臺灣博碩士論文加值系統

作業風險事件的發生可能實質影響金融機構本身損失，卻也可能因負面消息而間接導致金融機構損失，產生聲譽風險。本文使用1993年至2015年作業風險事件資料，探討當作業風險事件發生後銀行市值是否受聲譽風險之影響。藉由銀行市值與事件損失調整事件異常報酬，評估作業風險事件日前後聲譽風險之累積異常報酬，並衡量可能影響聲譽風險之因素。

實證結果顯示，銀行作業風險事件發生後會造成聲譽損失，且在不同作業事件型態與不同損失大小下的作業風險事件亦會造成銀行聲譽損失。在作業風險事件全樣本下，當資本適足率與銀行規模大小越大，發生聲譽損失的可能越大；而無形資產與股價淨值比越大，發生聲譽損失的可能越小。在「內部詐欺」型態下，財務槓桿比率與負債比率越大，遭受聲譽損失可能越大；而總資產報酬率及無形資產越大，聲譽損失影響越小。在「客戶、產品、詐欺」型態下，財務槓桿比率與負債比率增加，會提高聲譽損失的可能；而總資產報酬率與股價淨值比增加，會降的聲譽損失的可能。「執行、運送及作業事件」型態下，財務槓桿比率、資本適足率、負債比率與總資產報酬率越高，遭受聲譽損失的可能越高；而股價淨值比越高，遭受聲譽損失的可能越低。

The occurrence of operational risk events can affect the substance of the loss of financial institutions themselves, but also because of negative news may indirectly lead to the loss of financial institutions, resulting in reputational risk. This study examines the impact of reputational damage to the stock market reaction caused by operational risk events during 1993 to 2015. We adjust stock returns by adding the market capitalization of the banks and the operational loss to estimate the cumulative abnormal returns of reputational risk between operational risk event date, and measure factors that may affect the reputation risks.
The results show that bank will occur reputational damage after suffer the operational risk events. Under different operational event types and different size of loss, bank operational risk events also affect reputational damage. In the all operational events sample, higher bank of international settlement ratio, bank size and lower intangible assets and price to book ratio increase the probability of reputational damage. The probability of reputational damage increase as financial leverage ratios and debt ratio increase and as return on total assets ratio, intangible assets decrease in the “Internal frauds” event type. The probability of reputational damage increase as financial leverage ratios and debt ratio increase and as return on total assets ratio and price to book ratio decrease in the “Internal frauds” event type. Higher financial leverage ratios, bank of international settlement ratio, debt ratio, return on total assets ratio and lower price to book ratio increase the probability of reputational damage in the “Execution delivery and process management” event type.

目　錄

謝　辭 I
目　錄 IV
表　目　錄 V
圖　目　錄 VI
第一章　緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究架構 4
第二章　理論與相關文獻回顧 6
第一節 作業風險與巴賽爾資本協定 6
第二節 聲譽風險損失 8
第三節 事件研究法 12
第三章 研究方法 14
第一節 研究資料定義與來源 14
第二節 事件研究法 21
第三節 最小平方估計法 24
第四章　實證結果與分析 25
第一節 敘述統計量分析 25
第二節 作業損失事件與聲譽損失異常報酬分析 32
第三節 聲譽風險損失變數迴歸分析 36
第五章　結論與建議 44
第一節 結論 44
第二節 建議 46
參考文獻 47

表　目　錄

表1 作業風險損失事件型態分類表 15
表1 作業風險損失事件型態分類表(續) 16
表2 作業風險事件型態發生次數 17
表3 變數名稱、代號、定義及預期影響 21
表4 作業風險損失金額之敘述統計量 27
表5 各變數之敘述統計量 27
表6 作業風險事件樣本年度與事件型態發生頻率 28
表7 全樣本事件日前後作業損失與聲譽損失累計異常報酬 33
表8 不同事件型態事件日前後作業損失與聲譽損失累計異常報酬 33
表8 不同事件型態事件日前後作業損失與聲譽損失累計異常報酬(續) 34
表9 事件日前後相對損失大小累計異常報酬 35
表10 全樣本事件日前後聲譽風險損失變數之迴歸分析表 39
表11 不同事件型態事件日前後聲譽風險損失變數之迴歸分析表 40
表11 不同事件型態事件日前後聲譽風險損失變數之迴歸分析表(續) 41
表11 不同事件型態事件日前後聲譽風險損失變數之迴歸分析表(續) 42
表12 影響聲譽損失變數迴歸結果整理表 43

