摘要
匯率的波動往往會影響一個公司的獲利狀況，進而影響其公司價值。因此，公司的股價報酬率是否會受到匯率波動影響，成為學術研究與實務投資分析上重要的議題。在本篇論文中，我們試著要去回答以下兩個問題：(1) 什麼樣的因素會影響公司匯率暴露的程度? (2) 匯率波動對公司股價報酬的影響是否產生不對稱性的效果?
過去實證研究已經發現，公司涉及海外發展的程度，例如，出口比率與有無使用外匯的衍生性金融產品為主要影響匯率暴露程度的變數。但過去研究卻忽略了，公司進入海外市場的模式可能也是影響匯率暴露程度的重要變數。因此，探討此一議題將有助於更進一步了解，匯率暴露的決定因素為何。過去研究已指出公司在面對匯率波動時，會產生特別的行為，例如，asymmetric pricing-to-market behavior、 hysteretic behavior and hedging behavior。這些特定的行為將會影響到匯率波動與公司價值之間的關係。因此，了解公司是否有不對稱性的匯率暴露情況，有助於我們解釋為何過去研究無法發現顯著的對稱性匯率暴露。
我們研究結果發現，公司的海外進入模式的確是影響公司匯率暴露程度的重要變數。當公司採取合資(joint venture)的海外進入模式，將比獨資(wholly-owned subsidiary)可以有效減低公司受到匯率波動的影響。此外，我們發現公司的確存有不對稱性的匯率暴率情形。尤其，當公司是屬於出口導向性質或是投資在許多海外市場的國際企業，更會產生不對稱性匯率暴露的情況。

Abstract
The effect of exchange rate movements on the value of a firm has become an important field in both academic research and practical investment analysis. In this paper, we try to answer two questions in this field: (1) what are important factors in determining of foreign exchange exposure? (2) Is the firm value influenced by foreign exchange rate asymmetrically?
Previous empirical results focus on firm’s level of foreign involvement, namely export ratio or foreign sales, and using currency derivatives. However, they ignored that firms’ different foreign entry mode might be an important in determining of foreign exchange exposure, too. Thus, we focus on this part to shed more light on the determinants of foreign exposure. Based on firms’ specific behaviors, namely asymmetric pricing-to-market behavior, hysteretic behavior and hedging behavior, we could find some evidences of asymmetric foreign exchange exposure. This result might explain why we cannot detect the significant linear foreign exposure.
Our empirical results show that firms’ foreign entry mode indeed an important factor in determining of exposures. Firms adopt joint venture mode as foreign entry strategy could significantly reduce the foreign exchange exposure. It is evidence that firms yield asymmetric foreign exchange exposure in Taiwan market, especially in year 1999 and 2001. We also find that firms with higher export ratio and more foreign countries where invested in have a higher possibility to yield asymmetric exposures.

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