臺灣博碩士論文加值系統

本研究著重於探討2007-2008年全球金融海嘯這段期間，研究公司治理中──外部監督者與非屬金融機構的企業，其投資與融資政策風險承擔與風險偏好的關聯性研究。然而，最後的實證結果顛覆了我們對於外部監督角色之傳統既定印象，而且與我們曾經所學之傳統公司治理理論中所述之內容有異。而為了更周延且完整地涵蓋2007-2008年全球金融海嘯事件發生前後之企業風險承擔與公司表現的影響過程，本實證研究主要分為兩個部分進行檢驗：金融危機發生前與金融危機發生後；希望藉此研究方法之設計可以完整分析並涵蓋了整個重大事件發生的期間效果。而根據本研究於金融危機後的實證分析檢驗結果指出：若該企業其機構法人持股越高，則於2007-2008年金融危機期間所遭受的衝擊、損失以及所承擔之違約風險相對於那些機構法人持股較低的企業來的高且嚴重。除此之外，於金融危機前的實證檢驗分析亦指出：這些於金融危機期間遭受嚴重損失的企業是起因於機構法人對於公司政策方向的影響力；當其機構法人持股越高時，則對於公司政策越具重大影響力，並驅使、鼓勵這些企業於金融危機發生前的期間從事較高風險的投資與融資政策，進而造成這些企業在金融危機發生之後，公司體質變得脆弱，使其無法應付突如其來的重大市場衝擊。由此得知：事實上，外部監督角色──尤其是機構法人，並沒有發揮如公司治理理論中良好的監督效果；是此，外部監督的效果不彰。

This paper is contributed to investigating the correlation between corporate governance of outside control and non-financial firms’ risk-taking preference. Surprisingly, the turnouts depart from the conventional wisdom of corporate governance of outside control we have learned before. In order to make the empirical investigation of the 2007-2008 financial crisis periods deliberately, our examinations are divided into two parts: pre-crisis and post-crisis. According to the post-crisis empirical results in this article, they indicate that those firms held by higher institutional ownership suffered serious losses and undertook higher default risk in the crisis years. Furthermore, the pre-crisis analysis suggests that the firms which performed worse are attributed to those institutional investors, the motivators, to affect firms significantly through aggressive and risky investing and high leverage financing policies before crisis years which led to those firms weaken and failure during the crisis period. In fact, the roles of disciplining and monitoring of institutional ownership are not fulfilled as we expected during the 2007-2008 financial crisis.

口試委員會審定書 i
誌謝 ii
摘要 iii
Abstract iv
Contents v
Tables vi
1. Introduction 1
2. Literature and hypothesis development 7
2.1. The effects of outside control on firm performance in crisis years 7
2.2. The roles of outside control in corporate governance pre-crisis 10
3. Data and methodology 12
3.1. Data 12
3.2. Outside control measure 13
4. Summary statistics 14
5. Empirical analysis and results 19
5.1. Post-crisis empirical analysis 19
5.1.1. The effects of outside control on Crisis Return 20
5.1.2. The effects of outside control on Return on Equity 22
5.1.3. The effects of outside control on firm insolvency 24
5.2. Pre-crisis empirical analysis 26
5.2.1. The effects of outside control on stock returns volatility 27
5.2.2. The effects of outside control on firm leverage 30
5.2.3. The effects of outside control on firm investments 33
6. Discussion 37
7. Conclusion 40
Appendix 42
References 44

