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研究生： 鄭嘉翔
Cheng, Chia-Hsiang
論文名稱： 金融風暴對金融業風險控管之影響
Do Financial Institutions Learn from Financial Crisis?Evidence from Risk Management
指導教授： 陳政芳
Chen, Jeng-Fang
黃炳勳
Huang, Ping-Hsun
學位類別： 碩士
Master
系所名稱： 管理學院 - 會計學系
Department of Accountancy
論文出版年： 2012
畢業學年度： 100
語文別： 英文
論文頁數： 32
中文關鍵詞： 風險管理 、公司治理 、公司績效 、金融危機
外文關鍵詞： Risk Management, Corporate Governance, Stock-Price Performance, Financial Crisis
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    • 以前有文獻探討公司治理與企業績效之間的關聯，大多數都表現出積極的關係，但有些沒有。本研究首先探討是否金融危機期間遭受重大損失的金融機構，會改變了他們的風險治理機制。其次，再探討是否在風險治理機制的改善對金融機構的股票績效的影響。結果表明，在金融危機期間遭受重大損失的金融機構，實施風險治理風險的變化和改善治理機制可能導致優於買入並持有異常報酬。結果表明，市場出現的價值變化的風險治理機制。

    Previous studies have discussed the association between corporate governance
    and firm performance. Most of them have shown positive relationship, but some did
    not. This study first examines whether financial institutions that suffered great
    losses during financial crisis, changed their risk governance mechanisms. Secondly,
    I examine whether the improvement in risk governance mechanism has an impact
    on stock-price performance of the financial institutions. Results have shown that
    financial institutions that suffered great losses during the financial crisis, implement
    a risk governance changes and this improvement in risk governance mechanism
    could lead to superior buy-and-hold abnormal returns. The results indicate that the
    market appear to value the change in risk governance mechanisms.

    Table of Contents 1. Introduction 1 2. Literature Review 3 3. Sample Selection 6 4. Research design and empirical results 8 5. Summary and Conclusions 16 6. List of Tables and Figures 18 Table 1 - A: Financial institution in Bank Regulatory Database 18 Table 1 - B: Distribution of Financial Institutions by SIC Code 18 Table 1 - C: Distribution of institution that suffered more and less 18 Table 1 - D: Distribution of institutions that that suffered more and less by SIC codes 19 Figure 1 - Governance Variables for Financial Institution Suffered Great Loss Firm in the Year Prior to Crisis (Initial) and the Four-Year Afterward (Final) (Sample Size = Initial/Final) 20 Panel A: Means of Governance Variables in Percentages 20 Panel B: Means of Governance Variables in Levels 20 Table 2 - Univariate Comparisons of Board of Directors, Risk Governance, and other Corporate Governance Variables 21 Table 3 - Univariate Comparisons of Board of Directors, Risk Governance, and other Corporate Governance Variables (Risk Governance the same throughout the period) 23 Table 4 - Descriptive Statistics and Pearson Pairwise Correlations for Returns, Change in Net Income, Governance Changes and Control Variables for Financial Institutions that suffered great losses for the Fourth-Year Period following Financial Crisis 27 Panel A: Descriptive Statistics of Returns, Governance Variables, and Control Variables (n=21) 27 Panel B: Pearson Pairwise Correlation for Returns, Changes in Net Income, Governance Changes and Control Variables (n=21) 27 Table 5 - Regression of Great Loss Firm’s Long-Run Buy-and-hold Abnormal Returns for the Four-Year after Financial Crisis on governance chances from the Year Prior to Financial Crisis to the Fourth Year Afterward 28 Panel A – Total Sample (Financial Institution that suffered great and less losses) 28 Panel B – Financial Institutions that suffered less losses 29 Panel C – Financial Institutions that suffered great losses 30 7. Reference 31

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