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研究生:許素珠
研究生(外文):Hsu,Su Chu
論文名稱:海外投資及避險策略與保險公司價值之探討
論文名稱(外文):Striving for home advantages? an empirical study of currency hedging of Taiwan life insurers
指導教授:朱浩民朱浩民引用關係張士傑張士傑引用關係
指導教授(外文):Chu, Hau MinChang, Shih Chieh
學位類別:博士
校院名稱:國立政治大學
系所名稱:金融研究所
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:2011
畢業學年度:99
語文別:英文
論文頁數:83
中文關鍵詞:資產配置匯率風險本國股權投資偏好迷思避險策略經理人裁決假說
外文關鍵詞:Asset AllocationExchange Rate RiskHome Equity Bias PuzzleHedging StrategyManagerial Discretion Hypothesis
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本論文包含台灣壽險業資產配置國際化及匯率避險兩個主題。首先,探討台灣壽險業積極向主管機關申請核准提高國外資產配置比率,與美國投資人偏好投資自己國家資產不一致的現象,是台灣壽險業資產配置不得不的策略,或是國際化的迷思? 以25家壽險公司2004 年至2008年財務資料實證結果發現,國外資產納入投資組合對壽險業投資績效有利。如果將樣本公司依據所有權區分為本資公司與外資公司,資料顯示,本資公司國際資產配置較為積極,惟其報酬績效與外資公司差異並不顯著。研究亦發現,2008年美國次貸風暴顯著負向影響台灣壽險公司國外投資報酬,即提高國外資產配置雖可提高報酬,惟匯率風險、信用風險及系統風險暴露亦相對提高,建議壽險公司於追球較高報酬同時,應同時加強風險管理。另實證亦發現,資產規模愈大公司之投資報酬率相對較遜,建議於追求保費市占率成長時,應重視投資報酬績效的實質提升。
第二部分探討2004年至 2008年台灣壽險業國外投資匯率風險管理策略對投資績效影響。以整體產業觀察,匯率避險對投資報酬率有正面效果;本資公司避險策略相較外資公司積極,報酬率亦相對較優;股票上市公司有財報揭露股價波動之壓力,經理人有較強誘因採取避險策略,投資報酬率相較優於股票未上市公司,惟差異並不顯著。實證結果支持Glen and Jorion (1993) and Campbell et al. (2010)避險可以降低匯率風險提升投資報酬績效之研究結論,2006年實施之34號會計公報,顯著影響本資公司與上市公司之避險行為。

In this study, we study two essays on international asset allocation and the currency hedging problem for Taiwan life insurer industry. In the first essay, we investigate the high percentage of foreign investments placed by Taiwan life insurers and how this phenomenon is at odds with the bias for investing at home common among American investors. The holdings of 25 Taiwan life insurance companies, between the years 2004 and 2008, are scrutinized with a view towards evaluating home bias and its financial impact. We find that foreign investment has proven profitable for the life insurance industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, and that while the performance of investments made by domestic-owned life insurers differs from that of foreign-owned life insurers, the difference is insignificant. We also found that global financial turmoil in 2008 had a massively negative impact on the foreign investments of Taiwan life insurance companies and firm size and return on investment is negative correlated, suggesting that life insurers should focus on enhancing investment performance and risk management.

In the second essay, we examine the currency hedging strategy and its impact on the performance of Taiwan life insurance industry investments from 2004 to 2008. We find that currency hedging strategies have yielded positive results, overall, for the industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, the results show that the currency hedging strategies employed by the domestic-owned companies enjoy advantages over those of foreign-owned firms. If the sample is further divided into those publicly listed on the TAIEX and others, our results show that a hedging strategy has positive effects on listed company. Our findings support the work in Glen and Jorion (1993) and Campbell et al. (2010), which reveal that hedging strategies improve foreign investment returns and can reduce currency risks in comparison to non-hedging strategies. Our empirical results indicate that SFAS No. 34 has a significant effect on currency hedging behavior among domestically owned and listed companies.

謝辭 7
Preface 8
摘要 9
Abstract 10
Chapter I Introduction 12
Chapter II Is Asset Allocation a Myth or a Reality? An Empirical Study on Taiwan Life Insurance Industry 16
2.1 Introduction 16
2.2 Literature Review 23
2.2.1 International Diversification 23
2.2.2 Home Equity Bias Puzzle 24
2.3 Research Design 26
2.3.1 Home Equity Bias Puzzle 26
2.3.2 International Portfolio Holdings and Investment
Performance 26
2.4 Empirical Analysis 28
2.4.1 Data and Variables 28
2.4.2 Variable Descriptive Statistics and Correlation
Analysis 31
2.5 Empirical Model 34
2.5.1 Home Equity Bias Puzzle 35
2.5.2 The Relationship between International Portfolio and
Investment Performance of Taiwan Life Insurers 35
2.6 Empirical Results 38
2.6.1 Empirical Results of Home Equity Bias Puzzle
Hypothesis 38
2.6.2 Empirical Results of the Relationship between
Foreign Investment and Asset Allocation Performance 39
2.6.3 Testing the Impact of Outlier 45
2.6.4 Testing the Size Effects 47
2.7 Concluding Remarks 48
Chapter III Striving for Home Advantages? An Empirical
Study of Currency Hedging of Taiwan Life Insurers 49
3.1 Introduction 49
3.2 Literature Review 55
3.2.1 Hedging Motives 55
3.2.2 The Relationship between Hedging and Performance 56
3.2.3 Optimal Hedging Strategy 56
3.3 Research Design 57
3.3.1 Relationship between Currency Hedging and Investment
Performance 57
3.3.2 The Relationship among Currency Hedging, Manager
Incentive and Economy of Scale 58
3.4 Empirical Analysis 59
3.4.1 Data and Variables 59
3.4.2 Variable Descriptive Statistics and Correlation
Analysis 61
3.5 Empirical Model 63
3.5.1 The Relationship between Foreign Investment and
Investment Performance 63
3.5.2 The Relationship among Currency Hedging, Manager
Incentive and Economy of Scale 64
3.6 Empirical Results 65
3.6.1 Empirical Results of the Relationship between
Foreign Investment and Investment Performance 65
3.6.2 Empirical Results of the Relationship among Currency
Hedging, Manager Incentive and Economy of Scale 67
3.6.3 Empirical Results of the Relationship between
Currency Hedging and ROE (ROA) 71
3.7 Concluding Remarks 72
Chapter IV Conclusions and Future Research 74
Reference 76


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