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題名:應用PDL模型探討匯率變動與公司價值關係
書刊名:經濟與管理論叢
作者:林育志 引用關係郭照榮 引用關係
作者(外文):Lin, LukeKuo, Chau-jung
出版日期:2008
卷期:4:2
頁次:頁145-162
主題關鍵詞:跨國企業外匯風險現金流量Multinational corporationsExchange rate riskCash flows
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:9
  • 點閱點閱:75
本文研究五大貿易夥伴國貨幣以及貿易加權匯率指數變動,對台灣上市公司未預期營利的影響。由於過去文獻所使用的資本市場方法,所能偵測出顯著貨幣風險的樣本數皆很少,而且無法查覺與辨認出正確的長期外匯風險,以供企業風險控管之參考,因此本文利用PDL模型來將外匯風險分解出短期與長期成份。我們發現此法在偵測曝險的能力方面有相對優勢的證據,同時顯示台灣公司長期的經濟曝險普遍存在。另外,結果指出高外銷比率的公司,其受到台灣最大出口國貨幣美元波動的影響,較其他國家貨幣為低。而低外銷比率的公司,其受到台灣最大進口國貨幣日圓波動的影響,同樣也較其他國家貨幣為低。
期刊論文
1.方文碩、賴奕豪(20010300)。匯率風險對出口貿易之衝擊。臺灣金融財務季刊,2(1)=4,83-101。new window  延伸查詢new window
2.高櫻芬、施衍礽(20020500)。公司價值與匯率變動之間的關係--臺灣上市公司之實證研究。風險管理學報,4(1),19-45。new window  延伸查詢new window
3.張紹基、蘇松齡(20011200)。臺灣出口廠商面臨的匯率風險。企業管理學報,51,87-108。new window  延伸查詢new window
4.Albrecht, W. S.、Lookabill, L. L.、McKeown, J. C.(1977)。The Time-series Properties of Annual Earnings。Journal of Accounting Research,15(2),226-244。  new window
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6.Martin, A. D.、Mauer, L. J.(2005)。A Note on Common Methods Used to Estimate Foreign Exchange Exposure。Journal of International Financial Markets, Institutions & Money,15(2),125-140。  new window
7.Muller, A.、Verschoor, W. F. C.(2006)。European Foreign Exchange Risk Exposure。European Financial Management,12(2),195-220。  new window
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9.Prasad, A. M.、Choi, J. J.(1995)。Exchange risk sensitivity and its determinants: A firm and industry analysis of U. S. multinationals。Financial Management,24(3),77-88。  new window
10.董澍琦、楊聲勇、紀妤瑩(20020900)。臺灣多國籍企業外匯風險曝露之研究。亞太經濟合作評論,9,36-49。  延伸查詢new window
11.Meese, Richard A.、Rogoff, Kenneth S.(1983)。Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?。Journal of International Economics,14(1/2),3-24。  new window
12.Bartov, Eli、Bodnar, Gordon M.(1994)。Firm Valuation, Earnings Expectations, and the Exchange-rate Exposure Effect。The Journal of Finance,49(5),1755-1785。  new window
13.Jorion, P.(1990)。The Exchange-Rate Exposure of U. S. Multinationals。Journal of Business,63(3),331-345。  new window
14.Almon, Shirley(1965)。The Distributed Lag between Capital Appropriations and Expenditures。Econometrica: Journal of the Econometric Society,33(1),178-196。  new window
15.Dumas, B.(1978)。The Theory of the Trading Firm Revisited。Journal of Finance,33(3),1019-1029。  new window
16.He, Jia、Ng, Lilian K.(1998)。The Foreign Exchange Exposure of Japanese Multinational Corporations。The Journal of Finance,53(2),733-753。  new window
17.Jonon, Philippe(1991)。The Pricing of Exchange Rate Risk in the Stock Market。Journal of Financial & Quantitative Analysis,26(3),363-376。  new window
18.Dufey, Gunter、Srinivasulu, S. L.(1983)。The Case for Corporate Management of Foreign Exchange Risk。Financial Management,12(4),54-62。  new window
19.Mussa, M.(1979)。Empirical Regularities in the Behavior of Exchange Rates and Theories of the Foreign Exchange Market。Carnegie-Rochester Conference Series on Public Policy,11(1),9-57。  new window
20.Hopwood, W.、Schaefer, T.(1989)。Firm-specific Responsiveness to Input Price Changes and the Incremental Information in Current Cost Income。The Accounting Review,64(2),313-328。  new window
21.Martin, A. D.、Mauer, L. J.(2004)。Scale Economies in Hedging Foreign Exchange Cash Flow Exposures。Global Finance Journal,15(1),17-27。  new window
22.Martin, A. D.、Mauer, L. J.(2003)。Transaction versus Economic Exposure: Which Has Greater Cash Flow Consequences?。International Review of Economics and Finance,12(4),437-449。  new window
23.Booth, L.(1996)。On the Nature of Foreign Exchange Exposure。Journal of Multinational Financial Management,6,1-23。  new window
24.Parsley, D.、Popper, H.(2006)。Exchange rate pegs and foreign exchange exposure in East and South East Asia。Journal of International Money and Finance,25(6),992-1009。  new window
會議論文
1.Akaike, H.(1973)。Information Theory and an Extension of the Maximum Likelihood Principle。The Second International Symposium on Information Theory。Budapest:Akademiai Kiado。267-281。  new window
圖書
1.Copeland, T.、Weston, J.、Shastri, K.(2004)。Financial Theory and Corporate Policy。Pearson Addison Wesley Press。  new window
單篇論文
1.Schena, P.(2005)。Measuring and Managing the Foreign Exchange Exposure of Chinese Companies: Recent Evidence。  new window
 
 
 
 
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