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題名 隱含價值揭露與壽險公司財務資訊之關聯性
The relevance between embedded value disclosure and financial information of life insurer
作者 陳逢凱
Chen, Feng Kai
貢獻者 陳彩稚
陳逢凱
Chen, Feng Kai
關鍵詞 壽險公司
隱含價值
有價值的資訊
Life insurers
Embedded value
Valuable information
日期 2017
上傳時間 31-Jul-2017 11:00:53 (UTC+8)
摘要 台灣的壽險公司早在數年前就開始自願性揭露自身的隱含價值(Embedded value, EV)，迄2016年底共有3家金控、3家壽險公司在每年初第一季法人說明會揭露去年整體公司的隱含價值，希望透過自願性的揭露隱含價值來降低與投資大眾之間的資訊不對稱，提升股票價格與流動性。國際投資法人都會用隱含價值來做為金控、壽險公司股價的判斷依據，但台灣股票價值明顯低於隱含價值甚多。有鑑於此，本論文想研究台灣2009-2015年間，壽險公司自願性揭露隱含價值報告書是否提供有價值的資訊給投資大眾。本文利用簡單迴歸3個模型來檢驗假說，再將有無揭露隱含價值報告書之金控、壽險公司分群，資料從2009至2015年底的日資料與季資料，利用統計學兩獨立樣本T檢定與無母數Wilcoxon檢定方式，分別比較兩群金控、壽險公司股價與財務變數表現。實證結果顯示，隱含價值能提供有價值之資訊，並且有揭露隱含價值的壽險公司在財務變數的資產、稅後淨利、ROE和ROA波動度顯著表現較好與穩定；有揭露隱含價值的金控公司在股價變數表現方面皆顯著更好。整體而言，自願性揭露隱含價值確實能提供有價值的資訊給投資大眾。因此，建議未來主管機關也能將是否強制要求壽險公司揭露隱含價值納入考量，以作為金融政策監理之參考。
Life insurers in Taiwan began disclosing voluntarily their embedded value (EV) a few years ago. By the end of 2016, there were 3 Financial Holding Companies (FHC) and 3 insurers disclosing their EV in the first-quarter financial report every year. They hope to increase the stock price and liquidity through voluntary disclosure of EV which may reduce the information asymmetry for the investors. The stock prices of life insurers in Taiwan are significantly lower than their EVs, and the voluntary disclosure of EV is not common. Therefore, this paper intends to study whether the disclosure of EV provides valuable information to the investor. Based on the data of FHC and life insurers during 2009-2015, this study compares the operating stability, stock price and financial performance between the firms with and without disclosure of EV. The empirical results show that the life insurers with EV disclosure present better profiles in Asset, Net Income, ROE and ROA Volatility, and the FHC with EV disclosure outperform in stock price, volume, turnover, market value, and price book ratio. Therefore, this study concludes that voluntary disclosure of EV does provide valuable information to the investors.
參考文獻 西方文獻
(1) Barton, J., Waymire, G.(2004).”Investor Protection under Unregulated Financial Reporting.” Journal of Accounting & Economics, 38(3):65-116.
(2) Campbell, B.C., Bennett, N.E., Kaster, M.L., and Segal,S.A.(2002). “Embedded Value of Life Insurance Product Lines.”Boston Annual Meeting, 28(3):1-36
(3) CFO Forum (2004).“European Embedded Value Principles and Basis for Conclusions.”Available at http://www.cfoforum.nl/letters/eev_principles.pdf
(4) CFO Forum (2009).“Market Consistent Embedded Value Principles. ” Available at
http://www.cfoforum.nl/downloads/MCEV_Principles_and_Guidance_October_2009.pdf.
(5) Daske, H.; L, Hail; C, Leuz; and R.Verdi.(2008). “Mandatory IFRS Reporting Around the World: Early Evidence on the Economic Consequences.” Journal of Accounting Research 46(5):108-142
(6) El-Gazzar, S.M., Jacob, R.A., McGregor, S.P.(2015).“ The Relative and Incremental Valuation Effects of Embedded Value Disclosure by Life Insurers: Evidence from Cross-Listed Firms in the U.S.”Accounting Horizons, 29(2):327-339.
(7) Forte, G., Mattei, J., and Tudini, E. (2011). “The Value Relevance of Embedded value disclosures: Evidence from European Life Insurance Companies.” Working Paper. Available at http://ssrn.com/abstract=1911372
(8) Gerstner, T., Lohmaier, D. and Richter, A.(2015).“Value Relevance of Life Insurers’ Embedded Value Disclosure and Implications for IFRS 4 Phase II.” Munich Risk and Insurance Center Working Paper No. 27, Available at www.mric.lmu.de/research/wp
(9) Hail, L.(2011).“Discussion of Consequences and Institutional Determinants of Unregulated Corporate Financial Statements: Evidence from Embedded Value Reporting.” Journal of Accounting Research, 49(2):573–594.
