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引文資料
題名:
更早期預警模型:臺灣銀行道德指標的建立及影響
書刊名:
管理學報
作者:
沈中華
/
陳錦村
/
吳孟紋
作者(外文):
Shen, Chung-hua
/
Chen, Jing-twen
/
Wu, Meng-wen
出版日期:
2005
卷期:
22:1
頁次:
頁1-28
主題關鍵詞:
一股一權
;
道德風險
;
銀行績效
;
董事會
;
逾放比
;
資產報酬率
;
One-Share One-Vote
;
Moral hazard
;
Bank performance
;
Board of directors
;
NPL
;
ROA
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
15
) 博士論文(
1
) 專書(0) 專書論文(0)
排除自我引用:
14
共同引用:
157
點閱:220
本文討論影響道德風險如何直接及間接影響銀行績效。本文依一股一權的觀念,計算了二個道德風險指標,第一個以La Porta. Lopez and Shelifer (1999)與Claessens, Djankov and Lang(1999)的觀念及方法建立,其中一股是現金流量請求權,一權是股東投票權,二者差距大表示道德風險嚴重,視爲國際型道德風險指標(MH I),第二個道德風險的一股也是現金流量請求權,但是一權卻是參酌台灣情況的董事投票權,可視爲本土型道德風險指標(MH Ⅱ)。 本文發現這二種道德風險能直接及間接影響影響銀行績效,當道德風險越大,都會造成銀行的逾放比上升及資産報酬率下降,尤其以台灣董事爲基礎的本土型道德風險指標更是顯著。
以文找文
Corporate Governance is a more common and important issue nowadays. In previous studies, Moral Hazard, proxied by shareholding structure, may be a core reason of bad firm performance; however, it's not enough to show the concept of one-share one-vote. This paper investigates how Moral Hazard affects the banking performance and the relationship between the banking performance and its determinants. Moral Hazard is based on the concept of one-vote one-share, but a different view with shareholding of directors and board structure. Two measures of one-share one-vote are adopted to present Moral Hazard in this paper First, La Porta., Lopez and Shelifer (1999) and Claessens, Djankov and Lang (1999) suggested to track the controlling shareholder in each firm, then used his cash flow rights and voting rights to construct one-share and one-vote, respectively. This measure is referred to as the international Moral Hazard (MH I) in this paper. The next one is local Moral Hazard (MH Ⅱ), according to specific Taiwan case, where one-vote is proxied by the seats controlled by controlling shareholder in board of directors, whereas the one-share is still based on his cash-flow right. The more deviation from one-share one-vote, the more Moral Hazard is and the worse the firm performance may be. This paper employs 33 banks' data from 1998-2000 in Taiwan. Basic statistics, liner regressions, switching regressions, and sensitive analysis show that Moral Hazard affects the banking performance. Hypothesis I, which suggests that a lower Moral Hazard index is beneficial to the bank performance (evalued by ROA and NPL), gains support by using MH I. When MH Ⅱ is used, the relevant t-statistics is even larger suggesting an even stronger support. Hypothesis II, which describes an interaction effect between financial variables and Moral Hazard Index, is supported by most regression. For example, in a good moral hazard regime, lending could increase the return but in a bad moral hazard regime, lending decreases the return. Our results are fruitful. First, the relationship between moral hazard and bank performance is nonlinear i.e., distressed banks are found to belong to the group with the highest moral hazard index, whereas banks with the highest moral hazard index are not necessarily suffered the distress. Next, MH Ⅱ is found to outperform MH I with a margin First, variations of MH II is larger than MH I, suggesting that agency problem may be underestimated when international moral hazard is used. It is worth developing a local moral hazard index for each country. Next, distressed bank are related to the moral hazard indices. We find that distressed banks tend to display high moral hazard indices but a bank with high moral hazard indices are not necessarily in distress. Third, our moral hazard indices provide a necessary condition to predict the banks' CAMEL. Employing CAMEL, we find that a bank with lower moral hazard indices does not necessarily outperform a bank with higher moral hazard indices. By contrast, a bank with highest moral hazard indices typically performs the worst. Last, both of them are useful in predicting returns (ROA) and risk (NPL) but MH II performs slightly better than MH I. Specifically, MH I is useful in predicting the return of banks but it has no information for the risk. By contrast, MN II are informative for both returns and risks.
