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題名：臺灣產物保險市場之權益資金成本
書刊名：保險經營與制度
作者：張士傑 引用關係／黃雅文 引用關係／張孝銓
作者(外文)：Chang, Shih-chieh／Hwang, Ya-wen／Chang, Hsiao-chuan
出版日期：2010
卷期：9:2
頁次：頁127-154
主題關鍵詞：費率自由化；資本資產定價模型；Fama-french 三因子模型；完備資訊方法；Premium deregulation；CAPM；FF3；Full-information industry beta
原始連結：連回原系統網址new window
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  • 共同引用共同引用:10
  • 點閱點閱:31
摘要 　　本研究評估台灣產物保險公司及個別險種所承受之系統風險，以檢視費率自由化實施階段產物保險市場之權益資金成本。實證研究期間與對象為2002年至2008年於台灣股票上市及金融控股公司之產物保險子公司，利用資本資產定價模型(CAPM)及Fama-French三因子模型依完備資訊法評估產物保險市場之系統風險及權益資金成本。實證結果顯示：(1)FF3F所估計公司及個別險種之權益資金成本均高於CAPM之結果，反映公司規模及財務資訊之風險溢酬。(2)台灣產物保險市場之權益資金成本低於美、日市場之實證結果，顯示產險公司於台灣資本市場之籌資成本相對較低，反映於費率自由化實施階段之市場價格競爭現象。
This paper investigates the cost of equity capital for Taiwan non-life insurance market during the premium deregulation. The sample is the listed companies or subsidiary in the financial holding companies in Taiwan from 2002 through 2008. Capital asset pricing model and Fama-French three-factor model are employed to estimate the results and full-information industry beta method is used to decompose the cost of equity capital by line. The results show that: (1) the estimates in FF3F model are higher than those in CAPM through the effects of firm size and written premium; (2) the costs of equity capital in Taiwan market are lower than those in U.S. and Japan. It shows that the relative low cost of equity financing could trigger the price competition during the premium deregulation.
期刊論文
1.許文彥、周盈君(20051200)。我國產險業資本使用效率之實證研究。管理學報，22(6)，743-759。new window  延伸查詢new window
2.Hill, Raymond D.(1979)。Profit regulation in property-liability insurance。Bell Journal of Economics，10，172-191。  new window
3.Fama, Eugene F.、French, Kenneth R.(1995)。Size and Book-to-Market Factors in Earnings and Returns。The Journal of Finance，50(1)，131-155。  new window
4.Fama, Eugene F.、French, Kenneth R.(1996)。Multifactor Explanations of Asset Pricing Anomalies。Journal of Finance，51(1)，55-84。  new window
5.Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics，33(1)，3-56。  new window
6.Lintner, John(1965)。The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets。Review of Economics and Statistics，47(1)，13-37。  new window
7.Sharpe, William F.(1964)。Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk。The Journal of Finance，19(3)，425-442。  new window
8.Fama, Eugene F.、French, Kenneth R.(1992)。The Cross-Section of Expected Stock Returns。The Journal of Finance，47(2)，427-465。  new window
9.張士傑、黃雅文、詹淑卿(2008)。產物保險公司之核保績效：臺灣市場1999~2003之實證研究。保險經營與制度，7(1)，1-18。new window  延伸查詢new window
10.曾武仁(2007)。費率自由化與市場競爭秩序。核保學報，15，217-229。  延伸查詢new window
11.Cox, L. A.、Griepentrog, G. L.(1988)。The Pure-Play Cost of Equity for Insurance Divisions。Journal of Risk and Insurance，55，442-452。  new window
12.Cummins, J. D.、Lamm-Tennant, D.(1994)。Capital Structure and the Cost of Equity Capital in the Property-Liability Insurance Industry。Insurance: Mathematics and Economics，15，187-201。  new window
13.Cummins, J. D.、Nini, G. P.(2002)。Optimal Capital Utilization by Financial Finns: Evidence from Property-Liability Insurance。Journal of Financial Services Research，21，15-54。  new window
14.Cummins, J. D.、Phillips, R. D.(2005)。Estimating the Cost of Equity Capital for Property-Liability Insurers。Journal of Risk and Insurance，72，441-478。  new window
15.Cummins, J. D.、Harrington, S. E.(1985)。Property-Liability Insurance Rate Regulations: Estimation of Underwriting Betas Using Quarterly Profit Data。Journal of Risk and Insurance，52，16-43。  new window
16.Dickinson, G.(2003)。The Search for an International Accounting Standard for Insurance: Report to the Accountancy Task Force of the Geneva Association。Geneva Papers on Risk and Insurance: Issues and Practice，28，151-175。  new window
17.Ehrhardt, M. C.、Bhagwat, Y. N.(1991)。A Full-Information Approach for Estimating Divisional Betas。Financial Management，20，60-69。  new window
18.Fuller, R. J.、Kerr, H. S.(1981)。Estimating the Divisional Cost of Capital: An Analysis of the Pure Play Technique。Journal of Finance，16，997-1009。  new window
19.Fama, E. E,(1978)。The Effect of a Firm's Investment and Financing Decisions on the Welfare of its Security Holders。American Economic Review，68，272-284。  new window
20.Girard, L. N.(2002)。An Approach to Fair Value of Insurance Liability Using the Firm's Cost of Capital。North American Actuarial Journal，6，18-41。  new window
21.Shirasu, Y.、Komoribayashi, K.、Moridaira, S.(2007)。Estimation of Capital Beta and Cost of Capital: A Focus on Japanese Property Insurance Companies and Lines of Business。Asia-Pacific Risk and Insurance Association (APRIA)。  new window
22.Sigma(2005)。Insurers' Cost of Capital and Economic Value Creation: Principles and Practical Implications。Sigma，3。  new window
23.Gordon, M. J.、Halpern, P. J.(1974)。Cost of Capital for a Division of a Firm。Journal of Finance，29，1153-1163。  new window
24.Harrington, S.(1984)。The Impact of Rate Regulation on Prices and Underwriting Results in Property-Liability Insurance Industry: A Survey。Journal of Risk and Insurance，51，577-623。  new window
25.Joskow, P. L.(1973)。Cartels, Competition and Regulation in the Property-Liability Insurance Industry。Bell Journal of Economics，4，375-427。  new window
26.Kaplan, P. D.、Peterson, J. D.(1998)。Full-Information Industry Betas。Financial Management，27，85-93。  new window
27.Myers, S. C.、Read, J. A., Jr.(2001)。Capital Allocation for Insurance Companies。Journal of Risk and Insurance，68，545-580。  new window
28.Pope, N.(2004)。Deregulation in the Japanese Insurance Marketplace: Sizzle or Fizzle?。Journal of Insurance Regulation，22，19-38。  new window
圖書
1.財團法人事業發展中心(2002)。產物保險統計要覽。臺北。  延伸查詢new window
2.Matten, C.(1996)。Managing Bank Capital: Capital Allocation and Performance Measurement。J. Wiley & Sons。  new window
3.Panjer, H. H.(1998)。Financial Economics with Applications to Investments, Insurance, and Pensions。Schaumburg, IL。  new window
4.Chatterjee, S.、Hadi, A. S.、Price, B.(2000)。Regression Analysis。  new window
 
 
 
 
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