 
圖　目　錄

圖1 研究架構 5
圖2 作業風險事件每年發生次數 17
圖3 1993年至2000年作業風險事件損失金額敘述統計圖 29
圖4 2001年至2005年作業風險事件損失金額敘述統計圖 29
圖5 2006年至2010年作業風險事件損失金額敘述統計圖 30
圖6 2011年至2015年作業風險事件損失金額敘述統計圖 30
圖7 1993年至2015年作業風險事件損失金額敘述統計圖 31

一、中文文獻

1.沈中華，李建然(2000)，「事件研究法：財務與會計實證研究必備」，華泰文化事業公司出版。
2.周賓鳳與蔡坤芳(1997)，「台灣股市日資料特性與事件研究法」，第9卷第2期，頁1-28。
3.劉永欽(2009)，「銀行財富管理業務之作業風險－從連動債券信用危機觀察」，經濟論文，第37卷第2期，頁137-171。
4.劉永欽、王姿若、廖美華(2013)，「金融機構作業與信譽風險的影響及公司治理的角色」，經濟論文，第41卷第3期，頁421-471。

二、英文文獻

1.Basel Committee on Banking Supervision (1998). Risk Management for Electronic Banking and Electronic Money Activities, March.
2.Basel Committee on Banking Supervision (2006). International Convergence of Capital Measurement and Capital Standards. A Revised Framework. Comprehensive Version, June.
3.Basel Committee on Banking Supervision (2009). Proposed Enhancements to the Basel II Framework, Consultative Document, January.
4.Brown, S. J. and J. B. Warner (1980), “Measuring Security Price Performance,” Journal of financial economics, Vol.8, No.3, pp.205-258.
5.Brown, S. J. and J. B. Warner (1985), “Using Daily Stock Returns: The Case of Event Studies,” Journal of financial economics, Vol.14, No.1, pp.3-31.
6.Cannas, G., G. Masala and M. Micocci (2009), “Quantifying Reputational Effects for Publicly Traded Financial Institutions,” Journal of Financial Transformation, Vol.27, pp.76–81.
7.Chernobai, A., P. Jorion, and F. Yu. (2011) “The Determinants of Operational Risk in U.S. Financial Institutions,” Journal of Financial and Quantitative Analysis, Vol.46, pp.1683-1725.
8.Cruz, M. G. (2002), Modeling, Measuring and Hedging Operational Risk, Chichester: Wiley.
9.Cummins, J. D., C. M. Lewis and R. Wei (2006), “The Market Value Impact of Operational Loss Events for US Banks and Insurers,” Journal of Banking and Finance, Vol.30, No.10, pp.2605-2634.
10.De Fontnouvelle, P., Perry, J. (2005), “Measuring Reputational Risk: The Market Reaction to Operational Loss Announcements,” Working Paper, Federal Reserve Bank of Boston.
11.Dimson, E. and P. Marsh, (1986), “Event Study Methodologies and the Size Effect: The Case of UK Press Recommendations,” Journal of financial Economics, Vol.17, No.1, pp.113-142.
12.Fiordelisi, F., M. G. Soana and P. Schwizer (2013), “The Determinants of Reputational Risk in the Banking Sector,” Journal of Banking and Finance, Vol.37, No.5, pp.1359-1371.
13.Gillet, R., G. Hubner and S. Plunus. (2010), “Operational Risk and Reputation in the Financial Industry,” Journal of Banking and Finance, Vol.34, pp.224-235.
14.Murphy, D., R.E. Shrieves and S.L. Tibbs (2004), “Determinants of the Stock Price Reaction to Allegations of Misconduct: Earnings, Risk and Firm Size Effect,” Working Paper, University of Tennessee.
15.Murphy, D., R. Shrieves and S. Tibbs (2009), “Understanding the Penalties Associated with Corporate Misconduct: an Empirical Analysis of Earnings and Risk,” Journal of Financial and Quantitative Analysis, Vol.44, pp.55–83.
16.Plunus, S., R. Gillet and G. Hubner. (2012), “Reputational Damage of Operational Loss on the Bond Market: Evidence from the Financial Industry,” International Review of Financial Analysis, Vol.24, pp.66-73.
17.Sturm, P. (2013), “Operational and Reputational Risk in the European Banking Industry :The Market Reaction to Operational Risk Events,” Journal of Economic Behavior and Organization, Vol.85, pp.191-206.

三、相關網站

1.行政院金融監督管理委員會銀行局，http://www.banking.gov.tw/。