以文找文
期刊論文
1.
Holderness, Clifford G.(2003)。A Survey of Blockholders and Corporate Control。Economic Policy Review,9(1),51-64。
2.
Gorton, G.、Schmi, F. A.(2000)。Universal Banking and the Performance of German Firms。Journal of Financial Economics,58,28-80。
3.
沈中華、張雲翔(20020900)。金融機構跨業經營及轉投資之利潤與風險--全球實證分析。經濟論文,30(3),275-310。
延伸查詢
4.
Boubakri, N.、Cosset, J. C.(1998)。The Financial and Operating Performance of Newly-Privatized Firms: Evidence From Developing Countries。The Journal of Finance,53(3),1081-1110。
5.
陳錦村、黃佩鈴(20010100)。從股權結構與核心代理觀點評析公營銀行民營化的實際成效。公營事業評論,2(3),69-89。
延伸查詢
6.
Chen, C. R.、Steiner, T. L.(1999)。Managerial Ownership and Agency Conflicts: A Nonlinear Simultaneous Equation Analysis of Managerial Ownership, Risk Taking, Debt Policy and Dividend Policy。The Financial Review,34(1),119-136。
7.
陳錦村(19980100)。競爭、往來關係與銀行授信行為之研究。中國財務學刊,5(3),61-90。
延伸查詢
8.
Saunders, Anthony、Strock, Elizabeth、Travlos, Nickolaos G.(1990)。Ownership Structure, Deregulation, and Bank Risk Taking。The Journal of Finance,45(2),643-654。
9.
Short, H.、Keasey, K.(1999)。Managerial ownership and the performance of firms: Evidence from the UK。Journal of Corporate Finance: Contracting, Governance, and Organization,5(1),79-101。
10.
俞海琴、周本鄂(19940100)。臺灣地區上市公司董監事、關係人持股比率和公司托賓Q關係之研究。管理評論,13(1),79-98。
延伸查詢
11.
Shleifer, Andrei、Vishny, Robert W.(1986)。Large shareholders and corporate control。Journal of Political Economy,94(3 Part 1),461-488。
12.
Morck, Randall、Shleifer, Andrei、Vishny, Robert W.(1988)。Management Ownership and Market Valuation: An Empirical Analysis。Journal of Financial Economics,20(1/2),293-315。
13.
Claessens, Stijn、Djankov, Simeon、Lang, Larry H. P.(2000)。The Separation of Ownership and Control in East Asian Corporations。Journal of Financial Economics,58(1/2),81-112。
14.
Brickley, James A.、Coles, Jeffrey L.、Jarrell, Gregg(1997)。Leadership structure: Separating the CEO and Chairman of the Board。Journal of Corporate Finance,3(3),189-220。
15.
Anderson, Ronald C.、Fraser, Donald R.(2000)。Corporate Control, Bank Risk Taking, and the Health of the Banking Industry。Journal of Banking and Finance,24(8),1383-1398。
16.
La Porta, Rafael、López-de-Silanes, Florencio、Shleifer, Andrei(1999)。Corporate ownership around the world。Journal of Finance,54(2),471-517。
17.
Hermalin, B. E.、Weisbach, M. S.(2003)。Boards of Directors as an Endogenously Determined Institution: A Survey of the Economic Literature。Economic Policy Review,9(1),7-26。
18.
陳曉蓉(20031100)。臺灣銀行業公司治理機制與風險承擔行為之關係。風險管理學報,5(3),363-391。
延伸查詢
19.
葉銀華、邱顯比(19960800)。資本結構、股權結構與公司價值關聯性之實證研究:代理成本理論。臺大管理論叢,7(2),57-89。
延伸查詢
20.
Claessens, Stijn、Djankov, Simeon、Fan, Joseph P. H.、Lang, Larry H. P.(2002)。Disentangling the Incentive and Entrenchment Effects of Large Shareholdings。The Journal of Finance,57(6),2741-2771。
21.
