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題名 產險公司之再保險與資本結構決策
Reinsurance and Capital Structure Decisions in Non-life Insurance Firms作者 李瀟一
Li, Xiaoyi貢獻者 許永明
Shiu, Yung-Ming
李瀟一
Li, Xiaoyi關鍵詞 再保險
資本結構
目標資本結構
資本結構調整速度
Reinsurance
Capital structure
Target capital structure
Speed of capital structure adjustment日期 2021 上傳時間 2-九月-2021 16:01:41 (UTC+8) 摘要 使用美國產險公司資料，利用再保險作為風險管理代理變數，本研究包含三篇文章，探討產險公司之再保險與資本結構決策。已知風險管理可以幫助企業增加槓桿，然而少有文獻探討風險管理對於目標槓桿之作用。第一篇文章探討風險管理（再保險）與目標資本結構的關係。研究發現，再保險與目標槓桿之間存在顯著正相關並且有助於提升目標槓桿的穩定性。此外，再保險對於目標槓桿的正向作用可長達10年。為緩解再保險與目標資本結構的潛在內生性，我們利用颶風卡崔娜（2005）和珊迪（2012）作为外生衝擊，使用difference-in-differences(DID)方法再次檢驗本文主要結論。過去文獻探討風險管理對槓桿有正向作用。然而對於此正向作用通過何種機制產生，並未做進一步探討。為了解答此問題，在第二篇文章中，利用美國產險公司2001到2019年的資料，將資本結構分解成兩個部分：目標資本結構和資本結構偏離，進而探討風險管理（再保險）通過何種路徑對資本結構產生影響。結果顯示，風險管理對目標資本結構有正向作用，然而對於資本結構偏離無明顯作用。此結論與假說一致，說明風險管理促使資本結構增加主要來自於目標資本結構的增加。此外，在主動資本結構偏離中，再保險可以幫助保險公司更加有效的調整資本結構。基於前兩篇文章研究結果：風險管理對於目標資本結構有正向作用，第三篇文章研究風險管理（再保險）對於目標資本結構的重要性，即風險管理是否應該作為重要因子納入目標資本結構之預估。根據共變數分析（analysis of covariance）與相對重要性分析（dominance analysis），結果顯示，再保險是解釋產險公司目標資本結構變動的重要因子。具體來說，再保險可解釋20.4%的目標資本結構（由system GMM方法估計）變動。此外，本文也探討在不同情境下，再保險對於目標資本結構的重要性。結果亦顯示，再保險對於公司規模大，槓桿高，或多角化經營的產險公司之目標資本結構發揮更重要的作用。
This dissertation includes three essays regarding risk management (reinsurance) and capital structure decisions in financial institutions using data on US non-life insurance firms. Given that active risk management policy can permit a higher leverage, few studies regarding the implications of risk management on optimal/target capital structure exist. In essay 1, we investigate the effect of reinsurance on target capital structure. Insurance firms with more reinsurance tend to increase target leverage: there is a significantly positive relation between reinsurance and target leverage. Additional evidence suggests that insurance firms with more reinsurance can boost the stability of their target capital structure in the long term. Besides, the positive effect of reinsurance on target capital structure is shown to be persistent for over 10 years. To mitigate the potential endogeneity concerns between reinsurance and target, using Hurricanes Katrina (2005) and Sandy (2012) as exogenous shocks, we employ difference-in-differences (DID) to confirm the results.Previous studies have shown that risk management is positively related to capital structure. However, the mechanisms of the effects of risk management on capital structure are not known. To address this question, in essay 2, using panel data on US non-life insurance firms from 2001 to 2019, we decompose capital structure into two components: target capital structure and deviation from target capital structure. The results show that reinsurance has a significantly positive effect on target leverage but no effect on deviations from target leverage, which indicates that the positive effect of reinsurance on capital structure mainly results from an increase in target leverage. Besides, reinsurance helps to adjust faster in active deviations than in passive deviations.According to the findings of essays 1 and 2, given that risk management (reinsurance) has an effect on target capital structure, the empirical evidence on whether risk management would be an essential factor in target capital structure estimation is scarce. In essay 3, we address the question: Is risk management essential to be considered in target capital structure estimation? We investigate the importance of reinsurance for target capital structure. The results relying on the analysis of covariance (ANCOVA) and dominance analysis show that reinsurance is a vital factor for target capital structures of non-life insurance firms. Especially for the target capital structure estimated by system GMM, the total variation of target capital structure explained by reinsurance is approximately 20.4%. We also explore the importance of reinsurance in different circumstances. The results suggest that the effect of reinsurance is more significant for insurance firms with large size, high leverage, or more diversification.