在股東權益極大化考量下銀行進行合併與轉投資決策之解析架構

Abstract

本文以選擇權模式衡量銀行權益價值，將金融機構合併後視為一個新的投資組合，分析銀行合併後的風險及權益價值狀態，並以極大化期初股東權益淨額為銀行目標，加上資本管制限制式，以探討銀行在此目標下將如何進行資產投資組合選擇行為，並進而討論影響選擇行為的因素及產生銀行合併綜效所需的相關條件。 本文主要結果如下： 1. 政府希望以合併改善目前銀行業營運風險過高的狀況，必須提高激勵的經濟誘因，如此將使銀行選擇互補行較高的銀行進行合併，並在合併後積極從事新種業務以分散資產風險，如此不但可以產生較大的合併綜效，同時也可以有效的降低銀行倒閉機率，達成政府的管制目標。當資本管制的風險權數較低時，激勵的效果較為顯著，激勵效果會隨著風險權數的增加而降低。 2.政府放寬銀行承作轉投資業務的限制，使得銀行間可以透過轉投資活動先行瞭解彼此的營運狀況，並且釋放可能合併的訊息試探市場的反應，以減少立即進行合併對營運所產生的衝擊，並決定是否將進一步進行銀行合併的策略。假設銀行在合併前先進行轉投資，與直接進行合併的策略相較而言將產生以下差異。 (1).當兩家銀行在合併前先進行轉投資，與直接進行合併相較而言，銀行將從事較多分散資產風險的業務。 (2).銀行只需從事較少分散資產風險的業務，即能產生合併綜效。因此將使銀行產生較大合併綜效，使銀行合併案較容易成功。

This article evaluates equity value by option pricing model taking a consolidated financial institute as a new portfolio to analyze the change of risk and equity value. Besides finding how the banks selecting portfolio to maximizing net equity value subject to capital regulation constraint, we also discuss the factors affecting selecting behaviors and the necessary conditions leading to consolidated synergy. We obtain the main results as following: 1. If government hopes to improve the over-risky situation bank industry facing by means of mergers, the more economic incentives must be proposed. This policy will make banks selecting ones with more substitute business to merge and aggressively operating new business to diversify post-merger asset risks happened. The regulatory goal can be achieved because of larger synergy and lower insolvent risk. The inspiring effect is more significant if the lower risk weight is adopted by capital regulation, but will decrease with higher risk weights. 2. Government releasing the scope of reinvestment business will make banks comprehend each other through reinvesting activities and supply information of possible consolidation to test the reaction of market, so the impact from mergers on operation can be decreased, and the decision of consolidation can also be determined. Comparing to direct consolidation, banks merging after reinvesting have the following differences: (1). Banks will operate more risk-diversifying business. (2). Banks operating only fewer risk-diversifying businesses can produce synergy. It means the larger synergy will succeed the merger case more easily.