Striving for home advantages? an empirical study of currency hedging of Taiwan life insurers
| Autor: | Hsu,Su Chu, 許素珠 |
|---|---|
| Rok vydání: | 2011 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 99 In this study, we study two essays on international asset allocation and the currency hedging problem for Taiwan life insurer industry. In the first essay, we investigate the high percentage of foreign investments placed by Taiwan life insurers and how this phenomenon is at odds with the bias for investing at home common among American investors. The holdings of 25 Taiwan life insurance companies, between the years 2004 and 2008, are scrutinized with a view towards evaluating home bias and its financial impact. We find that foreign investment has proven profitable for the life insurance industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, and that while the performance of investments made by domestic-owned life insurers differs from that of foreign-owned life insurers, the difference is insignificant. We also found that global financial turmoil in 2008 had a massively negative impact on the foreign investments of Taiwan life insurance companies and firm size and return on investment is negative correlated, suggesting that life insurers should focus on enhancing investment performance and risk management. In the second essay, we examine the currency hedging strategy and its impact on the performance of Taiwan life insurance industry investments from 2004 to 2008. We find that currency hedging strategies have yielded positive results, overall, for the industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, the results show that the currency hedging strategies employed by the domestic-owned companies enjoy advantages over those of foreign-owned firms. If the sample is further divided into those publicly listed on the TAIEX and others, our results show that a hedging strategy has positive effects on listed company. Our findings support the work in Glen and Jorion (1993) and Campbell et al. (2010), which reveal that hedging strategies improve foreign investment returns and can reduce currency risks in comparison to non-hedging strategies. Our empirical results indicate that SFAS No. 34 has a significant effect on currency hedging behavior among domestically owned and listed companies. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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