公司價值與匯率變動之間的關係：台灣上市公司之實證研究

Changes in the Exchange Rate and Firm Valuation: Evidence from the Corporations in Taiwan

10.30003/JRM.200205.0001

高櫻芬(Yin-Feng Gau)；施衍礽(Yen-Jen Shih)

匯率暴露風險 ； 匯率風險 ； 跨國企業 ； Exchange Rate Exposure ； Exchange Rate Risk ； Multinational Firms

風險管理學報

4卷1期（2002 / 05 / 01）

19 - 45

繁體中文

本文研究台灣主要出口企業公司價值與匯率變動之間的關係，分析其營收盈餘之變動與未預期到之匯率變動的關連。因應亞洲金融風暴之發生，本文以二個子期間進行對照分析，觀察不同匯率波動期間之企業匯率暴露風險（exchange rate exposure）程度是否有差異，並以同期或當期未預測到之匯率變動探討上市出口公司之匯率暴露風險。實證結果顯示，台灣上市出口公司之營收盈餘受當期未預期匯率變動之影響雖不顯著，但前1-4期匯率變動對公司營收盈餘存在顯著落後或延遲反應的效果。外銷比率愈高的產業，匯率暴露風險的程度就愈大。

The purpose of this paper is to analyze the exchange rate exposure of major export firms in Taiwan by estimating the impact on firms' revenue changes from contemporaneous and lagged unexpected changes in the exchange rate. The empirical results show that firm revenues are less affected by unexpected changes in the contemporaneous exchange rate. On the other hand, there exists a more significant relation between lagged unexpected changes in the exchange rate and revenue changes. The electronic industry and textile industry that have the highest export ratios among industries carry most significant exchange rate exposures among all industries.

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