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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Main Authors: Zeng, Ya-ting, 曾雅婷
Other Authors: Lai, Jing-yi
Format: Others
Language:zh-TW
Published: 2011
Online Access:http://ndltd.ncl.edu.tw/handle/19451366909744574353
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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
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language zh-TW
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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
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