This paper analyzes the extent of foreign exchange rate exposure in Hong Kong, Japan and Singapore in both firm level and industry level in the period of January 1996 to January 2011 by regressing the stock return of a particular industry or firm on exchange rate changes while controlling for overall stock market movements. It is found that exchange rate movements do affect firm and industry value in a manner consistent with expectation and the extract of unexpected exchange rate changes from actual exchange rate changes have little influence on the testing results of exposure. It is also proved that exchange rate regime plays an irreplaceable role in drawing the structure of exchange rate exposure of a country.

Following the development of international trade, exchange rate uncertainty is a majorsource of risk for corporations involved in international activities. It has forcedmanagers and academics to pay more attention to the effect of exchange rate volatilityon firm value, particularly in developed countries. In the 1990s Asian financial crises,the stock return volatility of US multinational firms increases significantly with therapid expansion of Asian currency crises to world stock market. It led academics andinvestors to pay increasing attention to examine exchange rate exposure in Asia stockmarkets. Nowadays the value of U.S. dollar increased volatility against Asian countries’currency since U.S. financial crisis beginning in August 2007. From what we know, fewof researches report the impact of US financial crisis for Asia firms. This paper aims toexplore the relation between exchange rate movement and firm values in Asian markets. The main purpose of this paper is to examine whether a significant contemporaneousand lagged variability of Asian firms’ stock returns are affected by exchange ratemovement in Asian markets, such as Hong Kong, Singapore, China, Taiwan, andMalaysia during the period from August 2005 to March 2010. Differences of capitalmaturity were compared with among these five Asian economies, covering bothdeveloped markets and emerging markets in Asia. This comparison makes sense tounderstand the efficient market hypothesis theory. In order to ensure our research’svalidity and reliability, sample firms are randomly chosen by the method of stratifiedsampling. The second step in this study is to examine the impact of firm-specific factorson sensitivity to exchange rate movement for those firms with a significant exchangerate exposure. The five firm specific factors are firm size, leverage situation, hedgingactivities, foreign involvement level, and industry classification. The main methods inthis quantitative research are simple and multiple linear regressions. The ordinary leastsquares method in SPSS program was used to estimate the parameters for eachindependent variable. Using a sample of 182 listed firms in these five sample markets, except China,exchange rate exposure of firms in other four Asian markets increases significantly insome sub-period during three sub-periods. After examining the sensitivity to weeklyexchange rate movement of local currency to US Dollar, it is noticeable for academicsthat there is no obvious difference between developed markets and emerging markets inAsia during the period of August 2005 to March 2010. Moreover, the relationshipbetween exchange rate and stock returns varied from markets with respect to exchangerate regimes and level of capital control. As to firm-specific factors, firm size wasnegatively related to exchange rate exposure and this effect was stronger in developedmarkets than other. Similar to previous studies, Asian markets also showed thatexchange rate exposure differed among industries. However, the effect on exchange rateexposure is not significant caused by leverage, foreign sales and hedging activityinvolvement. Suggestions and recommendations for further studies are provided in thelast part of this paper.

本研究旨在分析台灣上市公司外匯避險和資本結構策略的運用。本文利用資本市場法，作為外匯曝險衡量模型，並利用預期和非預期的匯率變動探討對企業價值的影響是否有顯著差異，本文以2007~2009年期間的月頻率資料，篩選摩根台灣指數基金(MSCI Taiwan Index Fund-March 09, 2010)成分股共108家台灣上市公司為樣本對象，並進一步利用所量化出的外匯曝險，應用至公司資本結構上，採平衡追蹤資料(balanced panel data)進行分析，探討外匯曝險與其他影響因子對公司資本結構的關係。 　　而研究結果發現，在外匯曝險衡量方面，在2007~2009年間，不論是預期或非預期外匯變動下，負值的外匯曝險係數家數明顯超越正值的外匯曝險係數家數，此研究結果也符合了台灣為一個出口導向的經濟體，當台幣相對貶值時，使得出口較具競爭力，企業的營收增加。此外，從顯著的企業樣本來看，金融證券業占大多數，顯示出匯率變動對金融證券業的影響尤其嚴重。 　　在資本結構上，本研究以營運風險、公司成立年數、抵押資產價值、自由現金流量、外匯風險、成長率、稅盾效果、獲利性和公司規模共九個因子作為影響資本結構的變數，在Panel data固定效果模型中，除了成長性和公司規模兩變數在1%顯著水準之下呈現正相關，其餘變數為顯著負相關。且該模型對公司資本結構的解釋能力相當高，Panel data固定效果模型調整後的R2為78.96%。 　　最後，本研究將產業別列入考量變數之一，結果發現，電子業與非電子業在資本結構決定因素上有顯著差異，且顯示電子業公司的負債比率較低，符合現實情況下，電子業公司在有資金需求時，大多不選擇舉債而較常採取權益融資的方式。而電子業受到外匯曝險對資本結構的影響力並不顯著，表示外匯曝險對公司負債比率並不會因為產業別而有不同的影響力。 / This study examines the foreign exchange rate exposure and capital structure strategy for the Taiwan’s Corporations. The research sample is MSCI Taiwan Index Fund, and the sample period is 2007 to 2009. To see how foreign exchange rate exposure affects the value of corporations, this study uses Capital Market Approach to be the model. Moreover, this study uses balanced panel data to see how exchange rate exposure and other variables affect the strategy of capital structure. 　　According to the result, the numbers of negative significant samples are greater than the numbers of positive significant samples no matter when measured in expected exchange rate exposure or in unexpected exchange rate exposure. This result can exactly explain that Taiwan is an export-dominated economy. When Taiwan dollar depreciates, which means corporations in Taiwan could improve export competitiveness, thus increasing profits. Moreover, this study found that exchange rate exposure has a greater impact especially on the finance and security industry. 　　In the capital structure part, this study selects nine variables to see how they affect the capital structure, including business risk, age, collateral value of assets, free cash flows, foreign exchange risks , growth, non-debt tax shields, profitability and size. In panel data fixed effect model, growth and size are found to be positive significant in 99% confidence level; other variables are found to be negative significant. Furthermore, the coefficient of determination, R2 of this panel data fix effect regression model is 78.96%, which means the regression line has a high explanatory power to explain the capital structure.

