Dissertations / Theses on the topic 'Derivatives usage'
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1
Hart, Kevin. "Derivatives usage in Egypt : a study of the use of derivative financial instruments by Egyptian companies listed on the Egyptian Stock Exchange." Master's thesis, University of Cape Town, 2012. http://hdl.handle.net/11427/13105.
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Includes bibliographical references.In the absence of market imperfections, risk management cannot create value. There would be no demand for hedging instruments (including derivatives) in the absence of taxes, agency costs, information asymmetry or transaction costs. Financial theory proposes two main sets of explanations for risk management: firstly, risk management is a means to maximize firm value by reducing the costs of financial distress (hedging can allow firms to increase debts capacity and raise funds at lower costs), reducing taxation (reducing earnings volatility and therefore decreasing expected taxes) and reducing the effects of information asymmetry. Secondly, the reasons to hedge can be found by reference to economies of scale: the majority of studies have found a positive correlation between firm size and the use of derivatives, although size is believed to be a constraining factor rather than a determining factor for risk management. It is proposed by Schiozer and Saito (2009) that firms in emerging economies such as Brazil, Argentina (and arguably Egypt), manage risks for different reasons when compared to mature economies such as the US. Emerging economies are often characterized by high volatility of exchange and interest rates. Additionally, there is often a scarcity of domestic funding that leads firms to raise funds on foreign capital markets to finance investment projects. Foreign denominated debt has always proved to produce significant risk exposure for emerging market firms. This research was undertaken to gain insight into the use of derivatives by Egyptian firms. The majority of previous research into derivative usage has focused on developed economies with little similar research into emerging economies and even less research into Middle Eastern economies such as Egypt.
2
Tran, Lien. "Understanding financial derivatives usage by directors and its impact on corporate governance policies in Vietnam." Thesis, Tran, Lien (2018) Understanding financial derivatives usage by directors and its impact on corporate governance policies in Vietnam. PhD thesis, Murdoch University, 2018. https://researchrepository.murdoch.edu.au/id/eprint/41513/.
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Purpose: Directing and controlling a company to achieve its strategic and tactical goals requires a complex network of relationships with stakeholders which means boards need to have directors with adequate competencies and skills. Do directors of boards have the required level of knowledge and does such knowledge have potential impacts on corporate governance policy? This thesis examines these questions in the context of financial derivatives in the emerging economy of Vietnam to add to the literature on individual directors’ understanding of the use of such controversial instruments.
Methodology: This thesis used a mixed methods approach, with a survey of 119 directors followed by qualitative interviews with 19 directors of public corporations in Vietnam using insights from the theory of planned behaviour combined with the model of board roles and attributes, and stakeholder theory.
Findings: Directors’ knowledge of financial derivatives is relatively low and strongly affected by their education and working experience. In addition, directors’ knowledge is associated with critical factors that impact their intention to use financial derivatives, which is the direct predictor of their future behaviour in deciding to use the instruments. Such an interaction among knowledge, intention and behaviour is a concern to the directors who were experienced in financial issues; directors worry about threats to corporations when directors lack knowledge while having positive attitudes and high levels of intention. Financially experienced directors suggested appropriate corporate risk management policy and director training as two key solutions to these threats. The interviews also uncovered emerging themes about business culture, the government’s role and the market for financial derivatives which have impacted directors’ knowledge and corporate policies.
Research Limitations and Implications: Key limitations include the use of single country and cross-sectional data combined with a relatively small sample size and potential self-reporting bias. The main implications include the need for enhanced collaboration and cooperation among key stakeholders including the government, boards, individual directors and relevant training organisations. The government should lead by setting up a legal and regulatory framework for financial derivatives. Boards should clarify their corporate risk management policy, choose members to ensure the necessary competencies are available and accept continuous training. Individual directors should be aware of and take part in self-learning and training to be suitable for their position. Finally, training organisations should customise their courses for directors to suit directors’ time constraints and their strategic level leadership.
Originality: This thesis was the first to investigate individual board director behaviour in Vietnam and to analyse directors’ understanding of financial derivatives and their related decision making in an emerging economy.
Keywords: Theory of Planned Behaviour, Stakeholder Theory, Board Directors, Financial Derivatives, Corporate Governance, Risk Management, Vietnam, Mixed Methods
3
Wang, Dan. "Interest-rate models : an extension to the usage in the energy market and pricing exotic energy derivatives." Thesis, Imperial College London, 2009. http://hdl.handle.net/10044/1/5583.
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In this thesis, we review various popular pricing models in the interest-rate market. Among these pricing models, we choose the LIBOR Market model (LMM) as the benchmark model. Based on market practice experience, we also develop a pricing model named the “Market volatility model”. By pricing vanilla interest-rate options such as interest-rate caps and swaptions, we compare the performance of our Market volatility model to that of the LMM. It is proved that the Market Volatility model produce comparable results to the LMM, while its computing efficiency largely exceeds that of the LMM. Following the recent rapid development in the commodity market, in particular the energy market, we attempt to extend the use of our proposed Market volatility model from the interest-rate market to the energy market. We prove that the Market Volatility model is capable of pricing various energy derivative under the assumption of absence of the convenience yield. In addition, we propose a new type of exotic energy derivative which has a flexible option structure. This energy derivative is named as the Flex-Asian spread options (FASO). We give examples of different option structures within the FASO framework and use the Market volatility model to generate option prices and greeks for each structure. Although the Market volatility model can be used to price various energy derivatives based on oil/gas contracts, it is not compatible with the structure of one of the most advanced derivatives in the energy market, the storage option. We modify the existing pricing model for storage options and use our own 3D-binomial tree approach to price gas storage contracts. By doing these, we improve the performance of the traditional storage model.
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Dumont, Danièle. "Le système d’écriture des minuscules latines manuscrites en usage dans les écoles françaises : intérêt de la prise en compte de ce système pour l’enseignement de l’écriture manuscrite." Thesis, Paris 5, 2013. http://www.theses.fr/2013PA05H004/document.
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Notre démarche repose sur le constat que de plus en plus d’enfants sont en difficulté d’écriture. Elle vise à proposer une base de réflexion sur laquelle pourrait s’appuyer un enseignement structuré de l’écriture. Notre recherche porte sur l’écriture des lettres minuscules cursives manuscrites latines en usage dans les écoles françaises. Nous avons fait l’hypothèse que cette écriture, produit de l’école française, constitue un système dont nous pouvons désigner les éléments et définir le fonctionnement. Cette hypothèse ouvre sur la perspective que la prise en compte de ce système pourrait être une aide à l’apprentissage de l’écriture. Notre choix est conforté par les résultats des neurosciences qui montrent qu’écrire à la main serait une aide à l’apprentissage de la lecture. A partir de l’analyse de commentaires sur la lisibilité d’un corpus d’écritures manuscrites, nous montrerons comment est construit ce système et quelles relations hiérarchiques et fonctionnelles ses éléments entretiennent entre eux. Nous y verrons que le cœur du système s’organiserait en deux unités minimales, déclinées chacune en une forme de base et deux dérivées pour l’une, trois dérivées pour l’autre. Le système constitué par l’ensemble de ces sept formes permettrait d’écrire toutes les lettres minuscules cursives latines en usage en France.En ouverture vers d’autres projets, nous avons mis ce système à l’épreuve de la reconnaissance des lettres par des enfants d’école maternelle. Nous avons constaté une amélioration du score entre avant et après une séance d’observation commentée collective. Cette recherche sur le système d’écriture des lettres minuscules cursives latines nous a conduite à avancer des propositions pédagogiques pour l’enseignement de l’écritureOur processes are based on the fact that more and more children have difficulties with handwriting. Its aim is to propose a basis for thought on which a structured teaching of handwriting could lean. Our research focuses on Latin handwritten cursive small letters used in French schools. We made the assumption that this writing - a French school product - constitutes a system, the elements of which can be named and the functioning described. This hypothesis leads to the viewpoint that to take this system into account could be a help in the teaching of writing. Our choice is backed up by the results of neurosciences which show that to write with the hand would be a help in learning to read. From the analysis of comments on the legibility of a corpus of handwritings, we shall show how this system is built and what hierarchic and functional relations its elements continuously use with each other. We shall see that the heart of the system would be organized into two minimal units. Each of them set up as a basic form and two derivatives for the one, three for the other. The system constituted by these seven forms would allow all of the Latin cursive small letters used in France to be written. As an opening towards others projects, we submitted this system to the recognition of letters by children at nursery school. We noticed an improvement of the score between before and after a session of collective commented observation of the letters. This research about Latin handwritten cursive small letters brought us to make certain pedagogical proposals for the training of teachers
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Henning, Luke. "Derivative usage by listed companies in Ghana and Nigeria - 2008/2009." Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/11273.
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This study seeks to establish if companies use derivatives and if so what kinds of derivatives. It does not seek to establish the reasons for derivative usage as is commonly done in Wharton Survey Style study.
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Raharison, Ratsitoarivelo. "Derivative usage by listed companies in Mauritius, Morocco, Tunisia, WAEMU region 2008/2009." Master's thesis, University of Cape Town, 2012. http://hdl.handle.net/11427/12678.
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Includes bibliographical references.Derivatives have a long history which could be traced as far as in the biblical times, around 1700 B.C when Jacob was granted the right to marry Laban’s daughter, in counterparty of seven years of work, an agreement often presented as one of the first option contract in the human history. However, the use of derivatives really expanded over the last three decades. According to the Bank of International Settlement (BIS), the outstanding notional amount of the global over-the-counter (OTC) derivative market reached USD 708 trillion in June 2011. Derivative markets have a significant role to play in the development of African financial markets. Indeed, through the mechanisms of price discovery and risk transfer; derivative instruments introduce greater market efficiency and provide market participants the opportunity to hedge their exposure to various financial risks. The development of a derivative strong market in Africa presents a compelling case given the nature of several African economies, predominantly composed of primary commodity producers, open small economies inherently vulnerable to commodity price, foreign exchange volatility, and interest rate risks.
7
Blanchet, Marine. "Nouveaux dérivés aminostéroïdiens à usage antimicrobien en médecine vétérinaire." Thesis, Aix-Marseille, 2018. http://www.theses.fr/2018AIXM0062.
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Actuellement, le traitement des pathologies infectieuses chez les bovins et les animaux de compagnie est menacé par l’accroissement de l’antibiorésistance et des bactéries multirésistantes. Il est donc primordial pour les entreprises pharmaceutiques vétérinaires de développer de nouvelles gammes d’agents antibactériens spécifiques au domaine animale. Dans ce contexte, il a été montré que certains polyaminostérols naturels tels que la squalamine possèdent un fort potentiel antimicrobien. Ainsi, l’objectif de ce travail de thèse est de répondre à la problématique présentée par la société Virbac dans le traitement des mammites (bovins) et des otites/pyodermites (chien) par le développement d’une nouvelle classe de dérivés polyaminostéroïdiens synthétiques à large spectre antimicrobien. Pour cela, nous avons constitué une chimiothèque de composés originaux préparés à partir de différents acides biliaires selon des voies de synthèse inédites. Ces composés ont été évalués in vitro pour leur cytotoxicité et leurs activités antibactériennes contre diverses bactéries à Gram positif et à Gram négatif et nous avons pu établir la preuve de concept in vitro de leur potentiel thérapeutique en tant qu’agents antibactériens ou adjuvants d’antibiotiques. De plus, nous avons montré que l’un de ces nouveaux dérivés, la claramine A1, agit sur l’intégrité physique des membranes bactériennes et sur les performances d'efflux des pompes AcrAB-TolC. Ainsi, il apparaît finalement que ces dérivés polyaminostéroïdiens au mode d’action non conventionnel pourraient constituer une nouvelle classe d’agents antibactériens pour un usage en tant que substituts d’antibiotiques en médecine vétérinaireCurrently, the treatment of infectious pathologies in cattle and pets is threatened by the growing antimicrobial resistance and the development of multidrug-resistant bacteria. Thus it is necessary for the veterinary pharmaceutical firms to develop new lines of antibacterial agents. In this context, some natural polyaminosterols such as squalamine have gained interest due to their potent antimicrobial activities. Thus the aim of this PhD work is to provide an answer in the treatment of mastitis (cattle) and otitis/pyoderma (dog) by the development of a new class of synthetic polyaminosterols with a broad spectrum of antibacterial activity. In this purpose, a chemical library of original compounds has been prepared starting from various bile acids by using unprecedented synthesis procedures. These compounds were evaluated for their in vitro cytotoxicity on CHO cells as well as their antibacterial activities against Gram-positive and Gram-negative bacteria and we have establish the in vitro proof of concept of the therapeutic potential of this family of molecules as antibacterial agent or antibiotic adjuvant. Additional investigations were then conducted on one of these novel derivatives namely claramine A1 to deepen knowledge of its mechanism of action and showed that claramine A1 acts on the physical integrity of bacterial membranes and the efflux performance of AcrAB-TolC pumps. Based on the results of claramine A1, it finally appears that these new polyaminosterol derivatives possessing a non-classical mode of action pertain to a new class of antibacterial agents and could constitute a substitute for traditional antibiotics in veterinary medicine
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Žvybaitė, Vilma. "Veiksmažodžių darybinių sinonimų vartosena." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2009. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2009~D_20090827_111517-83967.
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Veiksmažodžių darybiniai sinonimai yra bendrašakniai, skirtingus darybos afiksus ir panašią arba tapačią leksinę reikšmę turintys vediniai. Iš Dabartinės lietuvių kalbos žodyno (2000, Vilnius) buvo išrinkti 1477 veiksmažodžių vediniai ir sudarytos 709 darybinių sinonimų eilės. Darybiniai sinonimai pagal darybos būdų santykiavimą suskirstyti į sinonimiškus priesagų vedinius ir sinonimiškus priešdėlių vedinius. Veiksmažodžių darybiniai sinonimai nepasižymi didele stilistine įvairove: tai dažniausiai neutralūs žodžiai (1412 vedinių), tačiau yra tokių vedinių, kurių bent vienas narys turi kokią nors pažymą: šnekamosios kalbos žodžiai (32 vediniai), tarmybės (12 vedinių). Veiksmažodžių vediniai gali turėti variantų (sudarytos 8 darybinių variantų poros). Veiksmažodžių darybiniai sinonimai gali skirtis vartosenos dažnumu.Derivative synonyms of verbs are the kind of synonyms which have the same root, different derivational affixes and similar or identical lexical meaning. 1477 derivatives from the Dictionary of Modern Lithuanian published in 2000 were included into 709 rows of derivative synonyms. The rows of derivative synonyms are formed of the derivatives with various suffixes and prefixes. There are many derivative synonyms of verbs (1412 derivatives) which do not differ stylistically – all the synonyms belong to neutral lexicon. Stylistically marked items of the synonyms of verbs are colloquialism (32 derivatives), vernacularisms (12 derivatives). The derivatives of verbs can have variants (8 couple of derivative variants were formed). Derivative synonyms of verbs may be different in intensity – used frequently or seldom.
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Ishida, Yuki. "Generation of a neutralization-resistant CCR5 tropic SHIV-MK38 molecular clone, a derivative of SHIV-89.6." Kyoto University, 2016. http://hdl.handle.net/2433/215969.
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Ayoub, Sherif El-Sayed. "Market risk management in Islamic finance : an economic analysis of the rationale, permissibility and usage of derivative hedging instruments." Thesis, University of Edinburgh, 2013. http://hdl.handle.net/1842/8031.
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The examination of the topic of market risk management in Islamic finance is a complex endeavour. At a basic level, the subject matter, being multifarious in a manner that mixes religion and economics, requires the conjoining of religious faith with scientific objectivity in order to ascertain the truth contained in the scripture as it pertains to the Mua’amalat (dealings between individuals) matter of entering into financial contracts with others to manage market risk exposures. Moreover, the complexity is compounded due to the need to disentangle the ambiguity that has beset the discourse on the topic due to historically being mostly legal-centric with a focus on debating the contractual elements rather than attempting to comprehensively address the myriad issues that relate to market risk management in contemporary contexts. These issues, for the most part, revolve around the reliance on market risk transfer as a strategy and derivative contracts, with monetary underlying variables, as tools to implement that strategy. Thus, the journey of investigating the rationale, permissibility, and usage of derivative hedging instruments for market risk management in Islamic finance is, essentially, an undertaking that seeks to engage in a wide-ranging and multi-layered examination of the subject matter as well as the exploration of new areas of relative significance. This, in turn, and subsequent to the analysis of data generated from documentary sources and forty-one interviews which were collected from numerous sources within four locations, led to the elaboration of the contention that market risk management through derivative instruments for legitimate hedging purposes should not be prohibited in the Shari’a, albeit with certain conditions that limit unproductive behaviour. The basis for the aforementioned contention is built on the fact that market risk management has undergone a paradigm shift in how exposures are identified and measured as well as in the emergence of innovative tools which can result in a better ability to address the opportunities and challenges facing institutions that provide value to society (i.e., the real sector). Moreover, there is little substantive evidence that proves that the utilization of derivative instruments for hedging purposes leads its users to partaking in transactions that circumvent the prohibition of Riba (usury), Gharar (excessive uncertainty), and Maysir (gambling). In effect, the derivative instruments used for the management of market risks are not only disassociated from usurious debt transactions, they are also transacted in the financial markets in a manner that is transparent to all the parties involved. Along the same lines, the prohibition of Maysir, which is apparently an overarching concern, should be conceptualized with the focus on the proscription of the act of gambling, not necessarily the instruments (e.g., derivatives) and/or any particular framework (e.g., zero-sum arrangements). Ultimately, one should be cognizant of the fact that the true intentions of Islamic jurisprudence in Mua’amalat (as a manifestation of divine guidance) always centre on human well-being. Accordingly, the religious prohibitions are, in essence, within the realm of acts that adversely affect human well-being. This is a constant theme that is present throughout the thesis; and is one that exists at the heart of a wider aspiration of its adoption to a greater extent than is currently present in the Islamic finance discourse.
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WU, YUEH-CHUN, and 吳月春. "Audit Committee and Derivatives Usage Decision." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/as7pck.
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碩士國立雲林科技大學
會計系
107
The establishment of Audit Committee can supervise a company’s accounting and financial processes to ensure the reliability of financial reports. Moreover, audit committee can play an important role in corporate governance, which in turn, improves the efficiency and effectiveness of internal control system. Financial derivatives are characterized by risk averse, higher leverage and lower transaction costs. Consequently, these financial instruments are widely used by companies to control risks and/or create returns. This study examines the relationship between audit committee and derivatives usage decisions based on Taiwanese listed firms from 2009 to 2016. This study divides firms’ derivatives usage into hedging and non-hedging (trading) purposes and further examines whether audit committee can play a governance role in monitoring firms’ derivatives usage decisions to protect the interests of company and minority shareholders. The empirical result reveals that the audit committee is positively associated with hedging financial derivative usage, yet, is negatively associated with non-hedging (trading) derivatives usage. It suggests that audit committee can play an important role in corporate governance, then influences firms’ hedging and non-hedging (trading) derivatives usage decisions. This study conducts several sensitivity tests and shows the empirical results are robust to these diagnostic checks.
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Shih, Huei-Cen, and 史惠岑. "Agency Problems, Transparency and Derivatives Usage Decision." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/55666975264241348382.
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碩士國立雲林科技大學
會計系碩士班
101
Prior studies revealed that managers may hedge by way of derivative instruments because of compensation and their risk aversion. Alternatively, managers may selectively use derivatives for self-interest and speculation. This study divides the entire sample into hedging-purpose versus non-hedging-purpose derivatives usage sub-samples and examines two empirical topics: first, whether firm’s agency problem and financial reporting transparency affect managerial derivatives usage; second, whether firm’s value is affected by firm’s derivatives usage which is triggered by the agency problem and financial reporting transparency. In the first part, this study uses Tobit model to examine the effects of agency problem and financial reporting transparency on managerial derivatives usage. The results reveal that, agency problem has a negative impact on hedging purpose derivatives usage. In the second part, this study uses OLS model to examine the effects of derivatives usage, which is triggered by the agency problem and financial reporting transparency, on firm value. The results reveal that, the hedging purpose derivatives usage has a negative impact on firm value in firms with greater agency problems.
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CHANG, YING-CHIAO, and 張盈喬. "Family-controlled Firms and Derivatives Usage Decision." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/673udz.
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碩士國立雲林科技大學
會計系
107
In recent years, family-controlled firms have become very common around the world, and they have significant effects on economic development in Taiwan. Family-controlled firms devote much attention to long-term perspective and succession, which in turn, focus on risk management. On the other hand, more and more derivatives come out, and firms can use then to hedge risk and/or to gain short-term interests through market views. Based on the unbalanced-panel data regression, this study wants to figure out the relationship between family-controlled firms and the usage of derivatives. Moreover, this study divides the derivatives usage motives into hedging-purpose and non-hedging-purpose (speculating-purpose) and examines whether the association between family-controlled firms and the usage of derivatives reveals distinctive patterns in hedging-purpose and non-hedging-purpose decisions. The data include the listed firms from 2009 to 2017 in Taiwan Stock Exchange Corporation. The empirical result indicates that, comparing to non-family-controlled firms, family-controlled firms tend to use more hedging-purpose derivatives and avoid using non-hedging-purpose (speculating-purpose) derivatives. The result suggests that family-controlled firms care more about long-term development and risk management and is consistent with the convergence-of-interest hypothesis. This study runs several diagnostic checks and reveals the results are robust to these further examinations.
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WU, JIA-HUA, and 吳佳樺. "Institutional Investors Ownership and Derivatives Usage Decisions." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/24p2ur.
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碩士國立雲林科技大學
會計系
106
Derivatives, with low trading costs and high rewards, is an important financial instrument for managerial risk-aversion and/or investing decisions. Institutional investors who possess professional capabilities and huge funds play an important role in corporate governance. Their influence on corporate investment decisions and financial management increases with the high level of participation. This study examines the relationship between the institutional investors ownership and the derivative usage decisions in Taiwanese listed companies from 2009 to 2016. Moreover, we classify the motives of the derivative as hedging and non-hedging (trading). This study dedicates to understanding whether institutional investors can exert monitoring effect to ensure their rights. One of empirical results reveals the firm with institutional investors’ ownership is nonsignificantly associated with hedging-purpose derivatives usage in Taiwan. Further, we found that foreign institutional investors have a significant positive relationship with hedging-purpose derivatives usage however local institutional investors are opposite. Another result, institutional investors’ ownership negatively associated with non-hedging-purpose derivatives usage significantly, means that institutional investors can exert monitoring effect especially in the foreign institutional investors. Additionally, this study implements several diagnostic tests to check and analyze.
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Hsieh, Chiung-Mei, and 謝瓊梅. "The Effect of Derivatives Usage on Corporations Risk." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/03427512987927628793.
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碩士雲林科技大學
財務金融系碩士班
96
As globalization, the companies are facing increasing risk and therefore the risk management on firms is getting important. In this study, we investigate the condition of derivatives usage of the public offering firm in Taiwan and the effect of derivatives usage on corporations risk by multiple regression analysis. Our results show that: (1) Most of firms hold derivatives for hedge purpose. Options and Forwards are most held derivatives by firms; (2) The firms hold derivatives for hedge purpose can decrease more corporations risk than firms whose holding is for trading purpose; (3) Firms hold derivatives whose underlying asset is foreign currency for hedge purpose can reduce corporations risk effectively.
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LIN, JHONG-PING, and 林中屏. "The Effect of Derivatives Usage on Earnings Volatility." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/18369199781023949702.
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碩士雲林科技大學
會計系研究所
99
The Financial Accounting Standards Board in Taiwan issued and enforced Statement of Financial Accounting Standards No.34 in 2006 (hereafter, FASB NO.34). This standard triggers more transparent disclosure of accounting information. Prior studies reveal that managers can use derivatives to avoid business risk and to reduce earnings volatility. However, the motivation of derivatives usage can be divided into hedging and speculation. Thus, this study is motivated to classify derivatives users as a “hedger” and a “speculator” and then investigates the effect of derivatives usage on earnings volatility. The empirical results show that “hedger” derivatives user has lower earnings volatility. It reveals that managers can use derivatives to hedge and reduce interest rate, foreign exchange rate and commodity price risk of changes. In addition, it is found that firms seem to enhance risk management policies and efficiently reduce the cash flow volatility after FASB No.34.
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Fang, Kuang-Yi, and 方光儀. "Effect of Financial Derivatives Usage on the Earnings Informativeness." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/33096452836518974624.
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碩士國立雲林科技大學
會計系
103
Derivatives, with the feature of low trading costs and high rewards, have become one of the popular financial instruments for managerial risk-aversion (hedge) and/or investing decisions. Note that the derivatives usage can be devided into “hedging” versus “non-hedging” motives, this suduy examines whether these two differential motivations of derivatives usage results distinct effects on the earnings informativeness (future earnings response coefficient, FERC). This study conjectures the hedge-purpose (non-hedge-purpose) derivatives usage will reduce (aggravate) the risks brings by the flunctuation of interest rate, currency or prices of material/product, which in turn, enhance (mitigate) the earnings informativeness. The empirical result reveals, as conjectured, the earnings informativeness is enhanced for firms with hedge-purpose derivatives usage. Yet, the expected negative effect of non-hedge-purpose derivatives usage on the earnings informativeness does not gain empirical supported in the analysis. This study implements several diagnostic checks and documents the empirical results are robust to various specifications.
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Chen, Chung-yu, and 陳仲佑. "Institutional Investors Ownership, Financial Crisis and Derivatives Usage Decision." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/27500768619055292559.
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碩士國立雲林科技大學
會計系碩士班
101
Growing body of studies examine the determinants of risk management and/or making profit through financial derivatives. The ongoing growth in use of financial instruments together with the accompanying disclosing requirements debate has motivated this study to examine the role of institutional investors and global financial crisis which was occurred in 2008 in firms’ derivatives using decision. The empirical results reveal that the firm with high institutional investors’ ownership is positively associated with higher demand on financial derivatives usage. However, high institutional shareholding volatility decreases the positive association between institutional ownership and firm’s derivatives usage. Moreover, the magnitude of derivatives usage significantly decreases following the occurrence of global financial crisis. This study implements several diagnostic checks and demonstrates the results are robust to various specifications.
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Yang, Ya-ting, and 楊雅婷. "The Effect of Compensation Contracts on Derivatives Usage Decision." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/76139207744783250098.
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碩士國立雲林科技大學
會計系碩士班
101
The present study examines the effect of managerial bonus plans on firms’ derivatives usage from risk management perspective. Partitioning the entire sample into firms whose mangers are more likely to face convexity or concavity in the bonus payoff function, this study documents a positive association between bonus plans and non-hedging derivatives usage for firms in the convex region, yet, a negative relation for firms in the concave region. These empirical findings provide evidence that the incentives inherent in managerial bonus plans trigger mangers to increase non-hedging derivatives usage in order to maximize their expected bonus payments. However, the study does not find a statistically significant relationship between managerial bonus plans and hedging derivatives usage. Thus, it is fair to conclude that the incentive inherent in managerial bonus does not play an important role in determining firm’ hedging derivatives usage.
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Chen, Ching-Shiou, and 陳靜修. "The Usage and Financial Reporting of Derivatives in Taiwan''s." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/68472806657537959257.
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SUNG, SU-HUI, and 宋素蕙. "The Association between Derivatives Usage and Accruals-based Earnings Management." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/xk4mx8.
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碩士國立雲林科技大學
會計系
107
Based on income smoothing behaviors, Barton(2001) found that derivativesusage is positively associated with discretionary accruals.Note that derivatives usage can be classified asboth hedging and non-hedging (trading) purposes.This study examineswhether the positive association between derivatives usage and discretionary accruals reveals distinctive patterns in differential purposes of derivatives usage. In addition, this study divides the hedging purposederivatives usage into applicable and not applicable to hedge accounting, which in turn, examines whether the hedge effectiveness affects the association between derivatives usage and discretionary accruals. Based on Taiwanese listed companies from 2009 to 2016, the empirical results showed that discretionary accruals is positively associated withthe magnitude of hedge purpose derivativesusage. This result is inconsistent with the finding of Barton (2001).Further evidence reveals that this positiveassociation between hedging purpose derivativesusage and discretionary accrualscan be attributed to the hedging purpose derivativesusage that is not applicable forhedge accounting. It suggests that only ineffective hedge derivatives usage triggers managers’ further use discretionary accruals to smooth reporting earnings. It is found that the non-hedging (trading) derivativesusage is unlikely associated with the discretionary accruals.
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Yeh, Ning-Hsin, and 葉寧欣. "The Study of Determines of Derivatives Usage in Life Insurance Industry." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/14989415730242878412.
Full textAbstract:
碩士實踐大學
財務金融與保險研究所
99
This study examines the determinants of financial derivatives usage in the Taiwan life insurance industry. We employ OLS Regression model, Logit Regression model and Tobit Regression model, and use sample of 11 life insurance companies from 2006 to 2009. The variables of this study include firm size, firm leverage, mismatch of assets and liability durations, ratio of reinsurance, proportion of separate accounts assets to total assets, ratio of foreign investment, subsidiaries of financial holding company, and foreign currency policies. Our results indicate that life insurance company uses more derivatives if it has higher proportion of separate accounts assets to total assets and not a subsidiary of financial holding company.A life insurance company is more likely to use interest rate and foreign exchange derivatives if it has lower ratio of reinsurance and higher proportion of separate accounts assets to total assets.When it comes to the extent of usage, the life insurance company uses more derivatives if it is larger, has higher leverage, and has lower ratio of reinsurance.
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Zeng, Ya-ting, and 曾雅婷. "Analysis of the Relationship between Derivatives Usage and Return-risk Factors." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/19451366909744574353.
Full textAbstract:
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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Conceição, Cátia Sofia Pinto da. "How does the usage of derivatives affect bank profitability? : the U.S. case." Master's thesis, 2019. http://hdl.handle.net/10400.14/29044.
Full textAbstract:
The present Dissertation examines banks that are derivatives’ users and analyzes whether the extent
of usage has a positive impact on said banks’ profitability. Specifically, it focuses on the impact of
the total notional amount of derivatives on banks’ net income, as well as other control variables
relevant for the analysis of bank profitability. Accordingly, it employs a fixed effects model on a
sample of 282 United States’ banks, over the period 2005-2017. This period includes the U.S.
‘Subprime’ Crisis period, which is quite important in the analysis of U.S. bank profitability. Using
the above-mentioned methodology and timeline, the conclusion is that bank profitability is
negatively affected by the increment in the notional amount of derivatives’ contracts. Moreover,
size, net loans and leases to total deposits ratio, and capital to assets ratio contribute positively for
bank profitability. As expected, banks’ net income is typically lower during the crisis window.
Moreover, when distinguishing between three types of derivatives – i.e. interest rate, foreign
currency and equity, commodity and others, the results are somewhat mixed. The findings for
interest rate derivatives are in line with those for the entire sample, as the increase of its use is
deleterious for U.S. banks’ profitability. However, where the case of foreign currency derivatives
and equity, commodity and other types of derivatives is concerned, this relationship is positive, as
an increase in the notional amount of these latter types of derivatives leads to higher bank
profitability.A presente Dissertação examina bancos que usam derivados e analisa se o nível de uso tem um impacto positivo no lucro destes. Especificamente, concentra-se no impacto que o montante total nocional de derivados tem no resultado líquido dos bancos, assim como outras variáveis de controlo. Deste modo, utiliza um modelo de fixed effects numa amostra de 282 bancos dos Estados Unidos, no período de 2005-2017. Este período inclui a crise ‘Subprime’ nos E.U.A., importante para a análise em questão. Usando a metodologia e janela temporal previamente mencionados, a conclusão a retirar é de que o lucro dos bancos é negativamente afetado por um incremento no montante nocional de derivados. Adicionalmente, a dimensão, o rácio de empréstimos e locações financeiras líquidos sobre o total dos depósitos, e o rácio de capital sobre o total do ativo contribuem positivamente para o lucro dos bancos. Tal como era esperado, o resultado líquido dos bancos é menor em períodos de crise. Distinguindo entre três diferentes tipos de derivados – derivados de taxa de juro, de divisas, e de ações e bens, entre outros, os resultados são mistos. As conclusões para os derivados de taxa de juro estão em linha com as conclusões para a amostra total, sendo o aumento do seu uso prejudicial para o lucro dos bancos. No entanto, considerando os derivados de moeda e os de ações e de bens, entre outros, a relação é positiva - um incremento no montante deste tipo de derivados conduz a um aumento no lucro dos bancos.
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Chang, Yu-chieh, and 張語婕. "The Empirical study of Derivatives Usage Abnormal Return for Taiwanese listed companies." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/58687223740211077365.
Full textAbstract:
碩士雲林科技大學
財務金融系碩士班
97
In recent years, the global financial market toward liberalization and internationalization development, the derivatives are universal tool for hedge or profit purpose in Taiwan. In this study, we investigate the condition of derivatives usage of the public offering firm in Taiwan and study the abnormal return of the stock by four-factors regression model during 2005-2007. The results of this study are as follows (1) Most of firms hold derivatives for non-trading purpose. Electronics industry and automobile industry use derivatives more frequently than other industries. Currency is most held derivatives underlying asset by firms. Options and Forwards are most held derivatives by firms. (2) Firms operate the ratio of derivatives are annual decline during 2005-2007. (3) The big size of firms hold derivatives are higher than the small size of firm. (4) The income of the assets and indebtedness assessment for those companies operating derivatives are explored, and the result presented is that the up/down scale for the income of the companies which have operated derivatives is bigger than those companies which don’t operate the derivatives. (5) Firms operate derivatives abnormal return of the stock to focus interest derivatives for non-trading purpose. The characteristics of these companies are large, high growth and excellent past performance of the companies.
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JHUO, JHIH-MEI, and 卓芷玫. "The Effects of Directors' and Officers' Liability Insurance on Derivatives Usage Decisions." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/q7w8yq.
Full textAbstract:
碩士國立雲林科技大學
會計系
107
The directors' and officers' liability insurance mechanism is generally used to reduce the increased legal and financial responsibility of directors and managers after the outbreak of negative social events in many well-known companies. It suggests that directors’ and officers' liability insurance would play a role in firm’s risk management decisions. Financial derivatives have been found to either hedge risk or to speculate the market views in a firm’s risk management decisions. This study thus uses the data of the listed firms in Taiwanese Stocks Exchange from 2009 to 2017 to figure out the relationship between directors' and officers' liability insurance and the firm’s derivatives usage decision. Moreover, this study divides the sample into hedging-purpose and non-hedging-purpose (speculating-purpose) derivatives usage and examines whether the association of directors' and officers' liability insurance with the derivatives usage decisions will reveals distinctive patterns in differential derivatives usage motives. The empirical result indicates that directors' and officers' liability insurance is positively associated with both the hedging-purpose derivatives usage and non-hedging-purpose (transaction-purpose) derivatives usage and supports the hypothesis that directors' and officers' liability insurance enhances managerial wish to use financial derivatives in their risk management decisions. This study runs several diagnostic checks and reveals the results are robust to these further tests.
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周采薇. "Analyze the relationship between internationalized strategies and usage of derivatives in Taiwan's corporations." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/70013071789890477028.
Full textAbstract:
碩士國立暨南國際大學
國際企業學系
91
This study establishes and examines three types of financial behaviors of Taiwan enterprises including (1) the motivations of using derivatives among the corporations adopting different types of internationalized strategies, (2) the influence on the return on equity via using derivatives, (3) the relationship between the global diversification strategies and the use of financial derivatives. In contrast with the most prior studies analyze the average behavior of the whole enterprises. The features of this study are dividing the Taiwan enterprises into three categories including international operating firms, international financing firms, and pure domestic firms, as well as analyze and compare the determinants and impacts for using derivatives among the corporations adopting different types of internationalized strategies. The empirical results of this study are consistent with the following notions. First, the ratio and the amount of using derivatives in internationalizes firms are significant greater than those of pure domestic firms. Moreover, the utility rate of derivatives in international financing firms is 60%, and the rate is two times of international operating firms and six times of pure domestic firms. Second, analyzing the determinants for using derivatives among the various types of firms, the factors including growth options, substitutes for derivatives, risk exposure and company size are very significant in international operating firms. In contrast, international financing firms only consider risk exposure problem, and all factors in pure domestic firms are insignificant. Third, using derivatives can’t lower the risk of equity and have positive effect on the return on equity. It means that corporations will take the speculation factor into consideration when using derivatives. Fourth, most corporations in Taiwan set up their subsidiaries in British Virgin Islands, these features reflect that most internationalized firms in Taiwan don’t achieve sufficient global diversifications. Corporations in Taiwan are with greater depth and lower breadth, therefore are more exposed to foreign exchange risk. These features can also provide potential explanations for the high utility ratio of derivatives in internationalized firms.
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Lin, Hsiu-Chien, and 林秀謙. "The Effect of Derivatives Usage on the Relative Value-relevance of Accounting Numbers." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/18241690700298806333.
Full textAbstract:
碩士雲林科技大學
會計系研究所
99
The ongoing growth in use of financial instruments together with the accompanying disclosure requirements debate has motivated this study to examine the role of derivatives usage on the value-relevance of accounting numbers. Especially, this study divides the entire sample into hedging- versus non-hedging-purposes derivatives usage sub-sample and examines whether various derivative usage motives trigger distinct effects on value-relevance of earnings and equity book value. The empirical results reveal that, as conjectured, firms with large magnitude of hedging-purpose derivatives usage have higher value-relevance of earnings and equity book value. On the other coin, firms with large magnitude of non-hedging-purpose derivatives usage have lower value-relevance of earnings and equity book value. This study implements several diagnostic checks and demonstrates the empirical results are robust to various specifications.
29
洪婉瑜. "The Effect of CFO Education Background on Derivatives Usage, Firm Risk and Value." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/7r225y.
Full textAbstract:
碩士逢甲大學
財務金融學系
106
This paper explores the effect of CFO education background on derivatives usage, firm risk and value. However, there is very limited research on the relationships among CFO education background and derivatives usage. Thus, we included CFO education background to be explored. We used pool data of Taiwan listed firms on the Taiwan Stock Exchange (TSE) for the period of 2006-2015. In the full sample, CFO education background has no significant impact on derivatives usage. The usage of derivatives by financial accounting educated CFOs can not significantly lower earnings volatility, reduce firm risk and increase firm value. However, in the large firms, financial accounting educated CFOs without using derivatives can lower earnings volatility. For speculate or hedging purpose, financial accounting educated CFOs using derivatives has the significant positive effect on firm value. The results show that in the large firms, financial accounting educated CFOs can bring the positive effect to the firm due to the professional knowledge of derivatives
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Feng, Chun-ming, and 馮春明. "Diversification Strategies, Foreign Currency Derivatives Usage, and Exchange Rate Risk: Empirical Evidence from Taiwanese Corporations." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/29350689720696534963.
Full textAbstract:
碩士南華大學
財務金融學系財務管理碩士班
101
This paper empirically investigates the impacts of diversification strategies and foreign currency derivatives usage on firm’s exchange rate exposures using 832 public-listed firms in Taiwan over the period 2005 to 2011. The empirical results indicate that firms using foreign currency hedging and adopting international diversification strategy could mitigate the exchange rate exposures while utilizing the foreign currency derivatives. Moreover, firms with higher ratio of exporting and liquidity would increase exchange rate exposures; inversely, firms with higher degree of using foreign currency derivatives, higher ratio of long term debts, and larger scale would significantly decrease exchange rate exposures.
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Yang, Ya-Ming, and 楊雅茗. "The Influences of SFAS No.34 on the Derivatives Usage－Control Deviation and Corporate Governances." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/32962989785032792900.
Full textAbstract:
碩士淡江大學
會計學系碩士班
98
The complexity of financial derivatives and the need for transparency in their financial reporting have triggered the Financial Accounting Standards Committee of the Accounting Research and Development Foundation in Taiwan set forth SFAS No.34. The disclosures requirement under SFAS No.34 should help external financial statement users understand better a company’s risk exposure and its corresponding risk management policy. In addition, most firms in Taiwan have concentrated ownership structure, central agency problem exists inevitably between controlling shareholders and minority stock holders. Nevertheless, the presence of corporate governance can mitigate controlling stockholders’ strategically behavior while they’re also acting as management. At the mean time, corporate governance can improve effectiveness of management and protect external investor’s right (minority interests). Thus, this study focuses on corporate governance and examines the influences of corporate governance on derivatives usage. In other words, using data from Taiwan, this study examines the role of central agency problem and corporate governance in firms’ derivative financial instrument strategies. Meanwhile, this study divides the employing derivative financial instrument into hedge purpose and trading purpose and further investigates any alteration occurred after implementation of SFAS No.34. This study finds that firms with rigorous corporate governance have higher demand on hedging purpose derivative financial instrument in order to exercise risk management, and hence, raise firms’ value. After implementing SFAS 34, employment frequency of hedge purpose derivative financial instrument has significantly lowered than before. The present study contributes this empirical finding to SFAS 34 has stricter norm which complicates the employment and raises cost of reporting, as a consequence, lowers the intent of employing derivative financial instrument. However, it is found that the corporate governance is statistically insignificant with the trading purpose derivatives usage. This study also finds that the agency problem triggers from the control deviation is statistically insignificant with both the hedging/trading purpose derivatives usage.
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Chen, Yi-jian, and 陳以健. "Can Managers’Compensation and Ownership Alleviate Agency Conflict? A Study of Derivatives Usage in Taiwan Electronics Industry." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/19577465679529610130.
Full textAbstract:
碩士國立成功大學
會計學系碩博士班
96
In order to mitigate agency conflict and enhance managers’risk acceptance, incentive compensation has been introduced in Taiwan. Incentive compensation aligns managers’wealth with business performance, and therefore business risk may affect managers’wealth. Meanwhile, managing risk by trading derivatives needs to comply with certain standards, i.e. Taiwan Statements of Financial Accounting Standards No.34: Accounting for Financial Instruments (SFAS No. 34). Since incentive compensation and SFAS No. 34 impacts firm risk exposure, I focus on the interactions among risk management, compensation, and SFAS No. 34. In this study, based on 153 Taiwan electronics firms issuing stock options during 2001 to 2006, the fixed effect panel data models show that the more stock options (stock) held by managers, the less (more) derivatives are used by firms. In addition, SFAS No. 34 strengthens these two relationships, implying since its passage managers tend to maximize their wealth more than before. According to the empirical findings of this paper, stock options certainly encourage managers to bear more risks. However, SFAS No. 34 appears to reinforce agency conflicts. Most important of all, as they are based on only one year of data for SFAS No. 34 in the sample, the conclusions of this study should be cited with caution.
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CHEN, YI-HSIEN, and 陳伊嫻. "A Study of the Relationship Between the Determinants of Derivatives Usage and the Degree of Internationalization." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/14496526914954941209.
Full textAbstract:
碩士國立東華大學
國際企業學系
95
In the literature review, we find that less emphasis has been put on the link between the degree of internationalization and the motivation of hedging. The objective of this research lies on intensive study of the degree of internationalization, the usage of derivatives and their relationships. The paper selects Taiwan’s hi-tech industry as the research object, using information from annual financial statements as data base. Based on the Cragg (1971) model and hierarchical regression method, we check whether financial, operational characteristics and the degree of internationalization have significant effects on the hedge activities or not. The research findings of this paper not only contribute to the understanding of hedge behavior in Taiwan’s hi-tech industry, but also identify the relationship, direct or indirect, between the degree of internationalization and hedge activities. Because the time period of this project starts before the implementation of SFAS NO.34 and NO.36, it serves as a benchmark for future studies of the effects of these two SFAS documents on hedge activities. It also improves the effectiveness in government monitoring firms’ hedging behavior and regulatory policies decision-making.
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Chuang-Yu, Chen, and 陳壯宇. "The Influence of Derivatives Usage on Firm Value－The Research of Applying to SFAS NO.34." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/97185152252616434305.
Full textAbstract:
碩士國立臺北大學
會計學系
98
There have been many foreign and domestic studies on the derivatives. However, as the data of the derivatives in Taiwan were not available in the past, and most of the studies discussed on firm characteristics. After the hedge accounting of SFAS No.34 became effective, the data of the hedge use of derivatives are finally available. For this reason, this study intends to examine the performance of enterprises in Taiwan using the derivatives, and whether the more usage on the derivatives, the higher the firm’s value will be. In addition, this study further examines whether the performance among different industries exist significant variations. As the SFAS No.34 specifies hedge accounting clearly, this study uses the sample period starting from the time that the SFAS No.34 became effective (after 2006). Then, this study divides the usages of derivatives into three different types, foreign exchange rate (FX), interest rate (IR), and commodity price(CO). Moreover, the stduy chooses four industries which use the three types of derivatives simultaneously. The four industries are steel; rubber; oil, gas and electricity; and shipping and transportation. This study uses multiple regression analysis. The empirical results indicates that 1) Without distinguishing industries, the hedging effect of derivatives on firm value is positive, but only in foreign exchange rate derivatives and is not significant. 2) After distinguishing industries, the hedginf effect of derivatives on firm value is positive in the steel industry, but insignificant; the other three industries using the foreign exchange rate derivatives are also associated with higher firm value and again insignificant. To summarize, this study finds that enterprises in Taiwan using the derivatives have little positive effect on their value, suggesting the performance of enterprises in Taiwan using the derivatives is not so significant.
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Kung, Wen-Pin, and 龔文彬. "Earnings Persistence and Valuation Implication for Listed Firms with Financial Derivatives Usage under SFAS No.34." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/73742941926507200342.
Full textAbstract:
碩士淡江大學
會計學系碩士班
99
This research examines the possible impact on firms’ earnings and stock return after implementing SFAS No.34 which directly imposes effect on financial derivatives usage. Furthermore, this research also analyzes post SFAS No.34’s effect on market investors’ rational response of financial derivatives usage. This research adopts empirical analyzing method and studis Taiwan listed firms for year 2004 to 2008, and meanwhile, excludes financial firms and firms with missing data. In order to analyze the alteration in relationship between earnings and stock returns, this study examines both pre adoption and post adoption period of SFAS No.34 using multiple regressions. Moreover, by using the Mishkin’s rational expectation model (1983), this study discusses if market has overreacted or underreacted to firms’ application of financial derivatives. Empirical results indicate that implementing SFAS No.34 will significantly enhance corporate financial statement transparency as well as improve financial derivatives usage to enhance the relationship between firms’ earnings and stock returns. On the other hand, the test of market rational expectations suggests that although SFAS No.34 helps to enhance corporate financial statement transparency, however, market investors’ rational on interpreting corporate financial derivatives usage and earnings persistency relationship remains. Therefore, interpretation ability has not been affected by adopting SFAS No.34.
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Chia-LingChou and 周嘉玲. "The Influence of Foreign Currency Derivatives Usage on Pre-Tax Income for Public Listed Companies in Taiwan." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/75775648778627844457.
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Lee, Yu-Ping, and 李玉萍. "The Impact of Interest Rate Derivatives Usage on Firm’s Interest Rate Exposure: Evidence from the Life Insurance Industry." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/34278964999353633659.
Full textAbstract:
碩士國立成功大學
國際企業研究所碩博士班
96
I analyze the effect of firm characteristics on interest rate risk management behavior of U.S. life insurance industry. Using data collected from the annual report of life insurers in SEC, different models will be used to estimate for the probability and degree of use of interest rate derivatives. Furthmore, I analyze the exposure of interest rate with interest rate derivatives-user and nonusers. I find that life insurers with interest rate derivatives display more, if any, measurable differences in interest rate risk. That means life insurers with interest rate derivatives may face a little higher interest rate risk than non-user.
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Hsu, Shih-En, and 許時恩. "Relation of Corporate Derivatives Hedge Usage and Corporate Value/Performance Under Information Cost Condition in Taiwan’s Securities Market." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/30429695327851063007.
Full textAbstract:
碩士國立交通大學
經營管理研究所
103
After financial crisis, the issue of risk management becomes more importance than before. Furthermore, because of the frequent forecast on corporate performance from outside analysts, in addition to the corporate use of derivatives in risk management issue, issue of information cost also becomes important. Although there are some overseas papers research on the relationship between derivatives use, information cost and corporate performance, there is little research on this topic in domestic. This paper uses panel data’s random effects model to do empirical test, the sample is non-financial corporations in Taiwan’s securities market data from year 2005 to year 2012. After control some control variable, this paper wants to look into the effect on corporate performance/value when the firm uses derivatives to hedge and when the firm uses derivatives to hedge under considering information cost condition. Information cost measure proxy is from the dispersion of analyst forecast and accuracy of analyst forecast. Empirical result demonstrates that there is no significant relation on corporate performance/value when the firm uses derivatives to hedge. However, when consider information cost condition, the firm uses derivatives to hedge is significantly relate to corporate performance/value.
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Silva, João Aguiar Jorge da. "Interest-rate Risk Management and the usage of Interest-rate Swap Derivatives in State Owned Enterprises: A Portuguese Case Study." Master's thesis, 2014. https://repositorio-aberto.up.pt/handle/10216/77446.
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Silva, João Aguiar Jorge da. "Interest-rate Risk Management and the usage of Interest-rate Swap Derivatives in State Owned Enterprises: A Portuguese Case Study." Dissertação, 2014. https://repositorio-aberto.up.pt/handle/10216/77446.
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Hsieh, Pao-Ying, and 謝寶瑩. "The Impact of Derivatives Usage on the Value-Relevance of Accounting Information by Listed Firms in Taiwan After the Implementation of SFAS No.34." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/04031836422694232356.
Full textAbstract:
碩士淡江大學
會計學系碩士班
98
SFAS No.34 “The Principles of Accounting for Financial Instruments” promulgated in 2006 requires public firms in Taiwan to recognize rather than disclose the usage of derivatives in order to increase the transparency of financial statement as well as to decrease the degree of information asymmetry. It is expected that the enforcement of SFAS No.34 will influence the value-relevance of accounting information, specifically earnings and book value of equity. From the perspective of the magnitude of derivatives usage, this study aims to examine the impact of derivatives usage on stock value through Ohlson model. The empirical results show that the implementation of SFAS No.34, which offers more relevant and determinant information than historical cost, leads to the significant increasing of value relevance of earning information resulted from using derivatives. In addition, the empirical results also support the evidences documented by Burgstahler & Dichev (1997) that equity value is convex function of earnings or equity book value. In other words, while the usage of derivatives raises the value relevance of earning variable, yet, the value relevance of equity book value diminishes. These results remain robust to various specification tests.
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Yang, Hsin-Ni, and 楊炘妮. "Derivative Usage, Ownership Structure and Bank value in European Countries." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/78316440931482354183.
Full textAbstract:
碩士國立東華大學
財務金融學系
101
Using a sample of detailed ownership data of 1,032 listed commercial banks observations in 30 European countries from 2004 to 2010, I explore what categories of shareholder are more likely to use derivatives and how different types of owners affect the bank value. I find that a shift in equity from bank investors to either non-financial companies or institutional investors have increase incentives to use derivatives. Moreover, I have significant evidence that a shift in equity from bank investors to either family or manager shareholders who attend derivative activities will decrease bank value. However, a shift in equity from bank investors to non-financial companies who use derivative instrument will increase the bank value. My results are also robustness to address for the potential endogeneity problems.
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Chou, Yun-Yi, and 周耘毅. "The Risk Effects of Derivatives Usages on Commercial Banks." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/44xue6.
Full textAbstract:
碩士銘傳大學
財務金融學系碩士班
107
This study focuses on the risk effects of derivatives commodities usages on Taiwan's commercial banks from the perspective of endogenous attribution. The Characteristics of bank may affect tendency of using derivatives and cause sample selection bias. To avoid estimation bias caused by non-random sampling, our empirical model adopts Heckman two-stage estimation method to correct endogeneity and selection bias. At the first stage, selection equations estimate the determinants of derivatives usages of bank, which include variables of bank governance, financial characteristics and the purpose of bank-derived derivatives. At the second-stage, outcome equations estimate separately the risk effects of high and low derivatives usages. The empirical results of external selection show that derivatives usages will increase exchange rates, interest rates, and total risks significantly. However, if the bank characteristics variables are important factors influencing selection derivatives usages of bank, the risks effects will different from external attribution. The effects of ATT is negative but not significant. The effects of ATU and ATE are significantly negative. The results indicate that changing usages tendency of high usages samples will not affect risk effects, and changing usages tendency of low usages samples will significantly decrease exchange rate and interest rate risk.
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Tang, Hui-chia, and 湯蕙嘉. "The Impact of Exchange Rate Exposure, Currency Derivative Usage on Information Asymmetric." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/01650342194755913481.
Full textAbstract:
碩士國立成功大學
國際企業研究所碩博士班
97
The floating rate system begins in 1973 after the breakdown of Bretton Woods agreement, currency rate fluctuates all over the world. Besides, hedging can eliminate the currency exposure. Derivative usage can maximize a firm’s value by taxes benefits, reduction in costs of financial distress, and managerial risk aversion. The purpose of this article is to examine the effect of exchange rate exposure and the use of foreign currency derivatives on information asymmetric in a sample of S&P 100 nonfinancial firms for the period 2005 to 2007. First, we find that about 47% of our sample experienced significant exchange rate exposure effects in 2007. The high level of exchange rate exposure can be explained by the extent of higher foreign sales, higher current ratio, lower debt ratio and higher book-to-market equity value. Therefore, the estimated exposure to exchange rate fluctuations not only varied substantially across companies but also varied across years. Second, we conjecture the derivatives usage is associated with lower information asymmetry. More importantly, we find a positive link between exchange rate exposure and information asymmetry. However, we fail to find a significant correlation between the currency exposure and information asymmetry. For the managerial implication, exchange rate risk management and hedging can both maximize the firm’s value and raise transparency between firms and investors that can lower capital cost and increase the firm’s reputation.
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Chih-Hsiu, Yeh, and 葉芝秀. "The Impact of the Board’s Characteristics and Financial Derivative Usage on Financial Performance." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/6d9xze.
Full textAbstract:
碩士國立高雄應用科技大學
財富與稅務管理系碩士在職專班
102
This article synthesizes empirical research findings on the impact of the board’s characteristics influences on corporation’s financial derivatives usage, measured by financial performance, sampled from companies that are listed on Taiwan’s stock market and over-the-counter market. Descriptive statistics, Pearson correlation analysis and an integrative model of board’s attributes and roles are presented. Based on past researches support on financial derivatives usage, size of the board, number of independent directors, and whether the chairman is also the chief executive officer. The outcomes of the regression analysis indicate that the characteristics have a certain level of influences on corporation’s financial derivatives usage.
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Cheng, Chih-Hsien, and 鄭志賢. "The Empirical Study of Foreign Exchange Derivatives Usages in Taiwan Banking Industry." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/77979852851233036344.
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碩士嶺東技術學院
財務金融研究所
93
During recent years, the financial markets face high volatility and strong competition resulting from the rapid liberalization and internationalization in Taiwan. This aggravates the difficulty in risk management for banking industry. Thus, the bank’s hedging behavior through derivatives usages deserve further investigation. This study adopts the Multinomial Logit Model (MNLM) to analyze the determinant factors in usage of the foreign exchange derivatives for Taiwan's banking industry from 1998 to 2004. The results show that liquidity ratio, nonperforming loan ratio, shareholding ratio by boards, and type of banks are important factors to affect bank's choice in using foreign exchange derivatives. In comparing linear with nonlinear derivatives usage, the result shows the higher liquidity ratio and greater shareholding by boards will increase the probability to use nonlinear derivatives to hedge risks, whereas the bank tends to operate linear derivatives when they have higher nonperforming loan ratio. Besides, the tobit model is employed to explore the determinants in the degree of bank’s derivatives usage. The result shows that new bank, higher debit ratio and greater board’s shares will enhance the degree of derivatives using while traditional bank, higher equity growth, current ratio and manager’s shares will decrease the usage of foreign exchange derivatives. Keyword：Derivatives、Multinomial logit model(MNLM) 、Tobit model
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Hsiao, Yu-Jen, and 蕭育仁. "Two Essays on the Usage of Financial Derivative for Commercial Banks: Evidence from European Market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/87118323910635990811.
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博士國立中央大學
財務金融研究所
98
This dissertation contains two chapters on the usage of financial derivative for commercial banks: evidence from European market. Chapter 1: On the Usage of Financial Derivative for Commercial Banks: Evidence from European Markets This chapter investigates the financial characteristics of banks and country-level variables that use financial derivatives and those that do not. We find that user banks, compared to nonusers are associated with large size, higher profitability, lower intermediation profit, higher interest-rate risk and corporate loan, higher deposit ratio and dividend payout ratio, diversified ownership structure and less liquid derivatives markets. We also find that banks, especially smaller ones, benefit from being associated with bank-holding companies. Besides, we further consider that how can the change in a bank''s financial derivatives holding be explained? We find that the increase in the firm size and capital adequacy and decrease in the deposit ratio appear to significantly increase the likelihood of banks to use financial derivatives. The strong results from our tests are consistent with some theoretical predictions, but in several cases unambiguously inconsistent. We interpret this as evidence that commonly cited theoretical motivations for risk management are of secondary importance for determining which banks use financial derivatives. Instead, the results are most consistent with an alternative hypothesis that derivatives are financial tools for trading. Chapter 2: The Effect of Financial Derivative Usage on Commercial Banks Risk and Value: Evidence from European Markets This chapter empirically investigates two questions. First, we investigate whether the level of financial derivative activities of European banks is associated with the market’s perception of their interest rate and exchange rate risks. The results suggest that the use of interest arte derivatives does seem to increase European banks’ interest arte risk. A possible explanation for this finding is that banks may use financial derivatives to speculate interest rate risk changes or bank’s derivative trading activities may have exposed them to interest rate risk changes that are not effectively hedged. Further investigation revealed that the use of financial derivatives for hedging does seem to decrease European banks’ risk, supporting the argument that banks are more likely to speculate with financial derivatives. However, there is no significant evidence that banks financial derivatives are associated with foreign exchange exposure. Second, using Tobin’s Q as an approximation for bank market value, we find significant evidence that the use of financial derivatives is positively associated with bank market value. Specially, we find trading purpose for banks mainly causes an increase in bank value, this differ from theories that suggest the decision to hedge is value increasing by non-financial firms. If such a finding is shown to be robust across follow-up studies, it would suggest the need for better management of banks’ internal control system and /or greater derivative disclosure to impose market discipline on banks to ensure that there is no unwarranted risk taking.
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Chen, Li Ling, and 陳俐伶. "The Impact of Financial Derivative Usage on Earnings Attributes – The Example of SFAS NO.34." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/12992457214081148687.
Full textAbstract:
碩士長庚大學
工商管理學系
99
The objective of this research is to examine the effect of financial derivatives for speculative or hedging purposes on earnings attributes after the adoption of Taiwan SFAS No.34. I use accrual quality, earnings smoothness, and earnings predictability as proxies for earnings attributes. This study uses the earnings attribute measures from Francis et al. (2004) to investigate the effect of Taiwan SFAS No.34 on accrual quality, earnings predictability, and earnings smoothness. The sample includes public listed companies in Taiwan utilizing financial derivatives from years 2006 to 2010. The empirical results show that companiess utilizing derivatives for hedging purpose not only improve earnings smoothness but also increase earnings predictability and accrual quality. These results imply that companies hedging with derivatives have better earnings attributes, suggesting that derivative usage for hedging purpose enhances the attributes of earnings quality and mitigates information asymmetry thereby reducing information risk for investors.
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Lin, Kai-Chi, and 林凱祺. "Exposure and Derivative Usage,During Different Volatility of Commodity Price. The Case of the U.S. Oil Industry." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/89895709182324929664.
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碩士國立成功大學
國際企業研究所碩博士班
97
This study attempts to answer the question of whether oil producers should hedge by forward selling or not during the period of constant growth and low volatility in gold prices. This study discusses and examines the relationship between the two constructs in the U.S. oil producing industry － forward selling usage and the stock price exposure to change in the price of oil. The negative relationship between derivative use and the stock price exposure to change in the oil price is very obvious. Even more, we wonder whether the trend and volatility of oil price influence the relationship between the two constructs. The study selects two different time periods to examine the effect that derivative usage influences the exposure to change in the oil price. One window is from 2000 to 2002, and the other one is from 2005 to 2007. In our sample, we pick up 53 U.S. oil producers which are both in the two time windows. On our anticipation, we not only expect that there is general negative relationship in the time windows 2000-2002 which is normal volatile trend of oil price, but also think that there is diminishing negative relationship in the time windows 2005-2007 which is increasing trend of oil price. And this part is never mentioned before in any other literatures. We want to clarify this new concept in the oil producing industry. And allow the managers to gain insights into the effect of volatility on a company’s return given its particular cost structure which in turn, supports more informed decision making. The directions of the study’s two main structures are correspondent to our expectations and it means that the study explains the situation that when the oil price constantly goes up, investors will not think hedging firms as a suitable target to invest.
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Yen-YuLai and 賴彥宇. "Evidence form U.K life insurance industry：The relationship between the usages of reinsurance and derivative." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/62664215209352951695.
Full textAbstract:
碩士國立成功大學
企業管理學系碩博士班
100
The motivation of my research is due to most scholars think that both of reinsurance and derivatives are hedging tools for insurers and they are substitute usage, saying that while use more derivative, they will adopt less reinsurance, and vice versa. The aim of this study is to reexamine the relationship between the usage of reinsurance and derivatives is whether substitute or complementary. Thus I collect data from synthesis database ranging from the year 1985 to 2010 and put many variables into the model I establish to run 2SLS by Limdep software. Accidentally, I get the different empirical results than before have been done. When the equation (1) that reinsurance is dependent variable and derivative is one of the independent variables and further take some variables of the lagged one period dataset which correlate with dependent variable into consideration, I get insignificantly substitute effect between the usage of reinsurance and derivative and the overall model fit excellent. However, when the equation (2) that derivative is dependent variable and reinsurance is independent variable, I find that the effect of reinsurance on derivative are complementary, saying that while use more reinsurance, insurers tend to increase the usage of derivative. These findings have great different results comparing to the previous researches.