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題名 公司盈餘管理對電子業外匯曝險的影響 -以半導體產業鏈為例
The Effect of Earnings Managements on Foreign Exchange Rate Exposures in Electronics Industry - Study on Semiconductor Industry作者 吳美慧 貢獻者 林建秀
吳美慧關鍵詞 外匯曝險
避險
盈餘管理
電子業日期 2014 上傳時間 1-Oct-2015 14:13:18 (UTC+8) 摘要 本研究目的為探討以非本國貨幣交易之跨國企業在承受外匯變動所導致公司價值改變時，除了利用衍生性金融性商品的操作避險外，是否也利用會計手法進行盈餘管理上的操弄，以降低因承受外匯曝險而導致投資人對公司股票評價的負面預期的可能性。樣本公司以半導體產業的上游、中游、下游廠商為標的，採用貨幣概分為美元、歐元、人民幣及日圓。研究過程首先將計算各公司是否承受顯著的外匯曝險，其次利用Leuz et al.(2003)提出的三種盈餘管理模式，探討三種不同面向的盈餘管理是否能降低公司的外匯曝險。而在實證結果方面，針對外匯曝險衡量的部分可觀察到，致使公司承受顯著外匯曝險的因素有二：一為利用衍生性金融商品避險的有無，一為公司主要往來區域所使用之貨幣的走勢；而在盈餘管理是否有顯著降低外匯曝險方面，整體而言，上游公司在採樣期間因受惠於本國貨幣貶值所帶來的優勢，盈餘管理的使用程度最不積極，此外，我們也發現，沒有利用衍生性金融商品進行避險，即採取自然避險的公司，更傾向利用盈餘管理以降低公司所承受的外匯曝險。 參考文獻 Adler, M., Dumas, B., 1984. Exposure to currency risk: definition and measurement.Financial Management 13, 41–50Allayannis, G., Ofek, E., 2001. Exchange-rate exposure, hedging, and the use of foreign currency derivatives. Journal of International Money and Finance 20, 273–296Amihud, Y., 1994. Exchange rates and the valuation of equity shares. In: Amihud,Yakov., Levich, Richard.M. (Eds.), Exchange Rates and Corporate Performance. Irwin, New York.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, 148–173.Bartram, S.M., Brown, G.W., Conrad, J., 2011. The effects of derivatives on firm risk and value. Journal of Financial and Quantitative Analysis 46, 967–999Bodnar, G.M., Wong, M.H.F., 2003. Estimating exchange rate exposures: issues in model structure. Financial Management 32, 35–67.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, 29–45.Chow, E. H., W. Y. Lee, and M. E. Solt, 1997a, The Exchange-Rate Exposure of Asset Returns. Journal of Business, 70, 105-123.Chamberlain, S., Howe, J.S., Popper, H., 1997. The exchange rate exposure of US and Japanese banking institutions. Journal of Banking and Finance 21, 871–892.Dechow, P., Sloan, R., Sweeney, A., 1995. Detecting earnings management. The Accounting Review 70,193–225.DeFond, M.L., Park, C.W., 1997. Smoothing in anticipation of future earnings. Journal of Accounting and Economics 23, 115–139.Doidge, C., Griffin, J., Williamson, R., 2006. Measuring the economic importance of exchange rate exposure. Journal of Empirical Finance 13, 550–576.Feng-Yi Chang, Chin-Wen Hsin, Shin-Rong Shiah-Hou, 2013.A re-examination of exposure to exchange rate risk: The impact of earnings management and currency derivative usage. Journal of Banking & Finance 37 (2013), 3243-3257.Faff, R.W., Marshall, A., 2005. International evidence on determinants of foreign exchange rate exposure of multinational companies. Journal of InternationalBusiness Studies 36, 539-538.Fama, Eugene and Kenneth R. Frennch, 1993. Common risk factors in the return on stocks and bonds. Journal of Financial Economics, 33(1), 3-56Jorion, P., 1990. The exchange rate exposure of US multinationals. Journal of Business 63, 331–345.Jorion, P., 1991. The pricing of exchange risk in the stock market. Journal of Financial and Quantitative Analysis 26, 353–376.