臺灣博碩士論文加值系統

本篇特別針對保險業進行市場監督的驗證，在控制保險公司的規模大小、所有權結構之下，使用最小平方法與時間固定效果模型針對四種風險指標進行市場監督有效性分析，四種風險指標分別為A. M. Best信用評比、風險性資本比率、財務分數分數與會計風險變數指標，結果顯示衡量基準較廣泛的A. M. Best信用評比與與財務分析追踪分數能有效監督保險公司的風險行為，而衡量範圍只限於資本基礎的風險性資本比率無法有效監督保險公司，會計風險變數指標的聯合檢定結果顯示，其能有效監督保險公司的風險。另外，本篇針對A. M. Best信用評比指標做進一步實證分析，發現不同信用評比的改變量對於保險公司風險牽制的效果存在不一致性，在A-以下的保險公司，其升等的市場監督與A-以上的保險公司不存在顯著差異，但是其降等所受到的市場監督顯著大於A-以上的保險公司。

This paper attempts to investigate the market discipline in the insurance industry, using four indicators to represent the insurer’s risk change. There are A. M. Best rating, risk-based capital ratio, financial analysis and surveillance Tracking and several accounting variables. This paper also adopts two models, fixed time effect and OLS model, and reaches the results that market discipline exists in the insurance industry by using the A. M. Best rating,FAST score and accounting variables as risk indicators. In addition, this paper tests the unsymmetrical effect of the market discipline between the group above A- and below A- and finds that the group below A- gets more punishments than the group above A- when downgrading.

目錄
第一章 緒論 5
第一節 前言 5
第二節 研究動機與目的 10
第二章 文獻回顧 12
第一節 市場監督的程度 12
第二節 市場監督的指標比較 21
第三章 研究設計 25
第一節 資料來源與研究期間 25
第二節 變數定義 25
第三節 研究方法與模型 34
第四章 實證結果與分析 39
第一節 敘述性統計 39
第二節 實證分析 42
第三節 市場監督的不對稱性 46
第五章 結論與建議 47
參考文獻 49

Avery, R. B., T. M. Belton, et al. (1988). "Market discipline in regulating bank risk: New evidence from the capital markets." Journal of Money, Credit and Banking 20(4): 597-610.

Baer, H. and E. Brewer (1986). "Uninsured deposits as a source of market discipline: Some new evidence." Economic Perspectives 10: 23¡X31.

Balasubramnian, B. and K. Cyree (2010). "Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?" Journal of Banking & Finance.

Berger, A. N., S. M. Davies, et al. (2000). "Comparing market and supervisory assessments of bank performance: who knows what when?" Journal of Money, Credit and Banking 32(3): 641-667.

Berger, A. N. and G. F. Udell (1995). "Relationship lending and lines of credit in small firm finance." The Journal of Business 68(3): 351-381.

Bongini, P., L. Laeven, et al. (2002). "How good is the market at assessing bank fragility? A horse race between different indicators." Journal of Banking & Finance 26(5): 1011-1028.

Cargill, T. F. (1989). "CAMEL Ratings and the CD Market." Journal of Financial Services Research 3(4): 347-358.

Cummins, J. D., M. F. Grace, et al. (1999). "Regulatory solvency prediction in property-liability insurance: risk-based capital, audit ratios, and cash flow simulation." The Journal of Risk and Insurance 66(3): 417-458.

Cummins, J. D., S. E. Harrington, et al. (1995). "Insolvency experience, risk-based capital, and prompt corrective action in property-liability insurance." Journal of Banking & Finance 19(3-4): 511-527.

Curry, T. J., P. J. Elmer, et al. (2001). Regulator use of market data to improve the identification of bank financial distress, Federal Deposit Insurance Corp., Division of Research and Statistics.

Demsetz, R. S., M. R. Saidenberg, et al. (1996). "Banks with something to lose: The disciplinary role of franchise value." Economic Policy Review 2(2): 1-14.

DeYoung, R., M. J. Flannery, et al. (2001). "The information content of bank exam ratings and subordinated debt prices." Journal of Money, Credit and Banking 33(4): 900-925.

Ellis, D. M. and M. J. Flannery (1992). "Risk premia in large CD rates: Time series evidence on market discipline." Journal of Monetary Economics 30: 481-502.

