Analysis of the Relationship between Derivatives Usage and Return-risk Factors
碩士 === 國立中正大學 === 財務金融研究所 === 99 === In this study, we investigate the condition of derivatives usage of publicly traded Taiwan non-financial companies, comparing the characteristics between hedgers and non-hedgers, and examine the impact of hedging on the stock return and risk by Fama and Frenc...
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| Format: | Others |
| Language: | zh-TW |
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2011
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| Online Access: | http://ndltd.ncl.edu.tw/handle/19451366909744574353 |
| Summary: | 碩士 === 國立中正大學 === 財務金融研究所 === 99 === In this study, we investigate the condition of derivatives usage of publicly traded Taiwan non-financial companies, comparing the characteristics between hedgers and non-hedgers, and examine the impact of hedging on the stock return and risk by Fama and French four-factor regression model during 2006 to 2010.
The empirical results indicate that: (1) automobile and electronics industry use derivatives more frequently than other industries. In addition, most of our sample firms use forward contracts to hedge; and the purpose of derivatives usage is non-trading. (2) The use of derivatives is concentrated in the larger firms or the companies whose foreign sales ratios are higher. (3) Firms using the derivatives underperform non-hedgers over the sample period. However, it can effectively cut down systematic risk by using the derivatives.
Keywords: Derivatives; Hedge; Stock return; Systematic risk; Four-factor model
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