台灣電子業操作衍生性商品避險與公司特質之關聯性

Abstract

2003 年 12 月 25 日台灣公佈財務會計準則公報第 34 號「金融商品之會計處理準則」， 34 號公報主要是規範金融商品的衡量與認列，原則上採公平價值評價方式，並對避險會計的適用與處理做更嚴謹的規範，但公平價值之評價方式與嚴格的避險條件規範可能會對企業的避險活動與盈餘波動造成影響。 本研究選擇台灣產值最高的資訊電子業為主，以 2002 年至 2004 年上市上櫃之資訊電子業公司為研究對象，有效樣本911筆，利用獨立樣本 t 檢定、 Probit 迴歸及 Tobit 迴歸等統計方法，探討影響台灣資訊電子業公司其操作衍生性商品避險之顯著因素為何，其操作衍生性金融商品的程度與數量上，是否會受到 34 號公報公佈的影響，以及該產業上市上櫃公司的盈餘波動性或現金流量波動性，在 34 號公報公佈前後，是否有顯著的差異。 本研究所獲得之實證結果如下： 1.影響企業避險與否之重要因素有長期負債比率、外銷比率、公司規模以及內部管理者的持股比例，符合降低投資不足、產業特性以及降低代理問題之避險理論，且 34 號公報公佈後對於企業使用衍生性商品進行避險有顯著影響。 2.衡量 34 號公報之公佈對盈餘波動性的影響結果發現，有避險公司在 34 號公報公佈之後，其公司的盈餘波動性會顯著大於未避險公司之盈餘波動性。 3.2002 年至 2003 年影響台灣資訊電子業使用衍生性金融商品避險程度之顯著因素為公司盈餘之波動性，當公司盈餘波動性較大的公司，其使用衍生性金融商品避險的程度愈高； 2004 年的實證分析結果發現，具有外銷比例愈高、內部管理者的持股比例愈高、公司規模愈大之公司、其使用衍生性金融商品避險的程度就愈大。

In Taiwan, the Accounting Research and Development Foundation issued Statement of Financial Accounting Standards No. 34 on December 25, 2003. Taiwan’s SFAS No.34 is the recognition and measurement of financial instruments. Most financial assets and financial liabilities should be measured at fair value and more strictly in hedging accounting. These new accounting rules may be significant impacts on hedging activities and volatility of earnings of the business. This study focus on the most electronics industry, uses a sample of 911 electronics public listed companies with full-detail financial data in Taiwan stock market over the period 2002-2004.Some statistical methods are used including independent-samples t test、Probit regression、and Tobit regression to explore the relationship between hedging by derivatives and corporate characteristics, to understand the determinants for hedging, and to determine of the announcement of Taiwan’s SFAS No.34 had any significant effect on firm hedging activities, volatility of earnings and cash flows. The following conclusions are obtained in this study: 1. The major determinants that affect firms’ derivatives use are long debt ratio, foreign sales, firm size, and the share holding of managers correspondent with the underinvestment , industrial characteristics, and reduce the agency problem. Furthermore, there is a significant difference in earnings volatility between derivative users and non-users before and after the issue of Taiwan’s SFAS NO.34. 2. Estimation of effects of Taiwan’s SFAS No.34 on earnings volatility, the earnings volatility of erivatives users is larger than non-users. 3. The major determinants that affect the extent of firms’ derivatives use in 2002 to 2003 are earnings volatility. The major determinants that affect the extent of firms’ derivatives use in 2004 are foreign sales, share holding of managers, and firm size.