(10) Klumpes,P.J.M.(2005). “Managerial Cash-Flow or Accounting Performance Measures:Evidence from the U.K. Life insurance industry”The Geneva Pappers, 30(1):171-186
(11) Kwan, Simon H. (2002). “Bank Security Prices and Market Discipline.” FRBSF Economic Letter 2002-37, December 20. Available at http://www.frbsf.org/economic-research/files/el2002-37.pdf
(12) Leuz, C., Wysocki, P.(2008).”Economic Consequences of Financial Reporting and Disclosure Regulation: A Review and Suggestions for Future Research.”54(2):525-622
(13) Lippl, C. and Paetzmann, K. (2013). “Accounting for European Insurance M&A Transactions: Fair Value of Insurance Contracts and Duplex IFRS/U.S. GAAP Purchase Accounting. The Geneva Papers on Risk and Insurance” Issues and Practice,38(2):332–353.
(14) Lopez,J.A. (2003). “Disclosure as a Supervisory Tool: Pillar 3 of Basel II.” FRBSF Economic Letter 2003-22 (August 1). Available at http://www.frbsf.org/economic-research/publications/economic-letter/2003/august/disclosure-as-a-supervisory-tool-pillar-3-of-basel-ii/
(15) Prefontaine, J., Desrochers, J., Godbout L.(2009). ”The Informational Content Of Voluntary Embedded Value(EV) Financial Disclosures By Canadian Life Insurance Companies.” International Business & Economics Research Journal, 8(12):332-353
(16) Serafeim, G.(2011).“Consequences and Institutional Determinants of Unregulated Corporate Financial Statements: Evidence from Embedded Value Reporting.” Journal of Accounting Research, 49(2):529-571
(17) Wu, R. C.-F., Hsu, A. W.-H. (2011). “Value Relevance of Embedded Value and IFRS 4 Insurance Contracts.” The Geneva Papers, 36(2):283–303.
(18) Zimmermann, J., Veith, S., Schymczyk ,J.(2015). ”Measuring Risk Premiums Using Financial Reports and Actuarial Disclosures.”The Geneva Papers,40(2):209-231

中文文獻
(1) 李寧(2007)。准备金评估方法对寿险公司内含价值影响的分析。南開大學，金融與保險學專業，頁11-26。
(2) 林俊吉(2012)。隱含價值報告品質對壽險公司信用評等之影響。輔仁大學，金融與國際企業學系金融碩士班，頁6-18。
(3) 洪敏三(2004)。壽險保單隱含價值之探討。國立高雄第一科技大學，風險管理與保險所，頁1-10。
(4) 孫骅(2008) 。寿险公司的内含价值估值理论及应用。上海交通大學，工商管理專業，頁9-17。
(5) 高渭川(2015)。國際財務報導準則第四號(IFRS 4)-保險合約會計第二階段(Phase II)研究案. 金融管理委員會一○四年度委託研究計畫, 頁9-12。
(6) 陳慧珊(2004)。壽險保單隱含價值之探討。國立高雄第一科技大學，風險管理與保險所，頁9-15。
(7) 陳宗岡(2012)。隱含價值報告品質對壽險公司信用評等之影響。輔仁大學，金融與國際企業學系金融碩士班，頁1-18。
(8) 蔡宗佑(2008)。 人壽保險業評價方法之趨勢研究。國立臺灣大學，會計學研究所，頁26-35。
(9) 謝明華(2010)。壽險業準備金評估方法之國際發展趨勢研究。 行政院金融監督管理委員會九十九年度委託研究計畫。頁122-129。
描述 碩士
國立政治大學
風險管理與保險學系
104358003
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0104358003
資料類型 thesis
dc.contributor.advisor 陳彩稚zh_TW
dc.contributor.author (Authors) 陳逢凱zh_TW
dc.contributor.author (Authors) Chen, Feng Kaien_US
dc.creator (作者) 陳逢凱zh_TW
dc.creator (作者) Chen, Feng Kaien_US
dc.date (日期) 2017en_US
dc.date.accessioned 31-Jul-2017 11:00:53 (UTC+8)-
dc.date.available 31-Jul-2017 11:00:53 (UTC+8)-
dc.date.issued (上傳時間) 31-Jul-2017 11:00:53 (UTC+8)-
dc.identifier (Other Identifiers) G0104358003en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/111461-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 風險管理與保險學系zh_TW
dc.description (描述) 104358003zh_TW
