English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 94586/125118 (76%)
Visitors : 30544803      Online Users : 332
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/96311
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/96311


    Title: 兩篇關於國際財務管理的論文
    Essays on International Financial Management: (1) Foreign Investors in Emerging Markets: The Case of Taiwan (2) Exchange Risk Management: The Case of Taiwan
    Authors: 徐政義
    Contributors: 林基煌
    徐政義
    Date: 2002
    Issue Date: 2016-05-10 18:56:51 (UTC+8)
    Abstract:   My Ph.D. dissertation, entitled “Essays on International Financial Management”, includes the following essays:
      (1) Foreign Investors in Emerging Markets: The Case of Taiwan
      (2) Exchange Risk Management: The Case of Taiwan
      In my first essay, I find that foreign investors tend to be momentum traders. The aggregate current net foreign purchases (NFP) have a positive effect on future return, implying that foreign investors, on average, might have an information advantage over local investors. However, when I further investigate the relation at the firm level, the results are mixed. Foreign investors that have an information advantage over local investors are limited to firms based on large size, low B/M stocks, and those that have issued ECBs. They have a tendency toward trading stocks they are familiar with. Furthermore, I document that foreign buys, sells, total trading, and net foreign purchases all increase their conditional volatility.
      In my second essay, I examine the determinants of hedging exchange risk for Taiwanese firms in 1999 and 2000. To examine the decision to hedge and the decision of the hedging extent separately, I employ a two-step procedure decision suggested by Cragg (1971). In the first equation, the probit model is examined and the response variable is whether to hedge (=1) or not (=0). The likelihood of hedging is related to firm size, the export ratio, and managerial ownership. Larger firms and firms with higher exports, or those with higher managerial ownership, are more likely to manage risks. In the second equation, I conduct conditional regressions on the hedging firms. The dependent variable is the hedging proportion. The hedging extent is found to be related to foreign exposure and compensation structure, and is negatively correlated to firm size. Empirical results show that the decision to hedge is positively associated with foreign exposure, managerial ownership, and economies of scale in hedging costs. The decision of hedging extent is positively correlated to the foreign exposure, compensation structure, and the financial distress costs. The empirical results support the economies of scale hypothesis, the financial distress hypothesis, and the managerial incentive hypothesis, but seem to not support the tax hypothesis.
    Reference: Atiase, R.K., 1987. Market implications of predisclosure information: size and exchange effects. Journal of Accounting Research 25, 168-176.
    Bekaert, G., and C.R. Harvey, 2000. Foreign speculator and emerging equity markets. Journal of Finance 55, 565-613.
    Blackwell, D.W., M.W. Marr, and M.F. Spivey, 1990. Shelf registration and the reduced due diligence argument: implications of the underwriter certification and the implicit insurance hypotheses. Journal of Financial and Quantitative Analysis 25, 245-259.
    Bollerslev, T., and J.M. Wooldridge, 1992. Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariances. Econometric Reviews 11, 143-172.
    Brennan, M.J., and H.H. Cao, 1997. International portfolio investment flows. Journal of Finance 52, 1851-1880.
    Choe, H., B. Kho, and R.M. Stulz, 1999. Do foreign investors destabilize stock markets? The Korean experience in 1997. Journal of Financial Economics 54, 227-264.
    Choe, H., B. Kho, and R.M. Stulz, 2000. Do domestic investors have more valuable information about individual stocks than foreign investors? Working paper, Ohio State University.
    Chung, D.Y., and J. Lee, 1998. Ownership structure and trading volume reaction to earnings announcements: Evidence from Japan. Pacific-Basin Finance Journal 6, 45-60.
    Coval, J.D., T.J Moskowitz, 1999. Home bias at home: Local equity preference in domestic portfolios, Journal of Finance 54, 2045-2073.
    Coval, J.D., T.J Moskowitz, 2001. The geography of investment: Informed trading and asset prices. Journal of Political Economy 109, 811-841.
    Dahlquist, M., and G. Robertsson, 2001. Direct foreign ownership, institutional investors, and firm characteristics. Journal of Financial Economics 59, 413-440.
    Easley, D., M. O’Hara, and J. Paperman, 1998. Financial analysts and information-based trade. Journal of Financial Markets 1, 175-201.
    Easley, D., M. O’Hara, and P.S. Srinivas, 1998. Option volume and stock prices: Evidence on where informed traders trade. Journal of Finance 53, 431-465.
    Fama, E.F., and K.R. French, 1995. Size and book-to-market factors in earnings and returns. Journal of Finance 50, 131-155.
    Fama, E.F., and J.D. MacBeth, 1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607-636.
    Froot, K. A., P.J. O''Connell, and M.S. Seasholes, 2001. The portfolio flows of international investors. Journal of Financial Economics 59, 151-193.
    Grinblatt, M., and M. Keloharju, 2000. The investment behavior and performance of various investor types: a study of Finland’s unique data set. Journal of Financial Economics 55, 43-67.
    Hamao, Y., and J. Mei, 2001. Living with the “enemy”: an analysis of foreign investment in the Japanese equity market. Journal of International Money and Finance 20, 715-735.
    Henry, P.B., 2000. Stock market liberalization, economic reform, and emerging market equity prices. Journal of Finance 55, 529-564.
    Kang, J.K., R.M. Stulz, 1997. Why is there a home bias? An analysis of foreign portfolio equity ownership in Japan. Journal of Financial Economics 46, 3-28.
    Karpoff, J.M., 1987. The relation between price changes and trading volume: A survey. Journal of Financial and Quantitative Analysis 22, 109-126.
    Kodres, L.E., and M. Pritsker, 2002. A rational expectations model of financial contagion. Journal of Finance (forthcoming).
    Krishnaswami, S., P. A. Spindt, and V. Subramaniam, 1999. Information asymmetry, valuation, and the corporate spin-off decision. Journal of Financial Economics 53, 73-112.
    Lin, C.H., and C. Shiu, 2002. Foreign ownership in the Taiwan stock market: An empirical analysis. Journal of Multinational Financial Management (forthcoming).
    Newey, W., and K. West, 1987. A simple positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703-708.
    The Salomon Smith Barney Guide to World Equity Markets, 1998, Euromoney Publications PLC and Salomon Smith Barney, 482-489.
    Seasholes, M.S., 2000. Smart foreign traders in emerging markets. Working paper, Harvard University.
    Shukla, R.K., and G.B. van Inwegen, 1995. Do locals perform better than foreigners?: An analysis of UK and US mutual fund managers. Journal of Economics and Business 47, 241-254.
    Wang, L., and C. Shen, 1999. Do foreign investments affect foreign exchange and stock markets — the case of Taiwan. Applied Economics 31, 1303-1314.
    Exchange risk management: The case of Taiwan

