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題名：產險公司之再保險與資本結構決策
作者：李瀟一
作者(外文)：Li, Xiaoyi
校院名稱：國立政治大學
系所名稱：風險管理與保險學系
指導教授：許永明
學位類別：博士
出版日期：2021
主題關鍵詞：再保險；資本結構；目標資本結構；資本結構調整速度；Reinsurance；Capital structure；Target capital structure；Speed of capital structure adjustment
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使用美國產險公司資料，利用再保險作為風險管理代理變數，本研究包含三篇文章，探討產險公司之再保險與資本結構決策。已知風險管理可以幫助企業增加槓桿，然而少有文獻探討風險管理對於目標槓桿之作用。第一篇文章探討風險管理（再保險）與目標資本結構的關係。研究發現，再保險與目標槓桿之間存在顯著正相關並且有助於提升目標槓桿的穩定性。此外，再保險對於目標槓桿的正向作用可長達10年。為緩解再保險與目標資本結構的潛在內生性，我們利用颶風卡崔娜（2005）和珊迪（2012）作为外生衝擊，使用difference-in-differences(DID)方法再次檢驗本文主要結論。
過去文獻探討風險管理對槓桿有正向作用。然而對於此正向作用通過何種機制產生，並未做進一步探討。為了解答此問題，在第二篇文章中，利用美國產險公司2001到2019年的資料，將資本結構分解成兩個部分：目標資本結構和資本結構偏離，進而探討風險管理（再保險）通過何種路徑對資本結構產生影響。結果顯示，風險管理對目標資本結構有正向作用，然而對於資本結構偏離無明顯作用。此結論與假說一致，說明風險管理促使資本結構增加主要來自於目標資本結構的增加。此外，在主動資本結構偏離中，再保險可以幫助保險公司更加有效的調整資本結構。
基於前兩篇文章研究結果：風險管理對於目標資本結構有正向作用，第三篇文章研究風險管理（再保險）對於目標資本結構的重要性，即風險管理是否應該作為重要因子納入目標資本結構之預估。根據共變數分析（analysis of covariance）與相對重要性分析（dominance analysis），結果顯示，再保險是解釋產險公司目標資本結構變動的重要因子。具體來說，再保險可解釋20.4%的目標資本結構（由system GMM方法估計）變動。此外，本文也探討在不同情境下，再保險對於目標資本結構的重要性。結果亦顯示，再保險對於公司規模大，槓桿高，或多角化經營的產險公司之目標資本結構發揮更重要的作用。
This dissertation includes three essays regarding risk management (reinsurance) and capital structure decisions in financial institutions using data on US non-life insurance firms. Given that active risk management policy can permit a higher leverage, few studies regarding the implications of risk management on optimal/target capital structure exist. In essay 1, we investigate the effect of reinsurance on target capital structure. Insurance firms with more reinsurance tend to increase target leverage: there is a significantly positive relation between reinsurance and target leverage. Additional evidence suggests that insurance firms with more reinsurance can boost the stability of their target capital structure in the long term. Besides, the positive effect of reinsurance on target capital structure is shown to be persistent for over 10 years. To mitigate the potential endogeneity concerns between reinsurance and target, using Hurricanes Katrina (2005) and Sandy (2012) as exogenous shocks, we employ difference-in-differences (DID) to confirm the results.
Previous studies have shown that risk management is positively related to capital structure. However, the mechanisms of the effects of risk management on capital structure are not known. To address this question, in essay 2, using panel data on US non-life insurance firms from 2001 to 2019, we decompose capital structure into two components: target capital structure and deviation from target capital structure. The results show that reinsurance has a significantly positive effect on target leverage but no effect on deviations from target leverage, which indicates that the positive effect of reinsurance on capital structure mainly results from an increase in target leverage. Besides, reinsurance helps to adjust faster in active deviations than in passive deviations.