Adrian, T., Shin, H. (2010). Liquidity and leverage. Journal of Financial Intermediation 19, 418-437.
Baik, B., Kang, J.-K., Kim, J.-M. (2010). Local institutional investors, information asymmetries, and equity returns. Journal of Financial Economics 97, 81–106.
Beltratti, A., Stulz, R. (2012). The credit crisis around the globe: why did some banks perform better? Journal of Financial Economics 105, 1-17.
Bhagat, S., Welch , I. (1995). Corporate research and development investments international comparisons. Journal of Accounting Economics 19, 443-470.
Bharath, S., Shumway, T. (2008). Forecasting default with the Merton distance to default model. Review of Financial Studies 21, 1339-1369.
Brunnermeier, M. (2009). Deciphering the liquidity and credit crunch 2007-2008. Journal of Economic Perspectives 23, 77-100.
Bushman, R., Smith, A. (2001). Financial accounting information and corporate governance. Journal of Accounting Economics 32, 237-333.
Chava, S., Purnanandam, A. (2011). The effect of banking crisis on bank-dependent borrowers. Journal of Financial Economics 99, 116-135.
Cheng, I.-H., Hong, H., Scheinkman, J. (2015). Yesterday''s heroes: compensation and risk at financial firms. The Journal of Finance 70, 839-879.
Covitz, D., Downing, C. (2007). Liquidity or credit risk? The determinants of very short-term corporate yield spreads. Journal of Finance 62, 2303-2328.
Denis, D., McConnell, J. J. (2003). International corporate governance: a survey. Journal of Financial Quantitative Analysis 38, 1-36.
Dimmock, S. (2012). Background risk and university endowment funds. The Review of Economics and Statistics 94, 789–799.
Ellul, A., Yerramilli, V. (2013). Stronger risk controls, lower risk: evidence from U.S. bank holding companies. Journal of Finance 68, 1757-1803.
Erel, I., Nadauld, T., Stulz, R. (2014). Why did holdings of highly rated securitization tranches differ so much across banks? Review of Financial Studies 27, 404-453.
Erkens, D., Hung, M., Matos, P. (2012). Corporate governance in the 2007-2008 financial crisis: evidence from financial institutions worldwide. Journal of Corporate Finance 18, 389-411.
Fahlenbrach, R., Prilmeier, R., Stulz, R. (2012). This time is the same: using bank performance in 1998 to explain bank performance during the recent financial crisis. Journal of Finance 67, 2139–2185.
Gillan, S., Starks, L. (2007). The evolution of shareholder activism in the United States. Journal of Applied Corporate Finance 19, 55-73.
Gompers, P., Metrick, A. (2001). Institutional investors and equity prices. Quarterly Journal of Economics 116, 229–259.
Gorton, G. (2010). Slapped by the Invisible Hand. Oxford University Press,Oxford, England.
Hermalin, B., Weisbach, M. (2003). Boards of directors as an endogenously determined institution: a survey of the economic literature. FRBNY Economics Policy Review. 9, 7–26.
Ho, P.-H., Huang, C.-W., Lin, C.-Y., Yen, J.-F. (2016). CEO overconfidence and financial crisis: evidence from bank lending and leverage. Journal of Financial Economics 000, 1-16.
Humphreys, J. (2010). Educational endowments and the financial crisis: social costs and systemic risks in the shadow banking system (A study of six New England schools). Tellus Institute.
Kashyap, A., Rajan, R., Stein, J. (2008). Rethinking capital regulation. Working paper.
Kirkpatrick, G. (2008). The corporate governance lessons from the financial crisis. OECD, Paris, France.
Laeven, L., Levine, R. (2009). Bank governance, regulation, and risk taking. Journal of Financial Economics 93, 259-275.
Laeven, L., Valencia, F. (2013). The real effects of financial sector interventions during crises. Journal of Money, Credit and Banking 45, 147-177.
Lauricella, T. (2008). The stock picker''s defeat. Wall Street Journal.
Merton, R. (1974). On the pricing of corporate debt: the risk structure of interest rates. Journal of Finance 29, 449-470.
Petersen, M. (2009). Estimating standard error sinfinance panel data sets: comparing approaches. Review of Financial Studies 22, 435-480.
Santos, J. A. (2011). Bank corporate loan pricing following the subprime crisis. Review of Financial Studies 24, 1916-1943.
Wang, C.-J. (2012). Board size and firm risk-taking. Review of Quantitative Finance and Accounting 38, 519-542.
Weisbach, M. (1988). Outside directors and CEO turnover. Journal of Financial Economics 20, 431-460.
White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica 48, 817-838.