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研究生:林永寅
研究生(外文):Yong-yin Lin
論文名稱:多角化折價或溢酬?金融集團的新全球證據
論文名稱(外文):Diversification Discount or Premium? New International Evidence from Financial Conglomerates
指導教授:陳昇鴻陳昇鴻引用關係
指導教授(外文):Sheng-hung Chen
學位類別:碩士
校院名稱:南華大學
系所名稱:財務金融學系財務管理碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:英文
論文頁數:61
中文關鍵詞:縱橫羅吉斯模型國際多角化企業多角化金融集團
外文關鍵詞:Panel Logit ModelInternational DiversificationFinancial ConglomeratesCorporate diversification
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  本研究以全球上市銀行為樣本,針對資產、收入以及國際多角化三方面進行實證分析,以探討多角化策略是否有利或有害於金融集團的市場價值。第一階段在不考慮時間效果的情況下,結果指出多角化策略不僅不損害金融集團的市場價值,反而會增進金融集團的市場價值。第二階段在考量了多角化的時間效果以及控制資本市場、機構治理、國家風險及銀行監管的國際間差異後,實證結果依然顯示金融集團是存在著多角化溢酬的現象。可能存在以下兩個理由:第一,不同的樣本可能會產生不一致的實證結果,尤其是考量較長時間多角化程度的變化;第二,多角化策略對於金融集團的影響將會隨著時間改變。本文也探討影響短期與長期多角化溢酬的因素,研究結果發現,銀行特性以及資本市場差異將是決定短期與長期多角化溢酬的重要因素。此外,本研究證實當金融集團進行國際多角化時,將有助於提升其市場價值。但國際多角化與資產或收入多角化之間並無關聯性存在。
  Previous empirical evidences lack the consensus on whether banking business ought to be focused or diversified. This paper empirically investigates whether diversification is beneficial or harmful to creating the value into financial conglomerates, defined as banks undertaking a variety of activities with respective to assets, income, and internationalization, in context of international evidences. Unlike most of previous studies, our results show that diversification does not destroy the market value of financial conglomerates. Instead, there is a diversification premium. The results still hold when we consider the time-varying patterns of diversification, capital market characteristics, institutional governance, country risk and bank regulations. This implicates two explanations: first, different sample banks might gain different results, in particularly using a long-term database to examine the effect of diversification, however, we find that there is a diversification premium; second, the diversification discount would change along with time horizons. Next, we identify cross-country determinants of short- and long-term diversification premium in financial conglomerates. The results show that bank-level and capital market characteristics are the most important determinants in affecting the diversification premium in financial conglomerates. Moreover, financial conglomerates would benefit from international diversification as well. However, there is no conjoin-effect between international and functional diversification.
口試合格證明…………………………………………………ii
謝辭…………………………………………………………iii
版權宣告………………………………………………iv
中文摘要……………………………………………………v
英文摘要…………………………………………………vi
Contents……………………………………………………vii
List of Tables…………………………………………………ix
List of Figures……………………………………………x
Appendix……………………………………………xi
 
1.Introduction…………………………………………………1
 
2. Literature Review…………………………………………3
2.1 International comparison of diversification in financial conglomerates………………………………………3
2.2 Diversification premiums in financial conglomerates……………………………………………………4
2.3 Diversification discounts in financial conglomerates……………………………………………………5
2.4 Geographic diversification in financialconglomerates…………………………………………5
 
3. Variables and the Empirical Specification………………………………………6
3.1 Measuring the degree of diversification in financial conglomerate………………………………………………………6
3.2 Measuring the market value in financial conglomerates………………………………………………………9
3.3 Empirical Specification………………………………………12
 
4. Data………………………………………………………………14
 
5. Empirical Results……………………………………………15
5.1 Diversity, Tobin’s q and excess Value:
First results…………………………………………………………15
5.2 Diversity, Tobin’s q and excess Value: The time effect results………………………………………………………16
5.3 Tobin’s q and excess value of diversified banks: bank-level and country-level controls………………………………16
5.4 Robust test: Subsamples……………………………………21
5.5 Scale and scope of specialized and diversified banks…………………………………………………………………21
5.6 The time diversity on excess value: bank-level and country-level controls…………………………………………22
5.7 The time diversity on excess value: Controlling for capital market characteristics and institutional governance……………………………………………………………24
5.8 The Time Diversity on Excess Value: Controlling for Country Risk and Bank Supervision………………………………25
5.9 Estimating the Probability to Diversify:
Logistic Estimation……………………………………………26
 
6.Conclusions…………………………………………………28
 
References………………………………………………………30
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