper, (17-93). Harris, T., & Rajgopal, S. (2022). Foreign currency: Accounting, communication and management of risks. Foundations and Trends® in Accounting, 16(3), 184-307. He, Jia, and Lilian K. Ng. "The foreign exchange exposure of Japanese multinational corporations." The Journal of Finance 53.2 (1998): 733-753. Healy, P. M., & Palepu, K. G. (2001). Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature. Journal of Accounting and Economics, 31(1-3), 405-440. Hoberg, G., & Moon, S. K. (2017). Offshore activities and financial vs operational hedging. Journal of Financial Economics, 125(2), 217-244. Kiymaz, H. (2003). Estimation of foreign exchange exposure: an emerging market application. Journal of Multinational Financial Management, 13(1), 71-84. Konchitchki, Y., & Xie, J. (2023). Undisclosed material inflation risk. Journal of Monetary Economics, 140, S82-S100. Kothari, S. P., Shu, S., & Wysocki, P. D. (2009). Do managers withhold bad news?. Journal of Accounting research, 47(1), 241-276. Lang, M. H., & Lundholm, R. J. (1996). Corporate disclosure policy and analyst behavior. Accounting Review, 467-492. Li, Y., He, J., & Xiao, M. (2019). Risk disclosure in annual reports and corporate investment efficiency. International Review of Economics & Finance, 63, 138-151. Liang, W. L., Hsiou-wei, W. L., & Syu, Y. J. (2010). Precision of investor information and financial disclosure. International Review of Economics & Finance, 19(4), 627-632. Lin, C. M., Phillips, R. D., & Smith, S. D. (2008). Hedging, financing, and investment decisions: Theory and empirical tests. Journal of Banking & Finance, 32(8), 1566-1582. Muller, A., & Verschoor, W. F. (2006). Foreign exchange risk exposure: Survey and suggestions. Journal of Multinational Financial Management, 16(4), 385-410. Nanda, S., & Panda, A. K. (2018). The determinants of corporate profitability: an investigation of Indian manufacturing firms. International Journal of Emerging Markets, 13(1), 66-86. Siegel, M. (2014). For the investor: The use of non-GAAP metrics. FASB Outlook Q, 4, 2014. Wang, W., Su, C., & Duxbury, D. (2021). Investor sentiment and stock returns: Global evidence. Journal of Empirical Finance, 63, 365-391. White, M. J. (2016, June). Keynote address, International Corporate Governance Network Annual Conference: 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. 三、 網站： Deloitte財務長的挑戰：淺談企業匯率風險管理，https://www2.deloitte.com/tw/tc/pages/strategy-operations/articles/foreign-exchange-risk.html Deloitte Constant currency presentation，https://dart.deloitte.com/USDART/home/accounting/sec/sec-reporting-interpretations-manual/roadmap-non-gaap-financial-measures/chapter-4-non-gaap-measures-that/4-13-constant-currency-presentations Vena The pros and cons of constant currency reporting，https://www.venasolutions.com/blog/pros-and-cons-of-constant-currency-reporting Abylon Understanding constant currency in management reporting，https://dart.deloitte.com/USDART/home/accounting/sec/sec-reporting-interpretations-manual/roadmap-non-gaap-financial-measures/chapter-4-non-gaap-measures-that/4-13-constant-currency-presentations Gtreasury 5 challenges of year-over-year constant currency reporting，https://dart.deloitte.com/USDART/home/accounting/sec/sec-reporting-interpretations-manual/roadmap-non-gaap-financial-measures/chapter-4-non-gaap-measures-that/4-13-constant-currency-presentations zh_TW