參考文獻 Chapter 1: Does risk management affect target leverage in financial institutions?Adiel, R., (1996). Reinsurance and the Management of Regulatory Ratios and Taxes in the Property—Casualty Insurance Industry. Journal of Accounting and Economics 22, 207-240Anand, V., Tyler Leverty, J., Wunder, K., (2021). Paying for Expertise: The Effect of Experience on Insurance Demand. Journal of Risk and Insurance 88, 727-756Barrot, J.-N., Sauvagnat, J., (2016). Input Specificity and the Propagation of Idiosyncratic Shocks in Production Networks. The Quarterly Journal of Economics 131, 1543-1592Chauhan, G.S., Huseynov, F., (2018). Corporate Financing and Target Behavior: New Tests and Evidence. Journal of Corporate Finance 48, 840-856Chen, T., Goh, J.R., Kamiya, S., Lou, P., (2019a). Marginal Cost of Risk-Based Capital and Risk-Taking. Journal of Banking & Finance 103, 130-145Chen, X., Higgins, E., Xia, H., Zou, H., (2019b). Do Financial Regulations Shape the Functioning of Financial Institutions’ Risk Management in Asset-Backed Securities Investment? Review of Financial Studies 33, 2506-2553Cheng, J., Weiss, M.A., (2012). Capital Structure in the Property‐ Liability Insurance Industry: Tests of the Tradeoff and Pecking Order Theories. Journal of Insurance Issues 35, 1-43Cook, D.O., Fu, X.D., Tang, T., (2016). Are Target Leverage Ratios Stable? Investigating the Impact of Corporate Asset Restructuring. Journal of Empirical Finance 35, 150-168Cummins, J.D., Nini, G.P., (2002). Optimal Capital Utilization by Financial Firms: Evidence from the Property-Liability Insurance Industry. Journal of Financial Services Research 21, 15-53Fama, E.F., French, K.R., (2002). Testing Trade-Off and Pecking Order Predictions About Dividends and Debt. Review of Financial Studies 15, 1-33Faulkender, M., Flannery, M.J., Hankins, K.W., Smith, J.M., (2012). Cash Flows and Leverage Adjustments. Journal of Financial Economics 103, 632-646Fier, S.G., McCullough, K.A., Carson, J.M., (2013). Internal Capital Markets and the Partial Adjustment of Leverage. Journal of Banking & Finance 37, 1029-1039Fischer, E.O., Heinkel, R., Zechner, J., (1989). Dynamic Capital Structure Choice: Theory and Tests. The Journal of Finance 44, 19-40Flannery, M.J., Rangan, K.P., (2006). Partial Adjustment toward Target Capital Structures. Journal of Financial Economics 79, 469-506Graham, J.R., Harvey, C.R., (2001). The Theory and Practice of Corporate Finance: Evidence from the Field. Journal of Financial Economics 60, 187-243Graham, J.R., Rogers, D.A., (2002). Do Firms Hedge in Response to Tax Incentives? The Journal of Finance 57, 815-839Harford, J., Klasa, S., Walcott, N., (2009). Do Firms Have Leverage Targets? Evidence from Acquisitions. Journal of Financial Economics 93, 1-14Hovakimian, A., (2004). The Role of Target Leverage in Security Issues and Repurchases. The Journal of Business 77, 1041-1072Hovakimian, A., Hovakimian, G., Tehranian, H., (2004). Determinants of Target Capital Structure: The Case of Dual Debt and Equity Issues. Journal of Financial Economics 71, 517-540Hovakimian, A., Li, G., (2011). In Search of Conclusive Evidence: How to Test for Adjustment to Target Capital Structure. Journal of Corporate Finance 17, 33-44Hovakimian, A., Opler, T., Titman, S., (2001). The Debt-Equity Choice. Journal of Financial and Quantitative Analysis 36, 1-24Im, H.J., Kang, Y., Shon, J., (2020). How Does Uncertainty Influence Target Capital Structure? Journal of Corporate Finance 64, 101642Lambrinoudakis, C., Skiadopoulos, G., Gkionis, K., (2019). Capital Structure and Financial Flexibility: Expectations of Future Shocks. Journal of Banking and Finance 104, 1-18Leary, M.T., Roberts, M.R., (2005). Do Firms Rebalance Their Capital Structures? The Journal of Finance 60, 2575-2619Leland, H.E., (1998). Agency Costs, Risk Management, and Capital Structure. The Journal of Finance 53, 1213-1243Mankai, S., Belgacem, A., (2016). Interactions between Risk Taking, Capital, and Reinsurance for Property-Liability Insurance Firms. Journal of Risk and Insurance 83, 1007-1043Mayers, D., Smith, C.W., (1990). On the Corporate Demand for Insurance: Evidence from the Reinsurance Market. The Journal of Business 63, 19-40Myers, S.C., (1984). The Capital Structure Puzzle. The Journal of Finance 39, 574-592Powell, L.S., Sommer, D.W., (2007). Internal Versus External Capital Markets in the Insurance Industry: The Role of Reinsurance. Journal of Financial Services Research 31, 173-188Rampini, A.A., Viswanathan, S., Vuillemey, G., (2020). Risk Management in Financial Institutions. The Journal of Finance 75, 591-637Shim, J., (2010). Capital-Based Regulation, Portfolio Risk and Capital Determination: Empirical Evidence from the Us Property–Liability Insurers. Journal of Banking & Finance 34, 2450-2461Shiu, Y.M., (2016). Is Reinsurance a Substitute for or a Complement to Derivative Usage? Evidence from the Uk Non-Life Insurance Industry. Geneva Papers on Risk and Insurance-Issues and Practice 41, 161-178Titman, S., Wessels, R., (1988). The Determinants of Capital Structure Choice. The Journal of Finance 43, 1-19Zhou, Q., Tan, K.J.K., Faff, R., Zhu, Y., (2016). Deviation from Target Capital Structure, Cost of Equity and Speed of Adjustment. Journal of Corporate Finance 39, 99-120Chapter 2: How and when does risk management affect capital structure? Evidence from capital structure decompositionAdiel, R., (1996). Reinsurance and the Management of Regulatory Ratios and Taxes in the Property—Casualty Insurance Industry. Journal of Accounting and Economics 22, 207-240Anand, V., Tyler Leverty, J., Wunder, K., (2021). Paying for Expertise: The Effect of Experience on Insurance Demand. Journal of Risk and Insurance 88, 727-756Chauhan, G.S., Huseynov, F., (2018). Corporate Financing and Target Behavior: New Tests and Evidence. Journal of Corporate Finance 48, 840-856Chen, T., Goh, J.R., Kamiya, S., Lou, P., (2019a). Marginal Cost of Risk-Based Capital and Risk-Taking. Journal of Banking & Finance 103, 130-145Chen, X., Higgins, E., Xia, H., Zou, H., (2019b). Do Financial Regulations Shape the Functioning of Financial Institutions’ Risk Management in Asset-Backed Securities Investment? Review of Financial Studies 33, 2506-2553Cole, C.R., McCullough, K.A., (2006). A Reexamination of the Corporate Demand for Reinsurance. Journal of Risk and Insurance 73, 169-192Cook, D.O., Tang, T., (2010). Macroeconomic Conditions and Capital Structure Adjustment Speed. Journal of Corporate Finance 16, 73-87Cummins, J.D., Nini, G.P., (2002). Optimal Capital Utilization by Financial Firms: Evidence from the Property-Liability Insurance Industry. Journal of Financial Services Research 21, 15-53Cummins, D.J., Sommer, D.W., (1996). Capital and Risk in Property-Liability Insurance Markets. Journal of Banking & Finance 20, 1069-1092Fama, E.F., French, K.R., (2002). Testing Trade-Off and Pecking Order Predictions About Dividends and Debt. Review of Financial Studies 15, 1-33Faulkender, M., Flannery, M.J., Hankins, K.W., Smith, J.M., (2012). Cash Flows and Leverage Adjustments. Journal of Financial Economics 103, 632-646Fier, S.G., McCullough, K.A., Carson, J.M., (2013). Internal Capital Markets and the Partial Adjustment of Leverage. Journal of Banking & Finance 37, 1029-1039Flannery, M.J., Rangan, K.P., 2006. Partial Adjustment toward Target Capital Structures. Journal of Financial Economics 79, 469-506Froot, K.A., Scharfstein, D.S., Stein, J.C., (1993). Risk Management: Coordinating Corporate Investment and Financing Policies. The Journal of Finance 48, 1629-1658Graham, J.R., Rogers, D.A., (2002). Do Firms Hedge in Response to Tax Incentives? The Journal of Finance 57, 815-839Guay, W.R., (1999). The Impact of Derivatives on Firm Risk: An Empirical Examination of New Derivative Users. Journal of Accounting and Economics 26, 319-351Haushalter, G.D., (2000). Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers. The Journal of Finance 55, 107-152He, W., Hu, M.R., Mi, L., Yu, J., (2021). How Stable Are Corporate Capital Structures? International Evidence. Journal of Banking & Finance 126Hovakimian, A., Hovakimian, G., (2019). Corporate Leverage and the Dynamics of Its Components. Journal of Financial and Quantitative Analysis 56, 1-32Im, H.J., Kang, Y., Shon, J., (2020). How Does Uncertainty Influence Target Capital Structure? Journal of Corporate Finance 64, 101642Leland, H.E., (1998). Agency Costs, Risk Management, and Capital Structure. The Journal of Finance 53, 1213-1243Lockhart, G.B., (2014). Credit Lines and Leverage Adjustments. Journal of Corporate Finance 25, 274-288Mankai, S., Belgacem, A., (2016). Interactions between Risk Taking, Capital, and Reinsurance for Property-Liability Insurance Firms. Journal of Risk and Insurance 83, 1007-1043Niehaus, G., (2018). Managing Capital Via Internal Capital Market Transactions: The Case of Life Insurers. Journal of Risk and Insurance 85, 69-106PÉREZ-GONZÁLEZ, F., YUN, H., (2013). Risk Management and Firm Value: Evidence from Weather Derivatives. The Journal of Finance 68, 2143-2176Powell, L.S., Sommer, D.W., (2007). Internal Versus External Capital Markets in the Insurance Industry: The Role of Reinsurance. Journal of Financial Services Research 31, 173-188Powell, L.S., Sommer, D.W., Eckles, D.L., (2008). The Role of Internal Capital Markets in Financial Intermediaries: Evidence from Insurer Groups. Journal of Risk and Insurance 75, 439-461Rahman, S., (2020). Credit Supply and Capital Structure Adjustments. Financial Management 49, 949-972Shim, J., (2010). Capital-Based Regulation, Portfolio Risk and Capital Determination: Empirical Evidence from the Us Property–Liability Insurers. Journal of Banking & Finance 34, 2450-2461Shiu, Y.M., (2011). Reinsurance and Capital Structure: Evidence from the United Kingdom Non-Life Insurance Industry. Journal of Risk and Insurance 78, 475-494Smith, C.W., Stulz, R.M., (1985). The Determinants of Firms` Hedging Policies. The Journal of Financial and Quantitative Analysis 20, 391-405Warner, J.B., (1977). Bankruptcy Costs: Some Evidence. The Journal of Finance 32, 337-347Welch, I., (2004). Capital Structure and Stock Returns. Journal of Political Economy 112, 106-131Yin, Q.E., Ritter, J.R., (2020). The Speed of Adjustment to the Target Market Value Leverage Is Slower Than You Think. Journal of Financial and Quantitative Analysis 55, 1946-1977Chapter 3: Is risk management reliably important in estimating target capital structure?Adiel, R., (1996). Reinsurance and the Management of Regulatory Ratios and Taxes in the Property—Casualty Insurance Industry. Journal of Accounting and Economics 22, 207-240Antoniou, A., Guney, Y., Paudyal, K., (2008). The Determinants of Capital Structure: Capital Market-Oriented Versus Bank-Oriented Institutions. Journal of Financial and Quantitative Analysis 43, 59-92Blundell, R., Bond, S., (1998). Initial Conditions and Moment Restrictions in Dynamic Panel Data Models. Journal of Econometrics 87, 115-143Bond, S.R., (2002). Dynamic Panel Data Models: A Guide to Micro Data Methods and Practice. Portuguese Economic Journal 1, 141-162Chauhan, G.S., Huseynov, F., (2018). Corporate Financing and Target Behavior: New Tests and Evidence. Journal of Corporate Finance 48, 