以經營能力觀點建立公司使用衍生性金融商品避險之決策系統---以營建材料製造商為例; Hedging decision model for construction material suppliers: an operating capability

NCUIR > Engineering College > Graduate Institute of construction engineering > Electronic Thesis & Dissertation > Item 987654321/43545

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/43545

Title:	以經營能力觀點建立公司使用衍生性金融商品避險之決策系統---以營建材料製造商為例;Hedging decision model for construction material suppliers: an operating capability
Authors:	羅元宏;Yuan-Hung Lo
Contributors:	營建管理研究所
Keywords:	衍生性金融商品;經營能力;決策系統;避險;financial risk;KNN;derivative;construction material suppliers;TOPSIS;risk hedging
Date:	2010-07-30
Issue Date:	2010-12-08 13:44:08 (UTC+8)
Publisher:	國立中央大學
Abstract:	近年來營建物價普遍大幅上揚，不少營建材料製造商皆相繼採用不同之避險方法以減少影響，最常使用為「衍生性金融商品」。營建材料製造商數目繁多，若有一套適當之評估方式加以衡量，其對使用衍生性金融商品避險有效與否將有相當之助益。以往先進針對使用衍生性金融商品避險之使用作預測，卻缺乏從財務資料上評估避險有效與否，僅能提供預測機率，無法幫助高階管理人提供決策選擇。經由文獻回顧發現，經營能力構面主要衡量公司資產使用效率與經營績效，其資訊能幫助公司之投資決策之決定，故本研究針對經營能力探討。本研究於台灣經濟新報與公開資訊觀測站蒐集88年至97年有關營建材料製造商之經營能力財務指標資料，利用TOPSIS多準則評估法取得總體能力指標後，從經營能力上分析營建材料製造商之排名，後續利用KNN分類演算法建立決策系統，將取得之資料分類避險是否為有效避險，最後輸入98年之資料於本研究之決策系統，以推估該年是否需進行避險。使用本研究建構之決策系統，若應收款項週轉率16.98(次)以上、存貨週轉率8.73(次)以上、固定資產週轉率5.33(次)以上、總資產週轉率2.82(次)以上則表示該公司屬於前25%之公司，前25%公司有效或無效避險之準確率為70.97%準確率，後75%公司準確率為65.95%，可提供給高階管理者作決策之參考依據。 Construction suppliers have always faced financial risks while conducting international business of raw materials. Risk hedging using derivatives is a typical and effective method to diminish impact caused by inflation of interest rate and currency exchange rate. Based on historical financial features, this research develops a decision model that assists practitioners in choosing proper timing so as to prevent financial risks brought by inflation of interest rate and currency exchange rate. The study collects all quarterly financial statements of 14 listed material suppliers related to construction during the latest decade. As a result, 560 corporate financial reports are considered where approximately a half of them record derivatives use for risk hedging. With the aspect of operating capability, all these corporations are graded and ranked using Technique for Order Performance by Similarity to Ideal Solution (TOPSIS) technique. Utilizing the k-mean Nearest Neighbor algorithm (KNN), the decision model is consequently established. The research evaluation examines feasibility of the model and concludes that the model, with 70.97% of accuracy rate, is capable of suggesting users hedging risks by use of derivatives.
Appears in Collections:	[Graduate Institute of construction engineering] Electronic Thesis & Dissertation

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