According to the findings of essays 1 and 2, given that risk management (reinsurance) has an effect on target capital structure, the empirical evidence on whether risk management would be an essential factor in target capital structure estimation is scarce. In essay 3, we address the question: Is risk management essential to be considered in target capital structure estimation? We investigate the importance of reinsurance for target capital structure. The results relying on the analysis of covariance (ANCOVA) and dominance analysis show that reinsurance is a vital factor for target capital structures of non-life insurance firms. Especially for the target capital structure estimated by system GMM, the total variation of target capital structure explained by reinsurance is approximately 20.4%. We also explore the importance of reinsurance in different circumstances. The results suggest that the effect of reinsurance is more significant for insurance firms with large size, high leverage, or more diversification.
Chapter 1: Does risk management affect target leverage in financial institutions?
Adiel, R., (1996). Reinsurance and the Management of Regulatory Ratios and Taxes in the Property—Casualty Insurance Industry. Journal of Accounting and Economics 22, 207-240
Anand, V., Tyler Leverty, J., Wunder, K., (2021). Paying for Expertise: The Effect of Experience on Insurance Demand. Journal of Risk and Insurance 88, 727-756
Barrot, J.-N., Sauvagnat, J., (2016). Input Specificity and the Propagation of Idiosyncratic Shocks in Production Networks. The Quarterly Journal of Economics 131, 1543-1592
Chauhan, G.S., Huseynov, F., (2018). Corporate Financing and Target Behavior: New Tests and Evidence. Journal of Corporate Finance 48, 840-856
Chen, T., Goh, J.R., Kamiya, S., Lou, P., (2019a). Marginal Cost of Risk-Based Capital and Risk-Taking. Journal of Banking & Finance 103, 130-145
Chen, X., Higgins, E., Xia, H., Zou, H., (2019b). Do Financial Regulations Shape the Functioning of Financial Institutions’ Risk Management in Asset-Backed Securities Investment? Review of Financial Studies 33, 2506-2553
Cheng, J., Weiss, M.A., (2012). Capital Structure in the Property‐ Liability Insurance Industry: Tests of the Tradeoff and Pecking Order Theories. Journal of Insurance Issues 35, 1-43
Cook, D.O., Fu, X.D., Tang, T., (2016). Are Target Leverage Ratios Stable? Investigating the Impact of Corporate Asset Restructuring. Journal of Empirical Finance 35, 150-168
Cummins, J.D., Nini, G.P., (2002). Optimal Capital Utilization by Financial Firms: Evidence from the Property-Liability Insurance Industry. Journal of Financial Services Research 21, 15-53
Fama, E.F., French, K.R., (2002). Testing Trade-Off and Pecking Order Predictions About Dividends and Debt. Review of Financial Studies 15, 1-33
Faulkender, M., Flannery, M.J., Hankins, K.W., Smith, J.M., (2012). Cash Flows and Leverage Adjustments. Journal of Financial Economics 103, 632-646
Fier, S.G., McCullough, K.A., Carson, J.M., (2013). Internal Capital Markets and the Partial Adjustment of Leverage. Journal of Banking & Finance 37, 1029-1039
Fischer, E.O., Heinkel, R., Zechner, J., (1989). Dynamic Capital Structure Choice: Theory and Tests. The Journal of Finance 44, 19-40
Flannery, M.J., Rangan, K.P., (2006). Partial Adjustment toward Target Capital Structures. Journal of Financial Economics 79, 469-506
Graham, J.R., Harvey, C.R., (2001). The Theory and Practice of Corporate Finance: Evidence from the Field. Journal of Financial Economics 60, 187-243
Graham, J.R., Rogers, D.A., (2002). Do Firms Hedge in Response to Tax Incentives? The Journal of Finance 57, 815-839
