臺灣博碩士論文加值系統

在這篇論文裡，我們研究歐洲的金融機構在過去20年發生大筆金額的營運損失事件。名譽損失是我們主要探討的議題。我們針對這些營運損失的事件進行事件研究法，我們收集公司宣告營運損失當下的股價資料，進而計算出公司因為營運損失所造成的市值減少。市值的減少與公司宣告事件損失的金額並不會相同，這兩者的差距我們便定義為名譽損失。我們把收集到的樣本以西元2000年作為一個分界，我們的結果顯示西元2000年以後發生營運損失的公司，承受了較大的名譽損失。同時我們的結果也顯示出這些發生營運損失的公司在長期股價表現較差。在我們所有研究的樣本中，英國的金融機構發生的營運損失事件占了40%以上，因此我們將英國的金融機構與歐洲其他的金融機構做了比較，我們發現英國的金融機構在發生營運損失事件後所承受的名譽損失大於其他的歐洲金融機構。

In this paper we focus on huge operational loss events in European financial companies in the past 20 years. The reputation loss is our main focus. We collect the operational loss companies’ stock price and calculate the difference between market value loss and announced loss to represent the reputation loss when the company have operational loss event. We separate our sample into two groups by year and compare short-term and long-term performance of these two groups. We find that the companies suffer more reputation loss when they have operational loss after year 2000 in both short run and long run. We also compare the UK financial companies’ operational loss events with other European financial companies’, and we find UK financial companies suffer more reputation loss when they have operational loss.

1. Introduction 1
2. Literature Review 3
3. Data and Event Study Methodology 5
3.1. Sample selection and data resource 5
3.2. Methodology 7
3.2.1. Event study methodology in the short-term 7
3.2.2. Event study methodology in long-term 9
3.2.3. Regression model 10
4. Empirical Result 11
4.1. Descriptive results 11
4.2. Event study result in the short-term 12
4.2.1. Short-term regression result 14
4.3. Event study result in the long-term 15
4.3.1. Long-term regression result 16
5. Conclusion 17
References 19

List of Tables and Figures

Table 1: Events’ loss amount 22
Table 2: Operational risk loss event types 23
Table 3: The test statistic for CAR and CAR(Rep) 24
Table 4: The test statistic for CAR and CAR(Rep) in sub-sample grouped by year 25
Table 5: The test statistic for CAR and CAR(Rep) in sub-sample grouped by country 26
Table 6: Regression result:CAR(Rep) 27
Table 7: Regression result:CAR 28
Table 8: The test statistic for BHAR on three different periods 29
Table 9: The test statistic for BHAR in sub-sample grouped by year 30
Table 10: The test statistic for BHAR in sub-sample grouped by country 31
Table 11: Regression result: BHAR 32
Figure 1: CAR and CAR(Rep) : All-sample: 33
Figure 2: CAR and CAR(Rep) : Events before year 2000 34
Figure 3: CAR and CAR(Rep) : Events after year 2000 35
Figure 4: CAR and CAR(Rep) : Event firms belong to UK. 36
Figure 5: CAR and CAR(Rep) : Event firms belong to other European countries 37

Allen, L., Bali, T.G., 2007. Cyclicality in catastrophic and operational risk measurement. Journal of Banking and Finance 31, 1191-1235.

Basel Committee, 2003. Sound practices for the management and supervision of operational risk. Bank for International Settlements.

Barber, B.M., Lyon, J.D., 1997. Detecting long-run abnormal stock return: The empirical power and specification of test statistics. Journal of Financial and Economics 43, 341-372.

Chernobai, A., Jorion, P., Yu, F., 2008. The determinants of operational losses. Working paper, Syracuse University.

Cruz, M.G., 2002. Modeling, measuring and hedging operational risk. John Wiley & Sons, Ltd., New York.

Cummins, J.D., Lewis, C.M., Wei, R., 2006. The market value impact of operational risk events for US banks and insurers.
Journal of Banking and Finance 30,605-2634.

de Fontnouvelle, P., DeJesus-Rueff, V., Jordan J., Rosengren E., 2003. Using loss data to quantify operational risk.
Working paper, Federal Reserve Bank of Boston .

de Fontnouvelle, P., Jordan J., Rosengren E., 2004. Implication of alternative operational risk modeling techniques. Working paper, Federal Reserve Bank of Boston.

de Fontnouvelle, P., DeJesus-Rueff, V., Jordan J., Rosengren E., 2005. Capital and risk: New evidence on implications of large operational losses. Working paper, Federal Reserve Bank of Boston.

Gillet, R., Hubner G., Plunus, S., 2010. Operational risk and reputation in the financial industry. Journal of Banking and Finance 34, 224-235.

Goddard, J., Molyneux, P., Wilson, J.O.S., Tavakoli, M., 2007. European banking: An overview. Journal of Banking and Finance 20, 745-771.

Hirschey, M., Palmrose, Z.V., Scholz, S., 2005. Long-term market underreaction to accounting restatements. Working paper, University of Kansas.

MacKinlay, A.C., “Event studies in economics and finance,” Journal of Economic Literature, 1997, 35, 13-39.

Mercer Oliver Wyman, 2003. The new rules of game: Implications of the New Basel Capital Accord for the European banking industries, June.

Mitchell, M.L., Erik Stafford, E., 2000. Managerial decisions and long-term stock price performance. Working paper, University of Harvard.

Molyneux, P., Altunbas, Y., Gardener, E.P.M., 1996. Efficiency in European banking. Journal of Banking and Finance 18, 445-459.

Moscadelli, M., 2004. The modeling of operational risk: Experience with the analysis of the data collected by the basel committee. Technical Report 517, Banca d’Italia.

Murphy, D., Shrieves, R.E., Tibbs, S.L., 2004. Determinants of the stock price reaction to allegations of misconduct: Earnings, risk and firm size effect. Working paper, University of Tennessee.

Perry, J., de Fontnouvelle, P., 2005. Measuring reputation risk: The market reaction to operational loss announcement. Working paper, Federal Reserve Bank of Boston.

Uhde, A., Heimeshoff, U., 2009. Consolidation in banking and financial stability in Europe: Empirical evidence. Journal of Banking and Finance 33, 1299-1311.

Williams, J., 2004. Determining management behavior in European banking. Journal of Banking and Finance 28, 2427-2460.