本國銀行的股權結構與風險承擔關係之研究

Abstract

過去關於企業股權結構的研究，重點均在於其對經營績效、公司價值 的影響，且範圍侷限於非金融機構，因此本研究試圖利用台灣的資料，瞭 解本國銀行業的股權結構對其風險承擔之影響。本研究以銀行之所有者及 經營者等各類股東的風險傾向為切入點，探討我國銀行之經營者、機構投 資者、大股東之持股比例與各種風險指標之關係，以及管制因素的調節效 果。 本研究分為兩階段，第一階段取30家上市、上櫃銀行84年度橫斷 面資料，第二階段取10家上市銀行79-84年資料進行融合時間序列與橫斷 面分析。研究方法主要為多元迴歸及逐段迴歸(Piecewise Regression)， 所採用之風險指標包括各種會計報酬率的變異、逾放比率以及利用資本市 場資料所求算之總報酬風險、系統風險與非系統風險。研究結果發現： (一）第一階段 1.整體而言，銀行經營者持股比例與風險承擔程度間 為負相關，顯示經營者持股較多的公營行庫等，營運方針較保守；而新銀 行及中小企業銀行，經營風險則較高。但其中經營者持股比例在40%以下 時，與風險間呈負向關係，顯示可能有"掠奪性效果(Entrenchment Effect)"的存在；而在40%以上時，與風險間的正向關係，則叫符合理論 之推論。 2.機構投資者持股比例越高，銀行風險承擔程度越高。 3.前十大股東持股比例與銀行風險承擔程度間無顯著關係存在。 （二 ）第二階段 1.實施風險性導向資本管制之前，銀行的整體風險均高於 管制後，顯示此管制確能達到降低風險的目的。 2.於非管制期間，經 營者持股對銀行風險的正向影響大於管制期間。 Researches on equity structure generally have focused on its effect on the operating performance and the value of a non- financial company. Using data in Taiwan, this paper attempts to interpret how a domestic bank's equity structure affects its risk-taking behavior. This research first explains different shareholders' various risk-taking proclivities, futher investigates the relationship between the percentage of stocks held by managers(including directors)、institutional investors、 blockholders and risk indicators, and spells out the moderating effect of regulation at the end. There are two parts in this study: first, the year 1995 data of thirty exchange-listed or OTC listed banks are used; second, the data of ten exchange- listed banks were collected from 1990 to 1995. The main statistic methods are multiple and piecewise regressions, and risk indicators used include variances of different accounting returns, the percentage of bad loans, and total return risk, systematic risk, and idiosyncratic risk derived from the capital market. The research indicates that: 1.The first stage (1)The higher the percentage of stocks owned by managers, the less risk-taking the bank is. This result justified the fact that government-owned banks, where managers own a higher percentage of stocks, tend to be more conservative, while new banks or those targeting at small- and medium-sized businesses have higher operating risk. There may be an "entrenchment effect" when managers own less than 40% of stocks. However, we should see a positive relationship between managers' ownership and the bank's risk-taking according to the theory. (2)The higher the institutional investors' ownership is, the more risk- taking the bank is. (3)Thereis no significant relationship between the risk-taking of a bank and the percentage of stocks held by its ten major stockholders. 2.The second stage (1)The overall risk of banks becomes lower after the risk-based capital regulation took effect, which implies that regulation can help redoce the risk of banks. (2)Managers' ownership has a more powerful positive effect on the risk of banks in the period of deregulation relative to the period of regulation.