Harford, J., Klasa, S., Walcott, N., (2009). Do Firms Have Leverage Targets? Evidence from Acquisitions. Journal of Financial Economics 93, 1-14
Hovakimian, A., (2004). The Role of Target Leverage in Security Issues and Repurchases. The Journal of Business 77, 1041-1072
Hovakimian, A., Hovakimian, G., Tehranian, H., (2004). Determinants of Target Capital Structure: The Case of Dual Debt and Equity Issues. Journal of Financial Economics 71, 517-540
Hovakimian, A., Li, G., (2011). In Search of Conclusive Evidence: How to Test for Adjustment to Target Capital Structure. Journal of Corporate Finance 17, 33-44
Hovakimian, A., Opler, T., Titman, S., (2001). The Debt-Equity Choice. Journal of Financial and Quantitative Analysis 36, 1-24
Im, H.J., Kang, Y., Shon, J., (2020). How Does Uncertainty Influence Target Capital Structure? Journal of Corporate Finance 64, 101642
Lambrinoudakis, C., Skiadopoulos, G., Gkionis, K., (2019). Capital Structure and Financial Flexibility: Expectations of Future Shocks. Journal of Banking and Finance 104, 1-18
Leary, M.T., Roberts, M.R., (2005). Do Firms Rebalance Their Capital Structures? The Journal of Finance 60, 2575-2619
Leland, H.E., (1998). Agency Costs, Risk Management, and Capital Structure. The Journal of Finance 53, 1213-1243
Mankai, S., Belgacem, A., (2016). Interactions between Risk Taking, Capital, and Reinsurance for Property-Liability Insurance Firms. Journal of Risk and Insurance 83, 1007-1043
Mayers, D., Smith, C.W., (1990). On the Corporate Demand for Insurance: Evidence from the Reinsurance Market. The Journal of Business 63, 19-40
Myers, S.C., (1984). The Capital Structure Puzzle. The Journal of Finance 39, 574-592
Powell, L.S., Sommer, D.W., (2007). Internal Versus External Capital Markets in the Insurance Industry: The Role of Reinsurance. Journal of Financial Services Research 31, 173-188
Rampini, A.A., Viswanathan, S., Vuillemey, G., (2020). Risk Management in Financial Institutions. The Journal of Finance 75, 591-637
Shim, J., (2010). Capital-Based Regulation, Portfolio Risk and Capital Determination: Empirical Evidence from the Us Property–Liability Insurers. Journal of Banking & Finance 34, 2450-2461
Shiu, Y.M., (2016). Is Reinsurance a Substitute for or a Complement to Derivative Usage? Evidence from the Uk Non-Life Insurance Industry. Geneva Papers on Risk and Insurance-Issues and Practice 41, 161-178
Titman, S., Wessels, R., (1988). The Determinants of Capital Structure Choice. The Journal of Finance 43, 1-19
Zhou, Q., Tan, K.J.K., Faff, R., Zhu, Y., (2016). Deviation from Target Capital Structure, Cost of Equity and Speed of Adjustment. Journal of Corporate Finance 39, 99-120

Chapter 2: How and when does risk management affect capital structure? Evidence from capital structure decomposition
Adiel, R., (1996). Reinsurance and the Management of Regulatory Ratios and Taxes in the Property—Casualty Insurance Industry. Journal of Accounting and Economics 22, 207-240
Anand, V., Tyler Leverty, J., Wunder, K., (2021). Paying for Expertise: The Effect of Experience on Insurance Demand. Journal of Risk and Insurance 88, 727-756
Chauhan, G.S., Huseynov, F., (2018). Corporate Financing and Target Behavior: New Tests and Evidence. Journal of Corporate Finance 48, 840-856
Chen, T., Goh, J.R., Kamiya, S., Lou, P., (2019a). Marginal Cost of Risk-Based Capital and Risk-Taking. Journal of Banking & Finance 103, 130-145
Chen, X., Higgins, E., Xia, H., Zou, H., (2019b). Do Financial Regulations Shape the Functioning of Financial Institutions’ Risk Management in Asset-Backed Securities Investment? Review of Financial Studies 33, 2506-2553
Cole, C.R., McCullough, K.A., (2006). A Reexamination of the Corporate Demand for Reinsurance. Journal of Risk and Insurance 73, 169-192
