衍生性金融商品數量性資訊揭露與外匯風險暴露之關聯性研究

The Association between Derivative Disclosure and Foreign Exchange Risk Exposure

本研究探討我國財務會計準則第27號公報「金融商品之揭露」所規範揭露之數量性資訊與企業外匯風險是否存在關聯，藉以研究目前所揭露的相關資訊是否為投資人評估外匯風險時的重要依據之一，以供主管機關與準則製訂機構在往後監督與公報修訂上的參考。本研究參考Wong （2000）所提出的研究議題與模式，著重於公報中要求揭露衍生性金融商品之合約金額與公平價值。本研究結果顯示，不論是電子業或非電子業，投資人會部分運用到合約金額，故第27號公報之數量性資訊揭露在現行企業財務報表揭露的水準下有其參考的價值。但對公平價值變動部分，許多公司可能以賣出選擇權模式賺取權利金，卻以避險模式處理，且公報規定不明確，造成公平價值變動之計算有所爭議，可能是影響此部分結果多不顯著的主要原因。另研究結果亦顯示，與外匯相關之其他資訊有揭露之必要，包括原料進口金額及以外幣計價之負債。此外，目前27號公報所要求揭露之事項，許多公司並未加以落實，在36號公報即將實行之際，主管機關宜加強此部分之宣導及監督，以收執行之效。

The purpose of this study is to examine whether the information about a company's foreign exchange derivatives contract is used by investors in their decision making. Specifically, we study the relationship between quantitative information disclosure of foreign exchange derivatives as required by Financial Accounting Standards No. 27 of ROC, Disclosure on Financial Instrument, and foreign exchange risk exposure. We follow the model as developed by Wong (2000) to examine manufacturing companies in Taiwan, especially focusing on the disclosure of nominal amount and the change in the fair value of foreign exchange derivatives contract. The results of the study show that foreign exchange exposure is related to nominal amount of foreign exchange derivatives, but not related to the change of their fair value in most cases. These results suggest that the disclosure of nominal amount of foreign exchange contract is useful to investors. The insignificance in the change of the fair value may be due to several reasons, including the measurement problem resulted from the vagueness of the definition of fair value and the misuse of hedging accounting on trading purpose derivatives by companies. The result suggests that the disclosure requirement on derivatives in the financial statements should be reinforced by the governance agency or the regulation bodies.