博碩士論文 etd-0623117-150622 詳細資訊


[回到前頁查詢結果 | 重新搜尋]

姓名 石顓毓(Jhuan-Yu Shih) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 碩士(Master) 畢業時期 105學年第2學期
論文名稱(中) 企業風險管理與公司價值之探討-以台灣金融業為例
論文名稱(英) The Value of Implementing Enterprise Risk Management: Empirical Evidence from Taiwan Finance Industry
檔案
  • etd-0623117-150622.pdf
  • 本電子全文僅授權使用者為學術研究之目的,進行個人非營利性質之檢索、閱讀、列印。
    請遵守中華民國著作權法之相關規定,切勿任意重製、散佈、改作、轉貼、播送,以免觸法。
    論文使用權限

    紙本論文:不公開

    電子論文:使用者自訂權限:校內校外均不公開

    論文語文/頁數 英文/70
    統計 本論文已被瀏覽 5566 次,被下載 0 次
    摘要(中) 本研究主要目的是檢驗臺灣執行企業風險管理架構(ERM)的公司是否從中受益,以及ERM對公司產生的價值。首先我們採用處理效果模型來檢驗ERM對公司價值的影響。接著,我們以成本與收入效率作為因變量來檢驗ERM從哪方面增加公司價值。最後,樣本依據業務類型被分為四組來進行檢驗ERM的實施對這四類公司的影響。本研究的對象為1991年到2016年期間內臺灣證券交易所金融保險類股價指數成分股共73家公司。
    處理效果模型結果顯示,實施ERM的公司相較於沒有未採用者增加了約5.45%的公司價值。公司採用ERM有助於收益效率提高16.06%,但同時成本效率則反而降低了11.7%。最後,每個子行業的成本效率和收益效率的結果是不一致的。人壽保險公司採用ERM對收益效率具有顯著的正向影響。而實施ERM的產物保險公司和證券公司則會同時對成本與收益效率產生負向影響。
    摘要(英) The primary purpose of this study is to examine whether firms in Taiwan are beneficial from ERM adoption, and how much value it creates from ERM activity. We first use treatment effect model to estimate the effect of ERM on firm’s value. Subsequently, we investigate which aspects of ERM add value by using cost and revenue efficiency as dependent variables. Finally, we separate our sample into four groups to see the different influences of implementing ERM on four sorts of firms. The sample is for the period between 1991 to 2016 and composed of 73 firms belonging to the Financial and Insurance Industry Index compiled by TWSE.
    The coefficient indicates that firm implements ERM program would benefit from adding approximately 5.45% value than those who don't. Also, the adoption of ERM significantly helps a firm improve revenue efficiency by 16.06%; while reducing cost efficiency by 11.7%. The results of cost efficiency and revenue efficiency in each sub-industry are not the same, showing that the impacts of ERM among sub-industries vary.
    關鍵字(中)
  • 資料包絡分析法
  • 成本效率
  • 收益效率
  • 處理效果模型
  • 企業風險管理
  • 關鍵字(英)
  • Treatment effect model
  • Cost efficiency
  • Revenue efficiency
  • DEA
  • ERM
  • 論文目次 論文審定書 i
    摘要 ii
    ABSTRACT iii
    LIST OF FIGURES v
    LIST OF TABLES vi
    I. INTRODUCTION 1
    II. LITERATURE REVIEW 6
    2.1 Definition of Enterprise Risk Management 8
    2.2 Theoretical Argument for the value relevance of ERM 9
    2.3 Empirical Evidence on The Value Relevance of Risk Management 11
    III. RESEARCH METHODOLOGY 15
    3.1 Sample and Data Collection 15
    3.2 Analytic Methods 18
    3.2.1 Treatment Effects Model 18
    3.2.2 Multivariate Regressions Model 20
    3.3 Discussion of Determinants 23
    3.3.1 Treatment Effect Model 23
    3.3.2. Multivariate Regressions Model 29
    IV. EMPIRICAL RESULTS 38
    4.1 Descriptive Statistics and Correlation Analysis 38
    4.2 Result of Treatment Effect Model 39
    4.3 Result of Multivariate Regression Model 40
    V. CONCLUSION 42
    REPERENCES 45
    參考文獻 李佳玲、李宗霖、林陣蒼(2013,3月)。淺析會計師事務所企業風險管理機制之建置。會計師季刊,266,39-47。
    徐中琦、盧慧蓉(2009)。我國金控券商與非金控券商經營效率比較分析 ─DEA 與Malmquist生產力指數之應用。臺灣銀行季刊, 60(4), 1-19。
    梁榮輝、廖振盛(2007)。台灣地區產險業經營效率與規模經濟之研究。朝陽商管評論, 6 (1), 79-102。
    許瑞堯(2011)。金控券商與非金控券商經營效率之研究(碩士論文)。取自臺灣博碩士論文系統。(系統編號099CYUT5121045)
    陳永宗(2008)。台灣人壽保險業成本效率之分析-縱橫門檻模型之應用(碩士論文)。取自臺灣博碩士論文系統。(系統編號096PCCU0389003)
    廖君美(2013,7月)。企業風險管理與資訊安全機制設計。財金資訊季刊,75,27-31。
    戴錦周、薛美雲(2010)。臺灣商業銀行的業務結構、利潤效率與風險之研究。臺灣銀行季刊, 61(1), 46-64。
    Aebi, V., Sabato, G., & Schmid, M. (2012). Risk management, corporate governance, and bank performance in the financial crisis. Journal of Banking & Finance, 36(12), 3213-3226.
    Aigner, D., Lovell, C. K., & Schmidt, P. (1977). Formulation and estimation of stochastic frontier production function models. journal of Econometrics, 6(1), 21-37.
    Allayannis, G., & Weston, J. P. (2001). The use of foreign currency derivatives and firm market value. Review of financial studies, 14(1), 243-276.
    Barton, T. L., Shenkir, W. G., & Walker, P. L. (2002). Making enterprise risk management pay off: FT Press.
    Beasley, M. S., Clune, R., & Hermanson, D. R. (2005). Enterprise risk management: An empirical analysis of factors associated with the extent of implementation. Journal of accounting and public policy, 24(6), 521-531.