840-856Cook, D.O., Fu, X.D., Tang, T., (2016). Are Target Leverage Ratios Stable? Investigating the Impact of Corporate Asset Restructuring. Journal of Empirical Finance 35, 150-168Cook, D.O., Tang, T., (2010). Macroeconomic Conditions and Capital Structure Adjustment Speed. Journal of Corporate Finance 16, 73-87Faulkender, M., Flannery, M.J., Hankins, K.W., Smith, J.M., (2012). Cash Flows and Leverage Adjustments. Journal of Financial Economics 103, 632-646Fier, S.G., McCullough, K.A., Carson, J.M., (2013). Internal Capital Markets and the Partial Adjustment of Leverage. Journal of Banking & Finance 37, 1029-1039Flannery, M.J., Hankins, K.W., (2013). Estimating Dynamic Panel Models in Corporate Finance. Journal of Corporate Finance 19, 1-19Flannery, M.J., Rangan, K.P., (2006). Partial Adjustment toward Target Capital Structures. Journal of Financial Economics 79, 469-506Frank, M.Z., Goyal, V.K., (2009). Capital Structure Decisions: Which Factors Are Reliably Important ? Financial Management 38, 1-37Froot, K.A., Stein, J.C., (1998). Risk Management, Capital Budgeting, and Capital Structure Policy for Financial Institutions: An Integrated Approach. Journal of Financial Economics 47, 55-82Graham, J.R., Rogers, D.A., (2002). Do Firms Hedge in Response to Tax Incentives? The Journal of Finance 57, 815-839Guay, W., Kothari, S.P., (2003). How Much Do Firms Hedge with Derivatives? Journal of Financial Economics 70, 423-461Guay, W.R., (1999). The Impact of Derivatives on Firm Risk: An Empirical Examination of New Derivative Users. Journal of Accounting and Economics 26, 319-351Harford, J., Klasa, S., Walcott, N., (2009). Do Firms Have Leverage Targets? Evidence from Acquisitions. Journal of Financial Economics 93, 1-14Hovakimian, A., Hovakimian, G., Tehranian, H., (2004). Determinants of Target Capital Structure: The Case of Dual Debt and Equity Issues. Journal of Financial Economics 71, 517-540Hovakimian, A., Li, G., (2011). In Search of Conclusive Evidence: How to Test for Adjustment to Target Capital Structure. Journal of Corporate Finance 17, 33-44Hovakimian, A., Opler, T., Titman, S., (2001). The Debt-Equity Choice. Journal of Financial and Quantitative Analysis 36, 1-24Huang, R.B., Ritter, J.R., (2009). Testing Theories of Capital Structure and Estimating the Speed of Adjustment. Journal of Financial and Quantitative Analysis 44, 237-271Im, H.J., Kang, Y., Shon, J., (2020). How Does Uncertainty Influence Target Capital Structure? Journal of Corporate Finance 64, 101642Leland, H.E., (1998). Agency Costs, Risk Management, and Capital Structure. Journal of Finance 53, 1213-1243Lemmon, M.L., Roberts, M.R., Zender, J.F., (2008). Back to the Beginning: Persistence and the Cross-Section of Corporate Capital Structure. The Journal of Finance 63, 1575-1608Mayers, D., Smith, C.W., (1982). On the Corporate Demand for Insurance. Journal of Business 55, 281-296Mayers, D., Smith, C.W., (1990). On the Corporate Demand for Insurance: Evidence from the Reinsurance Market. The Journal of Business 63, 19-40Myers, S.C., (1984). The Capital Structure Puzzle. The Journal of Finance 39, 574-592Oeztekin, O., Flannery, M.J., (2012). Institutional Determinants of Capital Structure Adjustment Speeds. Journal of Financial Economics 103, 88-112Oztekin, O., (2015). Capital Structure Decisions around the World: Which Factors Are Reliably Important? Journal of Financial and Quantitative Analysis 50, 301-323Powell, L.S., Sommer, D.W., Eckles, D.L., (2008). The Role of Internal Capital Markets in Financial Intermediaries: Evidence from Insurer Groups. Journal of Risk and Insurance 75, 439-461Rajan, R.G., Zingales, L., (1995). What Do We Know About Capital Structure - Some Evidence from International Data. The Journal of Finance 50, 1421-1460Shiu, Y.M., (2011). Reinsurance and Capital Structure: Evidence from the United Kingdom Non-Life Insurance Industry. Journal of Risk and Insurance 78, 475-494Uysal, V.B., (2011). Deviation from the Target Capital Structure and Acquisition Choices. Journal of Financial Economics 102, 602-620Ye, D., Ng, Y.K., Lian, Y., (2015). Culture and Happiness. Social Indicators Research 123, 519-547Zhou, Q., Tan, K.J.K., Faff, R., Zhu, Y., (2016). Deviation from Target Capital Structure, Cost of Equity and Speed of Adjustment. Journal of Corporate Finance 39, 99-120 描述 博士
