在考量資訊成本下公司使用衍生性商品避險對於公司價值與績效之關係：以臺灣證券市場為例

Abstract

自金融海嘯後，本來就已很重要的風險管理議題變得更加受到重視。再加上現在外部分析師對於公司績效之預測頻繁，因此除了公司使用衍生性商品的風險管理議題之外，影響外部分析師對於公司績效表現的資訊成本也變得相形重要。國外有些許文獻研究衍生性商品、資訊成本以及公司價值間的議題，但國內卻較少討論此一關聯性。本文是以panel data的隨機效果模型進行研究，樣本為2005年到2012年的臺灣上市櫃非金融產業之公司。在控制變數後，企圖去研究公司使用衍生性商品避險時以及在考量資訊成本的情況下使用衍生性商品避險時，對於公司績效以及公司價值之影響。其中資訊成本是利用分析師對於公司EPS的偏離程度與預測準確度來衡量。研究結果顯示，當公司使用衍生性商品避險時，對於公司績效與價值並無顯著相關性。當考量資訊成本情況下時，公司使用衍生性商品避險對於公司績效與價值有顯著之正向關係。

After financial crisis, the issue of risk management becomes more importance than before. Furthermore, because of the frequent forecast on corporate performance from outside analysts, in addition to the corporate use of derivatives in risk management issue, issue of information cost also becomes important. Although there are some overseas papers research on the relationship between derivatives use, information cost and corporate performance, there is little research on this topic in domestic. This paper uses panel data’s random effects model to do empirical test, the sample is non-financial corporations in Taiwan’s securities market data from year 2005 to year 2012. After control some control variable, this paper wants to look into the effect on corporate performance/value when the firm uses derivatives to hedge and when the firm uses derivatives to hedge under considering information cost condition. Information cost measure proxy is from the dispersion of analyst forecast and accuracy of analyst forecast. Empirical result demonstrates that there is no significant relation on corporate performance/value when the firm uses derivatives to hedge. However, when consider information cost condition, the firm uses derivatives to hedge is significantly relate to corporate performance/value.