Evanoff, D. D. and L. D. Wall (2001). "Sub-debt yield spreads as bank risk measures." Journal of Financial Services Research 20(2): 121-145.

Flannery, M. J. (1998). "Using market information in prudential bank supervision: A review of the US empirical evidence." Journal of Money, Credit and Banking 30(3): 273-305.

Flannery, M. J. and S. M. Sorescu (1996). "Evidence of bank market discipline in subordinated debenture yields: 1983-1991." The journal of finance 51(4): 1347-1377.

Genay, H. (1998). "Assessing the condition of Japanese banks: How informative are accounting earnings?" Journal article by Hesna Genay; Economic Perspectives 22.

Goldberg, L. G. and S. C. Hudgins (2002). "Depositor discipline and changing strategies for regulating thrift institutions." Journal of Financial Economics 63(2): 263-274.

Gorton, G. and A. M. Santomero (1990). "Market discipline and bank subordinated debt: Note." Journal of Money, Credit and Banking 22(1): 119-128.

Goyal, V. K. (2005). "Market discipline of bank risk: Evidence from subordinated debt contracts." Journal of Financial Intermediation 14(3): 318-350.

Grace, M., S. E. Harrington, et al. (1995). An Analysis of the FAST Solvency Monitoring System.

Grace, M. F., S. E. Harrington, et al. (1998). "Risk-Based Capital and Solvency Screening in Property-Liability Insurance: Hypotheses and Empirical Tests." The Journal of Risk and Insurance 65(2): 213-243.

Gropp, R., J. Vesala, et al. (2004). "Market indicators, bank fragility, and indirect market discipline." Economic Policy Review 10(2): 53¡V62.

Hannan, T. H. and G. A. Hanweck (1988). "Bank insolvency risk and the market for large certificates of deposit." Journal of Money, Credit and Banking 20(2): 203-211.

Harrington, S. E. and K. Epermanis (2006). "Market discipline in property/casualty insurance: Evidence from premium growth surrounding changes in financial strength ratings." Journal of Money, Credit, and Banking 38(6): 1515-1544.

Herring, R. J. and P. Vankudre (1987). "Growth opportunities and risk-taking by financial intermediaries." The journal of finance 42(3): 583-599.

Imai, M. (2007). "The emergence of market monitoring in Japanese banks: Evidence from the subordinated debt market." Journal of Banking & Finance 31(5): 1441-1460.

James, C. (1988). "The use of loan sales and standby letters of credit by commercial banks* 1." Journal of Monetary Economics 22(3): 395-422.

Keeley, M. C. (1990). "Deposit insurance, risk, and market power in banking." The American Economic Review 80(5): 1183-1200.

Krishnan, C., P. Ritchken, et al. (2005). "Monitoring and controlling bank risk: does risky debt help?" The journal of finance 60(1): 343-378.

Lee, S. J., D. Mayers, et al. (1997). "Guaranty funds and risk-taking evidence from the insurance industry* 1." Journal of Financial Economics 44(1): 3-24.

Martinez Peria, M. S. and S. L. Schmukler (2001). "Do depositors punish banks for bad behavior? Market discipline, deposit insurance, and banking crises." The journal of finance 56(3): 1029-1051.

Park, S. and S. Peristiani (1998). "Market discipline by thrift depositors." Journal of Money, Credit and Banking 30(3): 347-364.

Petersen, M. A. and R. G. Rajan (1994). "The benefits of lending relationships: Evidence from small business data." The journal of finance 49(1): 3-37.

Pottier, S. W. and D. W. Sommer (1999). "Property-liability insurer financial strength ratings: differences across rating agencies." The Journal of Risk and Insurance 66(4): 621-642.

Sironi, A. (2003). "Testing for market discipline in the European banking industry: Evidence from subordinated debt issues." Journal of Money, Credit, and Banking 35(3): 443-472.

Sommer, D. W. (1996). "The impact of firm risk on property-liability insurance prices." The Journal of Risk and Insurance 63(3): 501-514.

Spiegel, M. M. and N. Yamori (2001). The impact of Japan's financial stabilization laws on bank equity values, Center for Pacific Basin Monetary and Economic Studies, Economic Research Dept., Federal Reserve Bank of San Francisco.