摘要

關鍵字：外匯、外匯曝險、台灣、公司價值、金控公司。

本研究旨在檢測台灣金融市場中金控公司的外匯曝險程度對其企業價值的影響。以2006年到2015年間10家台灣上市金控公司為樣本，採用資本市場法與現金流量法為研究方法進行實證分析。資本市場法之實證結果顯示當期外匯曝險對台灣金控公司股票報酬率有顯著之影響，此結果可歸因於台灣的金融產業相較於其他成熟市場的金融產業而言，其全球化程度較低，過度依賴資金放款作為主要收入來源。過去文獻以2008年金融海嘯前的樣本資料，大多發現外匯曝險對公司未預期營業收入之影響重大。而本研究以2006-2015為樣本區間，採用現金流量法之實證結果顯示，外匯曝險對企業價值的影響偏低，且長期較短期顯著。本研究推測其可能原因為，金融海嘯後，台灣金控公司以提高風險管理，加強外匯避險機制。本研究建議金管會應特別監督那些投資海外資產金額高的金控公司，是否確實建立良好的風險控管機制。

Abstract

Key Words: Foreign exchange rate, exchange exposure, Taiwan, corporate value, financial holding company.

This study aims to examine the effects of foreign exchange exposure on corporate value for financial holding companies in Taiwan. Two main approaches used are capital market approach and cash flow approach. I used 10 listed financial holding companies as the sample. Data were collected during a period from 2006 to 2015. The empirical result from the capital market approach shows that foreign exchange exposure has a significant effect on stock return, suggesting that the market performance is vulnerable to foreign exchange exposure for financial holding companies in Taiwan. This result is reasonable since that the level of globalization of financial holding companies in Taiwan is limited and their business incomes extremely depend on making loans to other companies.

As to the result from the cash flow approach, I found that the effects of exchange exposure on unexpected operating income is more significant in the long-term horizon. However, compared with the results of prior similar studies using data collected before the 08’ financial crisis, my result in this study indicates that the effects of exchange exposure turns out to be trivial after the 08’ financial crisis. This finding suggests that, to avoid the loss from exchange exposure, the sample companies pay more attention to the risk of exchange exposure and thus effectively hedge exchange exposure after the 08’ financial crisis.

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