dc.description.abstract (摘要) 台灣的壽險公司早在數年前就開始自願性揭露自身的隱含價值(Embedded value, EV)，迄2016年底共有3家金控、3家壽險公司在每年初第一季法人說明會揭露去年整體公司的隱含價值，希望透過自願性的揭露隱含價值來降低與投資大眾之間的資訊不對稱，提升股票價格與流動性。國際投資法人都會用隱含價值來做為金控、壽險公司股價的判斷依據，但台灣股票價值明顯低於隱含價值甚多。有鑑於此，本論文想研究台灣2009-2015年間，壽險公司自願性揭露隱含價值報告書是否提供有價值的資訊給投資大眾。本文利用簡單迴歸3個模型來檢驗假說，再將有無揭露隱含價值報告書之金控、壽險公司分群，資料從2009至2015年底的日資料與季資料，利用統計學兩獨立樣本T檢定與無母數Wilcoxon檢定方式，分別比較兩群金控、壽險公司股價與財務變數表現。實證結果顯示，隱含價值能提供有價值之資訊，並且有揭露隱含價值的壽險公司在財務變數的資產、稅後淨利、ROE和ROA波動度顯著表現較好與穩定；有揭露隱含價值的金控公司在股價變數表現方面皆顯著更好。整體而言，自願性揭露隱含價值確實能提供有價值的資訊給投資大眾。因此，建議未來主管機關也能將是否強制要求壽險公司揭露隱含價值納入考量，以作為金融政策監理之參考。zh_TW
dc.description.abstract (摘要) Life insurers in Taiwan began disclosing voluntarily their embedded value (EV) a few years ago. By the end of 2016, there were 3 Financial Holding Companies (FHC) and 3 insurers disclosing their EV in the first-quarter financial report every year. They hope to increase the stock price and liquidity through voluntary disclosure of EV which may reduce the information asymmetry for the investors. The stock prices of life insurers in Taiwan are significantly lower than their EVs, and the voluntary disclosure of EV is not common. Therefore, this paper intends to study whether the disclosure of EV provides valuable information to the investor. Based on the data of FHC and life insurers during 2009-2015, this study compares the operating stability, stock price and financial performance between the firms with and without disclosure of EV. The empirical results show that the life insurers with EV disclosure present better profiles in Asset, Net Income, ROE and ROA Volatility, and the FHC with EV disclosure outperform in stock price, volume, turnover, market value, and price book ratio. Therefore, this study concludes that voluntary disclosure of EV does provide valuable information to the investors.en_US
dc.description.tableofcontents 第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究範圍與限制 7
第二章 文獻回顧 10
第一節 隱含價值法介紹 10
第二節 國外隱含價值論文研究 13
第三節 國內隱含價值論文研究 17
第三章 研究方法 20
第一節 研究假設 20
第二節 研究樣本與資料來源 22
第三節 研究方法 23
第四章 敘述統計結果 32
第五章 實證結果 38
第一節 3種模型迴歸分析之結果 38
第二節 壽險公司財務變數比較分析之結果 44
第三節 金控公司股票變數比較分析之結果 46
第六章 結論與建議 48
第一節 結論 48
第二節 建議 49
第三節 研究限制 50
參考文獻 51		zh_TW
dc.format.extent 1381344 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0104358003en_US
dc.subject (關鍵詞) 壽險公司zh_TW
dc.subject (關鍵詞) 隱含價值zh_TW
dc.subject (關鍵詞) 有價值的資訊zh_TW
dc.subject (關鍵詞) Life insurersen_US
dc.subject (關鍵詞) Embedded valueen_US
dc.subject (關鍵詞) Valuable informationen_US
dc.title (題名) 隱含價值揭露與壽險公司財務資訊之關聯性zh_TW
dc.title (題名) The relevance between embedded value disclosure and financial information of life insureren_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 西方文獻
(1) Barton, J., Waymire, G.(2004).”Investor Protection under Unregulated Financial Reporting.” Journal of Accounting & Economics, 38(3):65-116.
(2) Campbell, B.C., Bennett, N.E., Kaster, M.L., and Segal,S.A.(2002). “Embedded Value of Life Insurance Product Lines.”Boston Annual Meeting, 28(3):1-36
(3) CFO Forum (2004).“European Embedded Value Principles and Basis for Conclusions.”Available at http://www.cfoforum.nl/letters/eev_principles.pdf
(4) CFO Forum (2009).“Market Consistent Embedded Value Principles. ” Available at
http://www.cfoforum.nl/downloads/MCEV_Principles_and_Guidance_October_2009.pdf.
