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...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2011
|
Online Access: | http://ndltd.ncl.edu.tw/handle/19451366909744574353 |
id |
ndltd-TW-099CCU00304036 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-099CCU003040362015-10-28T04:06:37Z http://ndltd.ncl.edu.tw/handle/19451366909744574353 Analysis of the Relationship between Derivatives Usage and Return-risk Factors 衍生性金融商品操作與報酬風險因子之關係探討 Zeng, Ya-ting 曾雅婷 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 Lai, Jing-yi 賴靖宜 2011 學位論文 ; thesis 65 zh-TW |
collection |
NDLTD |
language |
zh-TW |
format |
Others
|
sources |
NDLTD |
description |
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
|
author2 |
Lai, Jing-yi |
author_facet |
Lai, Jing-yi Zeng, Ya-ting 曾雅婷 |
author |
Zeng, Ya-ting 曾雅婷 |
spellingShingle |
Zeng, Ya-ting 曾雅婷 Analysis of the Relationship between Derivatives Usage and Return-risk Factors |
author_sort |
Zeng, Ya-ting |
title |
Analysis of the Relationship between Derivatives Usage and Return-risk Factors |
title_short |
Analysis of the Relationship between Derivatives Usage and Return-risk Factors |
title_full |
Analysis of the Relationship between Derivatives Usage and Return-risk Factors |
title_fullStr |
Analysis of the Relationship between Derivatives Usage and Return-risk Factors |
title_full_unstemmed |
Analysis of the Relationship between Derivatives Usage and Return-risk Factors |
title_sort |
analysis of the relationship between derivatives usage and return-risk factors |
publishDate |
2011 |
url |
http://ndltd.ncl.edu.tw/handle/19451366909744574353 |
work_keys_str_mv |
AT zengyating analysisoftherelationshipbetweenderivativesusageandreturnriskfactors AT céngyǎtíng analysisoftherelationshipbetweenderivativesusageandreturnriskfactors AT zengyating yǎnshēngxìngjīnróngshāngpǐncāozuòyǔbàochóufēngxiǎnyīnzizhīguānxìtàntǎo AT céngyǎtíng yǎnshēngxìngjīnróngshāngpǐncāozuòyǔbàochóufēngxiǎnyīnzizhīguānxìtàntǎo |
_version_ |
1718111765009530880 |