    References
    Allayannis G., and E. Ofek, 2001. Exchange rate exposure, hedging, and the use of foreign currency derivatives. Journal of International Money and Finance 21, 273-296.
    Bartov, E., and G.M. Bodnar, 1994. Firm valuation, earnings expectations, and the exchange-rate exposure effect. Journal of Finance 49, 1755-1785.
    Bessembinder, H., 1991. Forward contracts and firm value: Investment incentive and contracting effects. Journal of Financial and Quantitative Analysis 26, 519-532.
    Brown, G.W., 2000. Managing foreign exchange risk with derivatives. Working paper, the University of North Carolina at Chapel Hill.
    Cragg, J.G., 1971. Some statistical models for limited dependent variables with application to the demand for durable goods. Econometrica 39, 829-844.
    Doukas, J., P.H. Hall, and L.H.P. Lang, 1999. The pricing of currency risk in Japan. Journal of Banking and Finance 23, 1-20.
    Froot, K.A., D.S. Scharfstein, and J.C. Stein, 1993. Risk management: Coordinating corporate investment and financing policies. Journal of Finance 48, 1629-1658.
    Graham J.R., and C.W. Smith, 1999. Tax incentives to hedge. Journal of Finance 54, 2241-2262.
    Haushalter, G.D., 2000. Financing policy, basis risk, and corporate hedging: evidence from oil and gas producers. Journal of Finance 55, 107-152.
    He, J., L.K. Ng, 1998. The foreign exchange exposure of Japanese multinational corporations. Journal of Finance 53, 733-753.
    Jorion, P., 1990. The exchange-rate exposure of U.S. multinationals. Journal of Business 63, 331-345.
    Ma, T., 1998. Additional evidence on the determinants of hedging: the case of Taiwan. Journal of Financial Studies 6, 49-63.
    Mayers, D., and C. Smith, 1990. On the corporate demand for insurance: Evidence from the reinsurance market. Journal of Business 63, 19-40.
    Mian, S.L., 1996. Evidence on corporate hedging policy. Journal of Financial and Quantitative Analysis 31, 419-439.
    Miller, M., and F. Modigliani, 1958. The cost of capital, corporate finance and the theory of investment. American Economic Review 53, 261-297.
    Myers, S.C., 1977. Determinants of Corporate Borrowings. Journal of Financial Economics 5, 147-175.
    Nance, D.R., C.W. Smith, Jr., and C.W. Smithson, 1993. On the determinants of corporate hedging. Journal of Finance 48, 267-284.
    Opler, T., L. Pinkowitz, R. Stulz, and R. Williamson, 1999. The determinants and implications of corporate cash holdings. Journal of Financial Economics 52, 3-46.
    Smith, C.W., and R.M. Stulz, 1985. The determinants of firms’ hedging policies. Journal of Financial and Quantitative Analysis 20, 391-405.
    Tufano, P., 1996. Who manages risk? An empirical examination of risk management practices in the gold mining industry. Journal of Finance 51, 1097-1137
    Description: 博士
    國立政治大學
    財務管理研究所
    Source URI: http://thesis.lib.nccu.edu.tw/record/#A2010000067
    Data Type: thesis
    Appears in Collections:[財務管理學系] 學位論文

    Files in This Item:

    File SizeFormat
    index.html0KbHTML40View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback