財務危機風險、報酬波動與避險

Financial Distress, Return Volatility and Hedging

本研究以2005年至2009年所有台灣上市櫃公司為樣本，以Tobit迴歸檢定權益波動與避險比例的關係，探討不同財務危機風險下的企業避險動機。提出三個假說，分別為高財務危機風險下的「風險移轉假說」、接近財務危機風險下的「風險管理假說」及低財務危機風險下的「風險－報酬抵換假說」。研究發現在高財務槓桿樣本群，在考量選擇性偏誤、是否處於金融風暴期間、不同的避險比例衡量方式以及不同的槓桿比例財務危機風險指標下，其權益波動與避險比例都具有顯著負向關係，故支持高財務危機風險公司具有風險移轉行為。在低財務槓桿樣本群，除在不同避險工具考量選擇性偏誤的結果外，多數的結果都呈現權益波動與避險比例具有顯著負向關係，部分支持低財務危機風險公司在風險－報酬抵換考量下會選擇高風險而少避險的決策。而高、低財務危機風險之間的群組，其權益波動與避險比例具有正向影響，但部分未達顯著，故微弱地支持風險管理假說。本研究透過實證釐清財務危機風險與權益波動以及其交互作用對企業避險行為的關係。

We adopt Tobit Regressions to examine the hedging behavior of the listed firms in Taiwan during 2005-2009. With the concern of bankruptcy and risk-shifting motivation of the firm, the risk-shifting, risk management, and risk-return-trade-off hypotheses are then reviewed and tested. The results show that return volatility is significantly negative to hedge ratio for distressed firms, controlling for the selection biases, time period of catastrophe (i.e., the Financial Crisis started from 2008), and the model sensitivity to different definitions of financial distress. It strongly supports the risk-shifting phenomenon for distressed firms. Significant negative relationship between hedge ratio and return volatility for non-distress group can also be observed in most tests, apart from some models for the Heckman tests for controlling selection biases. These findings partly support the risk-return-trade-off hypothesis. For the firms being in-between extreme distress levels, the return volatility is positive to hedge ratio, showing a weak support to risk management hypothesis. Our empirical results clarify the impacts of financial distress, return volatility, and their interaction term on corporate hedging behavior.