(5) Daske, H.; L, Hail; C, Leuz; and R.Verdi.(2008). “Mandatory IFRS Reporting Around the World: Early Evidence on the Economic Consequences.” Journal of Accounting Research 46(5):108-142
(6) El-Gazzar, S.M., Jacob, R.A., McGregor, S.P.(2015).“ The Relative and Incremental Valuation Effects of Embedded Value Disclosure by Life Insurers: Evidence from Cross-Listed Firms in the U.S.”Accounting Horizons, 29(2):327-339.
(7) Forte, G., Mattei, J., and Tudini, E. (2011). “The Value Relevance of Embedded value disclosures: Evidence from European Life Insurance Companies.” Working Paper. Available at http://ssrn.com/abstract=1911372
(8) Gerstner, T., Lohmaier, D. and Richter, A.(2015).“Value Relevance of Life Insurers’ Embedded Value Disclosure and Implications for IFRS 4 Phase II.” Munich Risk and Insurance Center Working Paper No. 27, Available at www.mric.lmu.de/research/wp
(9) Hail, L.(2011).“Discussion of Consequences and Institutional Determinants of Unregulated Corporate Financial Statements: Evidence from Embedded Value Reporting.” Journal of Accounting Research, 49(2):573–594.
(10) Klumpes,P.J.M.(2005). “Managerial Cash-Flow or Accounting Performance Measures:Evidence from the U.K. Life insurance industry”The Geneva Pappers, 30(1):171-186
(11) Kwan, Simon H. (2002). “Bank Security Prices and Market Discipline.” FRBSF Economic Letter 2002-37, December 20. Available at http://www.frbsf.org/economic-research/files/el2002-37.pdf
(12) Leuz, C., Wysocki, P.(2008).”Economic Consequences of Financial Reporting and Disclosure Regulation: A Review and Suggestions for Future Research.”54(2):525-622
(13) Lippl, C. and Paetzmann, K. (2013). “Accounting for European Insurance M&A Transactions: Fair Value of Insurance Contracts and Duplex IFRS/U.S. GAAP Purchase Accounting. The Geneva Papers on Risk and Insurance” Issues and Practice,38(2):332–353.
(14) Lopez,J.A. (2003). “Disclosure as a Supervisory Tool: Pillar 3 of Basel II.” FRBSF Economic Letter 2003-22 (August 1). Available at http://www.frbsf.org/economic-research/publications/economic-letter/2003/august/disclosure-as-a-supervisory-tool-pillar-3-of-basel-ii/
(15) Prefontaine, J., Desrochers, J., Godbout L.(2009). ”The Informational Content Of Voluntary Embedded Value(EV) Financial Disclosures By Canadian Life Insurance Companies.” International Business & Economics Research Journal, 8(12):332-353
(16) Serafeim, G.(2011).“Consequences and Institutional Determinants of Unregulated Corporate Financial Statements: Evidence from Embedded Value Reporting.” Journal of Accounting Research, 49(2):529-571
(17) Wu, R. C.-F., Hsu, A. W.-H. (2011). “Value Relevance of Embedded Value and IFRS 4 Insurance Contracts.” The Geneva Papers, 36(2):283–303.
(18) Zimmermann, J., Veith, S., Schymczyk ,J.(2015). ”Measuring Risk Premiums Using Financial Reports and Actuarial Disclosures.”The Geneva Papers,40(2):209-231

中文文獻
(1) 李寧(2007)。准备金评估方法对寿险公司内含价值影响的分析。南開大學，金融與保險學專業，頁11-26。
(2) 林俊吉(2012)。隱含價值報告品質對壽險公司信用評等之影響。輔仁大學，金融與國際企業學系金融碩士班，頁6-18。
(3) 洪敏三(2004)。壽險保單隱含價值之探討。國立高雄第一科技大學，風險管理與保險所，頁1-10。
(4) 孫骅(2008) 。寿险公司的内含价值估值理论及应用。上海交通大學，工商管理專業，頁9-17。
(5) 高渭川(2015)。國際財務報導準則第四號(IFRS 4)-保險合約會計第二階段(Phase II)研究案. 金融管理委員會一○四年度委託研究計畫, 頁9-12。
(6) 陳慧珊(2004)。壽險保單隱含價值之探討。國立高雄第一科技大學，風險管理與保險所，頁9-15。
(7) 陳宗岡(2012)。隱含價值報告品質對壽險公司信用評等之影響。輔仁大學，金融與國際企業學系金融碩士班，頁1-18。
(8) 蔡宗佑(2008)。 人壽保險業評價方法之趨勢研究。國立臺灣大學，會計學研究所，頁26-35。
(9) 謝明華(2010)。壽險業準備金評估方法之國際發展趨勢研究。 行政院金融監督管理委員會九十九年度委託研究計畫。頁122-129。		zh_TW