Cook, D.O., Tang, T., (2010). Macroeconomic Conditions and Capital Structure Adjustment Speed. Journal of Corporate Finance 16, 73-87
Cummins, J.D., Nini, G.P., (2002). Optimal Capital Utilization by Financial Firms: Evidence from the Property-Liability Insurance Industry. Journal of Financial Services Research 21, 15-53
Cummins, D.J., Sommer, D.W., (1996). Capital and Risk in Property-Liability Insurance Markets. Journal of Banking & Finance 20, 1069-1092
Fama, E.F., French, K.R., (2002). Testing Trade-Off and Pecking Order Predictions About Dividends and Debt. Review of Financial Studies 15, 1-33
Faulkender, M., Flannery, M.J., Hankins, K.W., Smith, J.M., (2012). Cash Flows and Leverage Adjustments. Journal of Financial Economics 103, 632-646
Fier, S.G., McCullough, K.A., Carson, J.M., (2013). Internal Capital Markets and the Partial Adjustment of Leverage. Journal of Banking & Finance 37, 1029-1039
Flannery, M.J., Rangan, K.P., 2006. Partial Adjustment toward Target Capital Structures. Journal of Financial Economics 79, 469-506
Froot, K.A., Scharfstein, D.S., Stein, J.C., (1993). Risk Management: Coordinating Corporate Investment and Financing Policies. The Journal of Finance 48, 1629-1658
Graham, J.R., Rogers, D.A., (2002). Do Firms Hedge in Response to Tax Incentives? The Journal of Finance 57, 815-839
Guay, W.R., (1999). The Impact of Derivatives on Firm Risk: An Empirical Examination of New Derivative Users. Journal of Accounting and Economics 26, 319-351
Haushalter, G.D., (2000). Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers. The Journal of Finance 55, 107-152
He, W., Hu, M.R., Mi, L., Yu, J., (2021). How Stable Are Corporate Capital Structures? International Evidence. Journal of Banking & Finance 126
Hovakimian, A., Hovakimian, G., (2019). Corporate Leverage and the Dynamics of Its Components. Journal of Financial and Quantitative Analysis 56, 1-32
Im, H.J., Kang, Y., Shon, J., (2020). How Does Uncertainty Influence Target Capital Structure? Journal of Corporate Finance 64, 101642
Leland, H.E., (1998). Agency Costs, Risk Management, and Capital Structure. The Journal of Finance 53, 1213-1243
Lockhart, G.B., (2014). Credit Lines and Leverage Adjustments. Journal of Corporate Finance 25, 274-288
Mankai, S., Belgacem, A., (2016). Interactions between Risk Taking, Capital, and Reinsurance for Property-Liability Insurance Firms. Journal of Risk and Insurance 83, 1007-1043
Niehaus, G., (2018). Managing Capital Via Internal Capital Market Transactions: The Case of Life Insurers. Journal of Risk and Insurance 85, 69-106
PÉREZ-GONZÁLEZ, F., YUN, H., (2013). Risk Management and Firm Value: Evidence from Weather Derivatives. The Journal of Finance 68, 2143-2176
Powell, L.S., Sommer, D.W., (2007). Internal Versus External Capital Markets in the Insurance Industry: The Role of Reinsurance. Journal of Financial Services Research 31, 173-188
Powell, L.S., Sommer, D.W., Eckles, D.L., (2008). The Role of Internal Capital Markets in Financial Intermediaries: Evidence from Insurer Groups. Journal of Risk and Insurance 75, 439-461
Rahman, S., (2020). Credit Supply and Capital Structure Adjustments. Financial Management 49, 949-972
Shim, J., (2010). Capital-Based Regulation, Portfolio Risk and Capital Determination: Empirical Evidence from the Us Property–Liability Insurers. Journal of Banking & Finance 34, 2450-2461
Shiu, Y.M., (2011). Reinsurance and Capital Structure: Evidence from the United Kingdom Non-Life Insurance Industry. Journal of Risk and Insurance 78, 475-494
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Chapter 3: Is risk management reliably important in estimating target capital structure?