台灣對國際貿易市場依賴程度極高，總體經濟環境極易受到國際經濟變數的影響，其中尤以匯率的變動，係我國進出口貿易最直接並重要的影響因素之一。為了生產及銷售競爭之需要，我國企業積極對海外投資並設立海外子公司或據點以進行國際分工，企業的國際化更加重所面臨匯率波動所產生的外匯暴露。 本研究基於我國企業面對的外匯暴露程度，探討影響我國企業外匯暴露及操作衍生性金融商品規避外匯暴露的公司治理因素，並針對外匯避險是否具有盈餘資訊內涵進行研討，具體而言，本研究將探討下列問題： 一、操作衍生性金融商品規避外匯暴露與外匯暴露程度的關聯性； 二、公司治理對操作衍生性金融商品規避外匯暴露的影響程度； 三、操作衍生性金融商品規避外匯暴露是否具有資訊內涵。 本研究的結果發現，操作衍生性金融商品係有助於規避外匯風險；而公司治理中的董事能力及董事會的獨立性則對我國企業在是否選擇操作衍生性金融商品避險時，有重大影響力。基於外匯暴露是我國企業普遍面臨的風險，上述結果應有助於我國企業在面對外匯風險時，決定是否採用衍生性金融商品規避外匯風險上，有一定的助益。本研究並發現企業操作衍生性金融商品避險是具有盈餘資訊內涵的，此對文獻中較少針對企業面對風險的避險決策是否對股票報酬有所影響的議題，可作為該領域研究方向及結果的補強。 / Due to an extremely high level of dependence on international trade, the macroeconomic environment in Taiwan is affected by international economic variables deeply. Particularly, the change of foreign exchange rates is one of the most direct and significant factors for the international trade of Taiwan. Further, the internationalization of local enterprises by actively expanding their investment internationally and setting up overseas subsidiaries makes these enterprises suffer more from the exposure of foreign exchange rate fluctuations. This study therefore investigates the following issues: 1. The association between hedging foreign exchange rate fluctuation by derivatives and the foreign exchange rate exposure. 2. The impact of corporate governance on the hedging decisions of the management. 3. Is there any information content of the hedging against foreign exchange rate exposure? The results of this study show that: (1) The hedging against foreign exchange rate fluctuation by derivatives decreases the foreign exchange rate exposure; (2) Two of corporate governance factors namely finance expertise and independence of the board of directors have significant effects on the hedging decisions; and (3) Hedging against the foreign exchange rate fluctuation by derivatives provides information content of earnings. This study contributes to the practice and the academics in the following ways: (1) As an aid for the management to decide whether to hedge against foreign exchange rate fluctuation by derivatives when facing foreign exchange rate exposure; (2) As an extension of the literature on the association between hedging decisions and the stock returns.

本篇論文從不同公司策略，以月資料來探討台灣532家上市公司在1999~2004年之公司對匯率風險曝露的敏感度，並以六十個月各上市公司股價報酬率為依變數，與台灣最大十五個貿易夥伴的匯率資料為自變數橫斷面資料，進行匯率風險對股價報酬關係之檢定。與之前實證研究不同之處是，本研究是利用多種貨幣模型來解釋各股價報酬，非只有一個貨幣當作唯一的指標。實證結果發現尚未加進大盤指數為控制變數時，只有0.93%受匯率風險暴露，反之，加進大盤指數之後，受到匯率風險的公司增加到88.2%。以公司策略及產業角度來看，結果顯示當公司外銷比例越大，此公司承受的經濟風險會越高。 / The purpose of this empirical study is to investigate sensitivity of company values to fluctuation in foreign exchange rates. Distinguishing from the previous research, this study employs a multiple currency proxy model to estimate firm’s exposures instead of using a single currency model. The research sample includes all Taiwan listed firms’ data for the period from 1999 to 2004. The empirical evidence from Taiwan listed firms indicates that 85.3 to 88.2 percent of firms are exposed to foreign exchange rate movements when market return control variable is included in the regression. A small percentage of firms are exposed to the foreign exchange rate movements with exclusion of the control variable. Results from ordinary least square analyses reveal that export intensity increases economic exposure to fluctuation of foreign exchange rate.