國立政治大學
風險管理與保險學系
105358504資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105358504 資料類型 thesis dc.contributor.advisor 許永明 zh_TW dc.contributor.advisor Shiu, Yung-Ming en_US dc.contributor.author (作者) 李瀟一 zh_TW dc.contributor.author (作者) Li, Xiaoyi en_US dc.creator (作者) 李瀟一 zh_TW dc.creator (作者) Li, Xiaoyi en_US dc.date (日期) 2021 en_US dc.date.accessioned 2-九月-2021 16:01:41 (UTC+8) - dc.date.available 2-九月-2021 16:01:41 (UTC+8) - dc.date.issued (上傳時間) 2-九月-2021 16:01:41 (UTC+8) - dc.identifier (其他 識別碼) G0105358504 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/136856 - dc.description (描述) 博士 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) 105358504 zh_TW dc.description.abstract (摘要) 使用美國產險公司資料，利用再保險作為風險管理代理變數，本研究包含三篇文章，探討產險公司之再保險與資本結構決策。已知風險管理可以幫助企業增加槓桿，然而少有文獻探討風險管理對於目標槓桿之作用。第一篇文章探討風險管理（再保險）與目標資本結構的關係。研究發現，再保險與目標槓桿之間存在顯著正相關並且有助於提升目標槓桿的穩定性。此外，再保險對於目標槓桿的正向作用可長達10年。為緩解再保險與目標資本結構的潛在內生性，我們利用颶風卡崔娜（2005）和珊迪（2012）作为外生衝擊，使用difference-in-differences(DID)方法再次檢驗本文主要結論。過去文獻探討風險管理對槓桿有正向作用。然而對於此正向作用通過何種機制產生，並未做進一步探討。為了解答此問題，在第二篇文章中，利用美國產險公司2001到2019年的資料，將資本結構分解成兩個部分：目標資本結構和資本結構偏離，進而探討風險管理（再保險）通過何種路徑對資本結構產生影響。結果顯示，風險管理對目標資本結構有正向作用，然而對於資本結構偏離無明顯作用。此結論與假說一致，說明風險管理促使資本結構增加主要來自於目標資本結構的增加。此外，在主動資本結構偏離中，再保險可以幫助保險公司更加有效的調整資本結構。基於前兩篇文章研究結果：風險管理對於目標資本結構有正向作用，第三篇文章研究風險管理（再保險）對於目標資本結構的重要性，即風險管理是否應該作為重要因子納入目標資本結構之預估。根據共變數分析（analysis of covariance）與相對重要性分析（dominance analysis），結果顯示，再保險是解釋產險公司目標資本結構變動的重要因子。具體來說，再保險可解釋20.4%的目標資本結構（由system GMM方法估計）變動。此外，本文也探討在不同情境下，再保險對於目標資本結構的重要性。結果亦顯示，再保險對於公司規模大，槓桿高，或多角化經營的產險公司之目標資本結構發揮更重要的作用。 zh_TW dc.description.abstract (摘要) This dissertation includes three essays regarding risk management (reinsurance) and capital structure decisions in financial institutions using data on US non-life insurance firms. Given that active risk management policy can permit a higher leverage, few studies regarding the implications of risk management on optimal/target capital structure exist. In essay 1, we investigate the effect of reinsurance on target capital structure. Insurance firms with more reinsurance tend to increase target leverage: there is a significantly positive relation between reinsurance and target leverage. Additional evidence suggests that insurance firms with more reinsurance can boost the stability of their target capital structure in the long term. Besides, the positive effect of reinsurance on target capital structure is shown to be persistent for over 10 years. To mitigate the potential endogeneity concerns between reinsurance and target, using Hurricanes Katrina (2005) and Sandy (2012) as exogenous shocks, we employ difference-in-differences (DID) to confirm the results.Previous studies have shown that risk management is positively related to capital structure. However, the mechanisms of the effects of risk management on capital structure are not known. To address this question, in essay 2, using panel data on US non-life insurance firms from 2001 to 2019, we decompose capital structure into two components: target capital structure and deviation from target capital structure. The results show that reinsurance has a significantly positive effect on target leverage but no effect on deviations from target leverage, which indicates that the positive effect of reinsurance on capital structure mainly results from an increase in target