公司治理和公司的脆弱性：市場下跌流動性風險與下方風險的分析

Abstract

(Project 1): Cross-sectional analysis of market decline illiquidity: A study of corporate governance effect 近年來國際金融風暴的發生，使得證券流動性、市場下跌風險與體系性風險等議題 變成重要的研究主題。本研究欲探討公司治理機制好壞能否解釋，市場下跌期間個別公 司間流動性以及市場下跌風險的敏感性差異。本研究首先驗證次級房貸期間股票市場是 否存在流動性供給不足問題(supply effect)，接著驗證是否較好的公司治理機制能否能降 低公司面對市場下跌期間產生的流動性不足問題以及市場下跌風險的敏感性。由於市場 下跌期間投資人因損失易產生資金限制(funding constraint)，進而導致市場流動性提供不 足問題。因此是否較佳流動性公司或較好公司品質特性能吸引投資人賣出手中持有股票 轉而買進，進而形成flight to quality 現象。最後也分析公司治理因子在體系性風險 (systemic risk, CoVaR)的解釋效果。 (Project 2): Corporate governance and the market decline liquidity risk: Evidence from International stock markets and ADR Markets 延續第一年度計畫，本計畫進行跨國實證分析，驗證世界各國股票市場中，本地市 場或美國市場下跌時，投資人保護會如何影響市場流動性。特別是比較跨國家之間差異 (Cross-country level)以及此關係是否會隨著時間改變而變動(Time-series level)。此外更進 一步探討，投資人保護較佳的國家是否能使本國投資人能有效降低本國以及美國所帶來 的市場下跌風險。 另外本計畫亦運用各國之美國存託憑證(ADR)，探討市場下跌期間投資人面對市場 下跌風險以及資金不足問題時，是否國家間投資人保護較佳企業能提供較低的資訊不對 稱成本並降低市場的net selling pressure。將更進一步探討次級房貸期間美國政府採取注 入資金進入市場的措施是否能解除市場資金流動性不足問題，進而降低net selling pressure 與資訊不對稱成本。 (Project 3): Managerial entrenchment, stakeholders’ relation, and variability of corporate performance 本計劃將討論股東角度公司治理與社會績效(企業責任關係維護)如何影響市場下跌 流動性風險與股票下方風險以及企業績效變異程度。本計劃將驗證是否當企業CEO 擁 2 有較高決策權力以及較弱的利害關係人關係時，則企業風險性決策機會提高因而提高企 業績效變異程度與股票下方風險；同時也將檢驗股東公司治理與社會績效對公司績效穩 定度是屬於互補或替代關係，將特別以金融類股再做次樣本分析。此外，更進一步特別 針對兩個重要事件期間SOX 法案以及次級房貸。SOX 法案通過為企業轉變為較嚴格之 治理架構，因此探討此制度通過是否能有效降低CEO 權利對企業績效變異之影響。而 次級房貸期間金融體系及信貸市場面臨嚴重損害，在此情況下是否會影響CEO 調整對 企業資源分配進而影響企業績效變動程度以及股票下方風險。

Recent research shows that shocks on equity illiquidity tend to be higher when market decline. This research project aims to explore the effects of corporate governance on the commonality of liquidity and the sensitivity of liquidity risk due to market decline (market decline liquidity risk) which are well documented in the study of Hameed, Kang and Viswanathan (2010) and is highly extended in many studies. Recent empirical and theoretical studies have demonstrated the significant effect that market declines cause asset illiquidity. In collateral-based models, market makers make market by absorbing temporary liquidity shocks, but they face funding constraints and obtain financing by posting margins and pledging the securities they hold as collateral. As noted by, for example, Brunnermeier and Pedersen (2009), when stock prices decline considerably, financial intermediaries face funding constraints and are forced to liquidate. We posit that since market makers hold securities of firms with poor governance might suffer from higher information asymmetric costs, they tend to liquidate stocks with poor corporate governance in market decline periods. Furthermore, Admati and Pfleiderer (2009) and Edmans (2009) demonstrate that the act of selling one’s shares can act as a governance mechanism in itself. This creates a stronger market decline illiquidity effect of poor corporate governance firms. In addition, these firms are less likely to be subject to higher market-wide liquidity shock because more firm specific information permit investors to differentiate between stocks. Extending previous literatures, this research project will examine that whether a better corporate governance mechanism could reduce uncertainty and has the potential to reduce the tendency to withdraw liquidity shock during market decline period. In the first year, we explore whether a better corporate governance mechanism could help explain the difference in liquidity level between stocks and have less sensitively to market downturns risk in the market decline period. During large market decline period, investor incurs huge loss and funding constraint to lead to liquidity provision problem. We thus investigate whether a better corporate governance firm could attract investor outflow from a poor governance firm in the market decline period, indicating flight to quality/safety. In the second year, we firstly focus on the international stock market and examine how and why investor protection affects liquidity in the domestic and U.S. market decline period among stocks within a country differs across countries and varies over time by investigating time-series measures of liquidity variables based on each country stock market. In addition, we also aim to investigate whether a better investor protection country could have less sensitive to market downturns risk for huge domestic and U.S. market decline. Using American depository receipt (ADR) data on various countries, we explore whether a better investor protection could reduce adverse selection information cost and net selling pressure under stressful market condition. We then go on to explore how the U.S. government funding injection actions affect equity liquidity and investor trading behavior. If the bailout policy of the US Treasury could resolve funding constraint problem and restore the confidence of investors in the financial system, these actions could reduce nest selling pressures and asymmetry information cost, indicating improving equity liquidity during the sub-prime crisis period. In the third year, we investigate how the managerial entrenchment and non-shareholding stakeholder interests affect downside risk and overall risk of firms. We explore whether a better stakeholder relation and less managerial entrenchment could reduce variability of firm performance and down side risk. We explore the complement and substitute effects of shareholder value corporate governance and stakeholder management on downside risk of firms. The analysis will use stocks of financial institutions as a sub-sample to test the above hypothesis. We further focus on the effects of SOX legislation and subprime crisis. We examine whether SOX legislation could help to reduce power of CEO. In the subprime crisis period, financial system and credit market experience a huge damage, and thus in this period whether CEO could adjust firm resources distribution and affect non-shareholding stakeholder relation, thereby influence the variability of corporate performance and downside risk.