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, 834–853.Lambert, R.A., 1984. Income smoothing as rational equilibrium behavior. The Accounting Review 59, 604–618.Leuz, C., Nanda, D., Wysocki, P.D., 2003. Earnings management and investor protection: an international comparison. Journal of Financial Economics 69, 505–527Pincus, M., Rajgopal, S., 2002. The interaction of accrual management and hedging: evidence from oil and gas firms. The Accounting Review 71, 127–160.Sharpe, William F., 1964. Capital asset prices : a theory of market equilibrium under conditions of risk. Journal of Finance 19, 425-422.Tucker, J. W., & Zarowin, P. A., 2006. Does income smoothing improve earnings informativeness? The Accounting Review 81, 251-270. Trueman, B. and S. Titman, 1988. An explanation for accounting income smoothing. Journal of Accounting Research 26, 127-146.陳正德 (2006)，台灣高科技產業匯率風險暴露之研究，遠東學報，第二十三卷第三期。蘇松齡，張紹基 (2002)，台灣出口廠商面臨的匯率風險，企業管理學報，87-108頁。 描述 碩士
國立政治大學
金融研究所
101352005資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101352005 資料類型 thesis dc.contributor.advisor 林建秀 zh_TW dc.contributor.author (Authors) 吳美慧 zh_TW dc.creator (作者) 吳美慧 zh_TW dc.date (日期) 2014 en_US dc.date.accessioned 1-Oct-2015 14:13:18 (UTC+8) - dc.date.available 1-Oct-2015 14:13:18 (UTC+8) - dc.date.issued (上傳時間) 1-Oct-2015 14:13:18 (UTC+8) - dc.identifier (Other Identifiers) G0101352005 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/78731 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融研究所 zh_TW dc.description (描述) 101352005 zh_TW dc.description.abstract (摘要) 本研究目的為探討以非本國貨幣交易之跨國企業在承受外匯變動所導致公司價值改變時，除了利用衍生性金融性商品的操作避險外，是否也利用會計手法進行盈餘管理上的操弄，以降低因承受外匯曝險而導致投資人對公司股票評價的負面預期的可能性。樣本公司以半導體產業的上游、中游、下游廠商為標的，採用貨幣概分為美元、歐元、人民幣及日圓。研究過程首先將計算各公司是否承受顯著的外匯曝險，其次利用Leuz et al.(2003)提出的三種盈餘管理模式，探討三種不同面向的盈餘管理是否能降低公司的外匯曝險。而在實證結果方面，針對外匯曝險衡量的部分可觀察到，致使公司承受顯著外匯曝險的因素有二：一為利用衍生性金融商品避險的有無，一為公司主要往來區域所使用之貨幣的走勢；而在盈餘管理是否有顯著降低外匯曝險方面，整體而言，上游公司在採樣期間因受惠於本國貨幣貶值所帶來的優勢，盈餘管理的使用程度最不積極，此外，我們也發現，沒有利用衍生性金融商品進行避險，即採取自然避險的公司，更傾向利用盈餘管理以降低公司所承受的外匯曝險。 zh_TW dc.description.tableofcontents 摘要.................................... I目錄.................................... II表目錄.................................. III圖目錄.................................. IVV第壹章 緒論............................. 1第一節 研究背景...........................1第二節 研究目的.......................... 3第貳章 文獻回顧.......................... 5第一節 外匯曝險相關文獻................... 5第二節 盈餘管理相關文獻................... 9第參章 研究方法.......................... 12第一節 各公司對匯率的曝險值............... 12第二節 因子對匯率曝險β_i^fx的解釋能力...... 13第肆章 實證分析.......................... 16第一節 資料描述.......................... 16第二節 各公司的匯率曝險β_i^fx值........... 20第三節 盈餘管理對外匯曝險之影響............ 30第伍章 結論與建議........................ 47第一節 結論.............................. 47第二節 研究建議.......................... 49參考文獻.................................50 zh_TW dc.format.extent 1228157 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101352005 en_US dc.subject (關鍵詞) 外匯曝險 zh_TW dc.subject (關鍵詞) 避險 zh_TW dc.subject (關鍵詞) 盈餘管理 zh_TW dc.subject (關鍵詞) 電子業 zh_TW dc.title (題名) 公司盈餘管理對電子業外匯曝險的影響 -以半導體產業鏈為例 zh_TW dc.title (題名) The Effect of Earnings Managements on Foreign Exchange Rate Exposures in Electronics Industry - Study on Semiconductor Industry en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Adler, M., Dumas, B., 1984. Exposure to currency risk: definition and measurement.Financial Management 13, 41–50Allayannis, G., Ofek, E., 2001. Exchange-rate exposure, hedging, and the use of foreign currency derivatives. Journal of International Money and Finance 20, 273–296Amihud, Y., 1994. Exchange rates and the valuation of equity shares. In: Amihud,Yakov., Levich, Richard.M. (Eds.), Exchange Rates and Corporate Performance. Irwin, New York.