leverage. Besides, reinsurance helps to adjust faster in active deviations than in passive deviations.According to the findings of essays 1 and 2, given that risk management (reinsurance) has an effect on target capital structure, the empirical evidence on whether risk management would be an essential factor in target capital structure estimation is scarce. In essay 3, we address the question: Is risk management essential to be considered in target capital structure estimation? We investigate the importance of reinsurance for target capital structure. The results relying on the analysis of covariance (ANCOVA) and dominance analysis show that reinsurance is a vital factor for target capital structures of non-life insurance firms. Especially for the target capital structure estimated by system GMM, the total variation of target capital structure explained by reinsurance is approximately 20.4%. We also explore the importance of reinsurance in different circumstances. The results suggest that the effect of reinsurance is more significant for insurance firms with large size, high leverage, or more diversification. en_US dc.description.tableofcontents ContentsAbstract 1Chapter 1: Does risk management affect target leverage in financial institutions? 31. Introduction 32. Prediction from theory 63. Empirical framework 84. Data and empirical results 104.1 Sample selection 104.2 Descriptive statistics 104.3 Empirical results 114.3.1 Baseline regressions 114.3.2 Capital adequacy requirements and reinsurance 134.3.3 Endogeneity: Target capital structure and reinsurance 145. Conclusion 15References 17Chapter 2: How and when does risk management affect capital structure? Evidence from capital structure decomposition 351. Introduction 352. Hypothesis 392.1 The effect of risk management on target capital structure 392.2 The effect of risk management on deviation from target capital structure 403. Empirical framework 414. Data and empirical results 434.1 Data 434.2 Empirical results 445. Additional analysis 465.1 Regulatory pressure and reinsurance 465.2 Internal reinsurance versus external reinsurance 476. Robustness check on endogeneity concerns 487. Conclusion 49References 51Chapter 3: Is risk management reliably important in estimating target capital structure? 661. Introduction 662. Risk management and capital structure theories 692.1 Trade-off theory 692.2 Pecking order theory 693. Data and model 703.1 Data 703.2 Model 714. Empirical results 724.1 Target capital structure estimation 724.2 Variance decomposition of target capital structure 734.3 Dominance Analysis 744.4 The importance of reinsurance in different circumstances 755.Robustness check 766. Conclusion 77References 78 zh_TW dc.format.extent 2410631 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105358504 en_US dc.subject (關鍵詞) 再保險 zh_TW dc.subject (關鍵詞) 資本結構 zh_TW dc.subject (關鍵詞) 目標資本結構 zh_TW dc.subject (關鍵詞) 資本結構調整速度 zh_TW dc.subject (關鍵詞) Reinsurance en_US dc.subject (關鍵詞) Capital structure en_US dc.subject (關鍵詞) Target capital structure en_US dc.subject (關鍵詞) Speed of capital structure adjustment en_US dc.title (題名) 產險公司之再保險與資本結構決策 zh_TW dc.title (題名) Reinsurance and Capital Structure Decisions in Non-life Insurance Firms en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Chapter 1: Does risk management affect target leverage in financial institutions?Adiel, R., (1996). Reinsurance and the Management of Regulatory Ratios and Taxes in the Property—Casualty Insurance Industry. Journal of Accounting and Economics 22, 207-240Anand, V., Tyler Leverty, J., Wunder, K., (2021). 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Deviation from Target Capital Structure, Cost of Equity and Speed of Adjustment. Journal of Corporate Finance 39, 99-120 zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202101284 en_US
