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題名：董監事責任保險能否解釋股價同步性:台灣股市的橫斷面實證
作者：羅斌賢
作者(外文)：LO BIN-HSIEN
校院名稱：國立高雄科技大學
系所名稱：財務金融學院博士班
指導教授：蘇玄啟
學位類別：博士
出版日期：2023
主題關鍵詞：董監事責任保險；股價同步性；公司治理；道德風險；Directors' and Officers' Liability Insurance；Stock-Price Synchronicity；Corporate Governance；Moral Hazard
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本文發展兩項相互競爭的研究假說:「公司治理攸關的監督假說」以 及「道德風險攸關的代理衝突假說」，以檢驗董監事責任保險與股價 同步性之間的橫斷面關係。本文以 2008 年至 2020 年間，在台灣證券 交易所和證券櫃檯買賣中心的上市櫃公司股票為研究樣本進行測試， 本文實證結果主要獲得三項研究結論。第一，董監事責任保險與股價 同步性呈現負向相關。第二，此負向關係實證結果具有相對穩健性， 其中包含採用控制公司固定效果的迴歸模型、考量不同研究子樣本期 間、採用不同定義的股價同步性代理變數、以及採用不同定義的董監 事責任保險代理變數。第三，本文進一步研究證據表明，上述負向關 係在代理問題較大的公司中更為明顯，且在市場高度不確定時期亦更 為顯著。整體而言，本文研究結論支持「公司治理攸關的監督假說」: 當公司管理當局具有較高的董監事責任保險的保障時，將隱含公司具 有較佳的公司治理結構並具有較為透明的資訊環境，致使公司股票價 格較能夠及時、準確地反映公司獨特信息，進而降低公司股價與產業報酬率或市場報酬率的資訊同步性。
This paper examines the relationship between directors’ and officers’ (D&O) liability insurance and stock-price synchronicity by testing competing corporate governance-related monitoring and moral hazard-related agency conflict hypotheses. Testing a sample of stocks listed on the Taiwan Stock Exchange and the Taipei Exchange for 2008–2020, the empirical results of this study indicate that D&O insurance in Taiwan is negatively correlated to stock-price synchronicity. This negative relation is robust to a battery of tests, including those of fixed-effects regression models, alternative sample periods, synchronicity measures, and insurance measures. Further evidence indicates that this negative relationship is more pronounced among firms with greater agency problems, especially during periods of high market uncertainty. Overall, these findings support the corporate governance-related monitoring hypothesis, which posits that firms with greater D&O insurance are likelier to be characterized by better governance structures and information transparency. Additionally, their stock prices are more likely to reflect firm-specific information in a timely and precise manner, and they are more likely to have lower synchronicity with the industry and market.
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