    Cummins, J. D., & Weiss, M. A. (2000). Analyzing Firm Performance in the Insurance Industry Using Frontier Efficiency and Productivity Methods. 22, 767-829.
    Cummins, J. D., Lewis, C. M., & Wei, R. (2006). The market value impact of operational loss events for US banks and insurers. Journal of Banking & Finance, 30(10), 2605-2634.
    Dickinson, G. (2001). Enterprise risk management: Its origins and conceptual foundation. The Geneva Papers on Risk and Insurance. Issues and Practice, 26(3), 360-366.
    Dong, Y., Hamilton, R., & Tippett, M. (2014). Cost efficiency of the Chinese banking sector: A comparison of stochastic frontier analysis and data envelopment analysis. Economic Modelling, 36, 298-308.
    Ellul, A., & Yerramilli, V. (2013). Stronger risk controls, lower risk: Evidence from US bank holding companies. The Journal of Finance, 68(5), 1757-1803.
    Grace, M. F., Leverty, J. T., Phillips, R. D., & Shimpi, P. (2015). The Value of Investing in Enterprise Risk Management. Journal of Risk and Insurance, 82(2), 289-316.
    Greene, W. H. (2000). Econometric analysis (International edition)
    Gordon, L. A., Loeb, M. P., & Tseng, C.-Y. (2009). Enterprise risk management and firm performance: A contingency perspective. Journal of accounting and public policy, 28(4), 301-327.
    Haubenstock, M. (1999, February 1). Organizing a Financial Institution to Deliver Enterprise-Wide Risk Management. Journal of Lending and Credit Risk Management, 46-52
    Hoyt, R. E., & Liebenberg, A. P. (2011). The Value of Enterprise Risk Management. Journal of Risk and Insurance, 78(4), 795-822.
    Jensen, M. C. (1986). Agency costs of free cash flow, corporate finance, and takeovers. The American economic review, 76(2), 323-329.
    Karray, S. C., & eddine Chichti, J. (2013). Bank size and efficiency in developing countries: intermediation approach versus value added approach and impact of non-traditional activities. Asian Economic and Financial Review, 3(5), 593.
    Lam, J. C., & Kawamoto, B. M. (1997). Emergence of the chief risk officer. Risk Management, 44(9), 30.
    Lang, L. H., & Stulz, R. M. (1994). Tobin's q, corporate diversification, and firm performance. Journal of political economy, 102(6), 1248-1280.
    Leverty, J. T., & Grace, M. F. (2010). The robustness of output measures in property-liability insurance efficiency studies. Journal of Banking & Finance, 34(7), 1510-1524.
    Liebenberg, A. P., & Hoyt, R. E. (2003). The determinants of enterprise risk management: Evidence from the appointment of chief risk officers. Risk management and insurance review, 6(1), 37-52.
    Maudos, J., Pastor, J. M., Perez, F., & Quesada, J. (2002). Cost and profit efficiency in European banks. Journal of International Financial Markets, Institutions and Money, 12(1), 33-58.
    McConnell, J. J., & Servaes, H. (1990). Additional evidence on equity ownership and corporate value. Journal of Financial economics, 27(2), 595-612.
    McShane, M. K., Nair, A., & Rustambekov, E. (2011). Does Enterprise Risk Management Increase Firm Value? Journal of Accounting, Auditing & Finance, 26(4), 641-658.
    Myers, S. C., & Read Jr, J. A. (2001). Capital allocation for insurance companies. Journal of Risk and Insurance, 545-580.
    Nocco, B. W., & Stulz, R. M. (2006). Enterprise risk management: Theory and practice. Journal of applied corporate finance, 18(4), 8-20.
    Pagach, D. P., & Warr, R. S. (2010). The effects of enterprise risk management on firm performance.
    Pagach, D., & Warr, R. (2011). The characteristics of firms that hire chief risk officers. Journal of Risk and Insurance, 78(1), 185-211.
    Shin, H. H., & Stulz, R. M. (2000). Firm value, risk, and growth opportunities (No. w7808). National bureau of economic research.
    Smithson, C., & Simkins, B. J. (2005). Does risk management add value? A survey of the evidence. Journal of applied corporate finance, 17(3), 8-17.
    Walker, Paul L. "Managing Risk: An Enterprise-wide Approach." The Free Library 01 March 2001. 19 June 2017 https://www.thefreelibrary.com/Managing Risk: An Enterprise-wide Approach.-a072120161.
    口試委員
  • 林士貴 - 召集委員
  • 林智勇 - 委員
  • 黃振聰 - 委員
  • 蔡維哲 - 指導教授
  • 口試日期 2017-06-30 繳交日期 2017-07-23

    [回到前頁查詢結果 | 重新搜尋]


    如有任何問題請與論文審查小組聯繫