La Porta, Rafael、López-de-Silanes, Florencio、Shleifer, Andrei、Vishny, Robert W.(2002)。Investor protection and corporate valuation。The Journal of Finance,57(3),1147-1170。
22.
Weisbach, Michael S.(1988)。Outside directors and CEO turnover。Journal of Financial Economics,20(1/2),431-460。
23.
Shleifer, Andrei、Vishny, Robert W.(1997)。A survey of corporate governance。The Journal of Finance,52(2),737-783。
24.
Faccio, Mara、Lang, Larry H. P.(2002)。The ultimate ownership of western european corporations。Journal of Financial Economics,65(3),365-395。
25.
Chen, Caril R.、Steiner, T. L.(2000)。Tobin's Q, Managerial Ownership, and Analyst Coverage: A Nonlinear Simultaneous Equations Model。Journal of Economics & Business,52,365-385。
26.
黃佩鈴、陳錦村(2000)。從股權結構與核心代理觀點,評析民營銀行的逾放比率及經營績效。存款保險資訊季刊,14(2),33-49。
延伸查詢
27.
Claessens, S.、Djankov, S.(1999)。Ownership Concentration and Corporate Performance in the Czech Republic。Journal of Comparative Economics,27,498-513。
28.
Vafeas, N.、Theodorous, E.(1998)。The Association between Board Structure and Firm Performance in the U.K.。British Accounting Review,30,383-407。
會議論文
1.
Bebchuk, L. A., R. Kraakman and G. Triantis,(2000)。Stock pyramids,cross-ownership, and dual-class equity: the creation and agency costs of separating control from cash flow rights。Chicago:. University of Chicago Press。295-315。
研究報告
1.
Claessens, S.、Djankov, S.、郎咸平(1999)。Who Control East Asian Corporation?。0。
2.
Claessens, S.、Djankov, S.、Fan, J. P. H.、郎咸平(1999)。Expropriation on Minority Shareholders: Evidence from East Asia。0。
3.
Bebchuk, L.(1999)。A Rent-production Theory of Corporate Ownership and Control。0。
4.
Carline, N. F.、Linn, S. C.、Yadav, P. K.(2002)。The Influence of Managerial Ownership on the Real Gains in Corporate Mergers and Market Revaluation of Mergers Partners: Empirical Evidence。University of Oklahoma。
5.
Joh, S. W.(2000)。Control, Ownership, and Performance: The Case of Korea。Seoul:Korea Development Institute。
6.
Rodriquez, E. F.、Anson, S. G.(2001)。Wealth Effects Associated with the Compliance with the Code of Best Practice: The Spanish Experience。0。
7.
Mak, Yuen Teen、Kusnadi, Yuanto(2002)。Size Really Matters: Further Evidence on the Negative Relationship between Board Size and Firm Value。0。
學位論文
1.
翁淑育(2000)。台灣上市公司股權結構、核心代理問題及公司價值之研究(碩士論文)。輔仁大學。
延伸查詢
2.
黃鳳茹(2003)。我國銀行不良債權產生原因暨解決方法之實證性研究,0。
延伸查詢
圖書
1.
International Institute for Management Development(1999)。The World Competitiveness Yearbook。Lausanne, Switzerland:Lausanne。
2.
Berle, Adolf Augustus Jr.、Means, Gardiner C.(1932)。The Modern Corporation and Private Property。Macmillan Publishing Company。
3.
許小年、王燕(1997)。Ownership Structure, Corporate Governance, and Corporate Performance: The Case of Chinese Stock Companies。Washington, DC:World Bank。
其他
1.
Lins, K. V.(2003)。Equity Ownership and Firm Crisis,0。
圖書論文
1.
沈中華(1998)。銀行法規範與銀行利害關係人融資交易個案:兼論第32、33條適宜性。服務管理個案--金融保險服務業。智勝出版社。
延伸查詢
2.
de Juan, A.(1996)。The Roots of Banking Crises: Microeconomic Issues and Regulation and Supervision。Banking Crises in Latin America。Washington, DC:Interamerican Development Bank。
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