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, 148–173.Bartram, S.M., Brown, G.W., Conrad, J., 2011. The effects of derivatives on firm risk and value. Journal of Financial and Quantitative Analysis 46, 967–999Bodnar, G.M., Wong, M.H.F., 2003. Estimating exchange rate exposures: issues in model structure. Financial Management 32, 35–67.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, 29–45.Chow, E. H., W. Y. Lee, and M. E. Solt, 1997a, The Exchange-Rate Exposure of Asset Returns. Journal of Business, 70, 105-123.Chamberlain, S., Howe, J.S., Popper, H., 1997. The exchange rate exposure of US and Japanese banking institutions. Journal of Banking and Finance 21, 871–892.Dechow, P., Sloan, R., Sweeney, A., 1995. Detecting earnings management. The Accounting Review 70,193–225.DeFond, M.L., Park, C.W., 1997. Smoothing in anticipation of future earnings. Journal of Accounting and Economics 23, 115–139.Doidge, C., Griffin, J., Williamson, R., 2006. Measuring the economic importance of exchange rate exposure. Journal of Empirical Finance 13, 550–576.Feng-Yi Chang, Chin-Wen Hsin, Shin-Rong Shiah-Hou, 2013.A re-examination of exposure to exchange rate risk: The impact of earnings management and currency derivative usage. Journal of Banking & Finance 37 (2013), 3243-3257.Faff, R.W., Marshall, A., 2005. International evidence on determinants of foreign exchange rate exposure of multinational companies. Journal of InternationalBusiness Studies 36, 539-538.Fama, Eugene and Kenneth R. Frennch, 1993. Common risk factors in the return on stocks and bonds. Journal of Financial Economics, 33(1), 3-56Jorion, P., 1990. The exchange rate exposure of US multinationals. Journal of Business 63, 331–345.Jorion, P., 1991. The pricing of exchange risk in the stock market. Journal of Financial and Quantitative Analysis 26, 353–376.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, 834–853.Lambert, R.A., 1984. Income smoothing as rational equilibrium behavior. The Accounting Review 59, 604–618.Leuz, C., Nanda, D., Wysocki, P.D., 2003. Earnings management and investor protection: an international comparison. Journal of Financial Economics 69, 505–527Pincus, M., Rajgopal, S., 2002. The interaction of accrual management and hedging: evidence from oil and gas firms. The Accounting Review 71, 127–160.Sharpe, William F., 1964. Capital asset prices : a theory of market equilibrium under conditions of risk. Journal of Finance 19, 425-422.Tucker, J. W., & Zarowin, P. A., 2006. Does income smoothing improve earnings informativeness? The Accounting Review 81, 251-270. Trueman, B. and S. Titman, 1988. An explanation for accounting income smoothing. Journal of Accounting Research 26, 127-146.陳正德 (2006)，台灣高科技產業匯率風險暴露之研究，遠東學報，第二十三卷第三期。蘇松齡，張紹基 (2002)，台灣出口廠商面臨的匯率風險，企業管理學報，87-108頁。 zh_TW