Adiel, R., (1996). Reinsurance and the Management of Regulatory Ratios and Taxes in the Property—Casualty Insurance Industry. Journal of Accounting and Economics 22, 207-240
Antoniou, A., Guney, Y., Paudyal, K., (2008). The Determinants of Capital Structure: Capital Market-Oriented Versus Bank-Oriented Institutions. Journal of Financial and Quantitative Analysis 43, 59-92
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Chauhan, G.S., Huseynov, F., (2018). Corporate Financing and Target Behavior: New Tests and Evidence. Journal of Corporate Finance 48, 840-856
Cook, D.O., Fu, X.D., Tang, T., (2016). Are Target Leverage Ratios Stable? Investigating the Impact of Corporate Asset Restructuring. Journal of Empirical Finance 35, 150-168
Cook, D.O., Tang, T., (2010). Macroeconomic Conditions and Capital Structure Adjustment Speed. Journal of Corporate Finance 16, 73-87
Faulkender, M., Flannery, M.J., Hankins, K.W., Smith, J.M., (2012). Cash Flows and Leverage Adjustments. Journal of Financial Economics 103, 632-646
Fier, S.G., McCullough, K.A., Carson, J.M., (2013). Internal Capital Markets and the Partial Adjustment of Leverage. Journal of Banking & Finance 37, 1029-1039
Flannery, M.J., Hankins, K.W., (2013). Estimating Dynamic Panel Models in Corporate Finance. Journal of Corporate Finance 19, 1-19
Flannery, M.J., Rangan, K.P., (2006). Partial Adjustment toward Target Capital Structures. Journal of Financial Economics 79, 469-506
Frank, M.Z., Goyal, V.K., (2009). Capital Structure Decisions: Which Factors Are Reliably Important ? Financial Management 38, 1-37
Froot, K.A., Stein, J.C., (1998). Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach. Journal of Financial Economics 47, 55-82
Graham, J.R., Rogers, D.A., (2002). Do Firms Hedge in Response to Tax Incentives? The Journal of Finance 57, 815-839
Guay, W., Kothari, S.P., (2003). How Much Do Firms Hedge with Derivatives? Journal of Financial Economics 70, 423-461
Guay, W.R., (1999). The Impact of Derivatives on Firm Risk: An Empirical Examination of New Derivative Users. Journal of Accounting and Economics 26, 319-351
Harford, J., Klasa, S., Walcott, N., (2009). Do Firms Have Leverage Targets? Evidence from Acquisitions. Journal of Financial Economics 93, 1-14
Hovakimian, A., Hovakimian, G., Tehranian, H., (2004). Determinants of Target Capital Structure: The Case of Dual Debt and Equity Issues. Journal of Financial Economics 71, 517-540
Hovakimian, A., Li, G., (2011). In Search of Conclusive Evidence: How to Test for Adjustment to Target Capital Structure. Journal of Corporate Finance 17, 33-44
Hovakimian, A., Opler, T., Titman, S., (2001). The Debt-Equity Choice. Journal of Financial and Quantitative Analysis 36, 1-24
Huang, R.B., Ritter, J.R., (2009). Testing Theories of Capital Structure and Estimating the Speed of Adjustment. Journal of Financial and Quantitative Analysis 44, 237-271
Im, H.J., Kang, Y., Shon, J., (2020). How Does Uncertainty Influence Target Capital Structure? Journal of Corporate Finance 64, 101642
Leland, H.E., (1998). Agency Costs, Risk Management, and Capital Structure. Journal of Finance 53, 1213-1243
Lemmon, M.L., Roberts, M.R., Zender, J.F., (2008). Back to the Beginning: Persistence and the Cross-Section of Corporate Capital Structure. The Journal of Finance 63, 1575-1608
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