| Summary: | 博士 === 國立中正大學 === 企業管理研究所 === 92 === ABSTRACT
This dissertation investigates foreign exchange exposure of corporations listed on Taiwan’s stock market from the strategic resource perspective. We employ data for the period of 1996 to 2002 and examine the impact of strategic resources on the relationship between currency risk and both the market value of a firm’s equity and net cash flows. We reach the following conclusions:
1.The principal components factor analysis indicates that at
least four exchange rates, namely, U.S.$, Japanese yen,
Deutsche mark and Thai baht, can exert impacts on the market
value of Taiwan’s corporations.
2.The effect of currency risk exposure on the market value of a
firm’s equity as well as cash flows is significant and time-
varying in Taiwan’s market.
3.According to the panel data regression, firms are able to
construct strategic resources to manage economic exposure.
The strategic resources include company size, and the firm’s
ability in merger and acquisition, vertical integration,
diversification, product differentiation, and strategic
alliance. In addition, the built-in of these strategic
resources can decrease the fluctuation of cash flows and
boost the market value of a firm.
4.The joint use of short-term hedging instruments and long-term
strategic resources can have only limited effects in lowering
currency exposure.
5.The significant coefficients on both the contemporaneous and
lagged exposure betas suggest that when investors allocate
their assets in Taiwan’s market, they should pay more
attention to the long effect of exchange rate fluctuations
on firm value. Besides, the purely domestic or self-
sustaining firms also need to be required of taking hedging
devices.
6.After the Asian financial crisis, the number of corporations
using strategic resources obviously has increased, which
indicates that firms have learned the important role played
by the strategic resources in lowering economic exposure.
7.Evidence show that the majority of firms using currency
derivatives are for speculative purpose. This will not help
in reducing firms’ currency exposure but, in fact, result in
the destabilization of the market. Regulators should
implement a more stringent monitoring mechanism to prevent
excessive speculative activities from undermining the
stability of the market.
Keywords： exchange rate exposure 、economic exposure 、resourc-based view panel data regression
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