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博碩士論文 etd-0623117-150622 詳細資訊
Title page for etd-0623117-150622
論文名稱
Title
企業風險管理與公司價值之探討-以台灣金融業為例
The Value of Implementing Enterprise Risk Management: Empirical Evidence from Taiwan Finance Industry
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
70
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
2017-06-30
繳交日期
Date of Submission
2017-07-23
關鍵字
Keywords
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
Treatment effect model, Cost efficiency, Revenue efficiency, DEA, ERM
統計
Statistics
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中文摘要
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。
Abstract
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.
目次 Table of Contents
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
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