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題名 經理人能力對企業違約風險影響
The Impact of Managerial Ability on Default Risk
作者 林祐民
Lin, Yu-Min
貢獻者 湛可南
Chan, Ko-Nan
林祐民
Lin, Yu-Min
關鍵詞 經理人能力
違約風險
研發強度
經理人雙元性
企業社會責任
Managerial Ability
Default Risk
R&D Intensity
CEO Duality
CSR Engagement
日期 2023
上傳時間 2-Aug-2023 12:59:36 (UTC+8)
摘要 本研究利用美國上市公司 2001~2020 年資料，探討經理人能力對於公司違約風險之影響。實證結果發現經理人能力會降低公司的違約風險，由於經理人能力與違約風險存在嚴重的內生性問題，本研究透過兩階段最小平方法與差異中的差異法消除潛在的內生性問題，在解決內生性後，實證結論不變。最後，本文透過通道分析研究研發強度、經理人雙元性、及企業社會責任三種通道，探討經理人能力對違約風險之影響，本文發現研發強度會增強經理人能力與違約風險之負相關性，而經理人雙元性及企業社會責任則會減弱經理人能力與違約風險之負相關性。
We examine the impact of managerial ability on corporate default risk based on US companies from 2001 to 2020. Our results show that managerial ability can lower corporate default risk. However, there might exist severe endogeneity between managerial ability and default risk. To mitigate potential endogeneity concern, we conduct two stage least squares regressions and difference-in-difference analyses, and our results remain unchanged. We further investigate the effect of R&D intensity, CEO duality, and CSR engagement on our baseline result. We find that R&D intensity would strengthen the negative impact of managerial ability on default risk, while CEO duality and CSR engagement would weaken the negative impact of managerial ability on default risk.
參考文獻 Adams, R., Keloharju, M., & Knüpfer, S. (2018). Are CEOs born leaders? Lessons from traits of a million individuals. Journal of Financial Economics, 130(2), 392-408.
     Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23(4), 589-609.
     Attig, N., El Ghoul, S., Guedhami, O., & Suh, J. (2013). Corporate social responsibility and credit ratings. Journal of Business Ethics, 117, 679-694.
     Baghdadi, G. A., Nguyen, L. H., & Podolski, E. J. (2020). Board co-option and default risk. Journal of Corporate Finance, 64, 101703.
     Bennedsen, M., Pérez‐González, F., & Wolfenzon, D. (2020). Do CEOs matter? Evidence from hospitalization events. The Journal of Finance, 75(4), 1877-1911.
     Bolton, P., Freixas, X., & Shapiro, J. (2012). The credit ratings game. The Journal of Finance, 67(1), 85-111.
     Bonsall IV, S. B., Holzman, E. R., & Miller, B. P. (2017). Managerial ability and credit risk assessment. Management Science, 63(5), 1425-1449.
     Brogaard, J., Li, D., & Xia, Y. (2017). Stock liquidity and default risk. Journal of Financial Economics, 124(3), 486-502.
     Chava, S., & Purnanandam, A. (2010). Is default risk negatively related to stock returns? The Review of Financial Studies, 23(6), 2523-2559.
     Chemmanur, T. J., & Paeglis, I. (2005). Management quality, certification, and initial public offerings. Journal of Financial Economics, 76(2), 331-368.
     Chemmanur, T. J., Paeglis, I., & Simonyan, K. (2009). Management quality, financial and investment policies, and asymmetric information. Journal of Financial and Quantitative Analysis, 44(5), 1045-1079.
     Chen, Y., Podolski, E. J., & Veeraraghavan, M. (2015). Does managerial ability facilitate corporate innovative success? Journal of Empirical Finance, 34, 313-326.
     Chen, W. T., Zhou, G. S., & Zhu, X. K. (2019). CEO tenure and corporate social responsibility performance. Journal of Business Research, 95, 292-302.
     Cheung, K. T. S., Naidu, D., Navissi, F., & Ranjeeni, K. (2017). Valuing talent: Do CEOs` ability and discretion unambiguously increase firm performance. Journal of Corporate Finance, 42, 15-35.
     Cornaggia, K. J., Krishnan, G. V., & Wang, C. (2017). Managerial ability and credit ratings. Contemporary Accounting Research, 34(4), 2094-2122.
     Custódio, C., & Metzger, D. (2013). How do CEOs matter? The effect of industry expertise on acquisition returns. The Review of Financial Studies, 26(8), 2008-2047.
     De Franco, G., Hope, O. K., & Lu, H. (2017). Managerial ability and bank‐loan pricing. Journal of Business Finance & Accounting, 44(9-10), 1315-1337.
     Demerjian, P., Lev, B., & McVay, S. (2012). Quantifying managerial ability: A new measure and validity tests. Management Science, 58(7), 1229-1248.
     Doukas, J. A., & Zhang, R. (2021). Managerial ability, corporate social culture, and M&As. Journal of Corporate Finance, 68, 101942.
     Driouchi, T., Chen, M., Lyu, Z., Bennett, D. J., & So, R. H. (2022). Ambiguity, managerial ability, and growth options. British Journal of Management, 33(3), 1323-1345.
     Eckbo, B. E., Thorburn, K. S., & Wang, W. (2016). How costly is corporate bankruptcy for the CEO? Journal of Financial Economics, 121(1), 210-229.
     Falato, A., Li, D., & Milbourn, T. (2015). Which skills matter in the market for CEOs? Evidence from pay for CEO credentials. Management Science, 61(12), 2845-2869.
     Faleye, O., Kovacs, T., & Venkateswaran, A. (2014). Do better-connected CEOs innovate more? Journal of Financial and Quantitative Analysis, 49(5-6), 1201-1225.
     Fama, E. F., & French, K. R. (1997). Industry costs of equity. Journal of Financial Economics, 43(2), 153-193.
     García, C. J., Herrero, B., & Morillas, F. (2022). Corporate board and default risk of financial firms. Economic Research-Ekonomska Istraživanja, 35(1), 511-528.
     Gan, H. (2019). Does CEO managerial ability matter? Evidence from corporate investment efficiency. Review of Quantitative Finance and Accounting, 52(4), 1085-1118.
     Giesecke, K., Longstaff, F. A., Schaefer, S., & Strebulaev, I. (2011). Corporate bond default risk: A 150-year perspective. Journal of Financial Economics, 102(2), 233-250.
     Goss, A., & Roberts, G. S. (2011). The impact of corporate social responsibility on the cost of bank loans. Journal of Banking & Finance, 35(7), 1794-1810.
     Goyal, V. K., & Park, C. W. (2002). Board leadership structure and CEO turnover. Journal of Corporate Finance, 8(1), 49-66.
     Graham, J. R., Li, S., & Qiu, J. (2012). Managerial attributes and executive compensation. The Review of Financial Studies, 25(1), 144-186.
     Hilscher, J., & Wilson, M. (2017). Credit ratings and credit risk: Is one measure enough? Management Science, 63(10), 3414-3437.
     Hsu, P. H., Lee, H. H., Liu, A. Z., & Zhang, Z. (2015). Corporate innovation, default risk, and bond pricing. Journal of Corporate Finance, 35, 329-344.
     Jiraporn, P., Jiraporn, N., Boeprasert, A., & Chang, K. (2014). Does corporate social responsibility (CSR) improve credit ratings? Evidence from geographic identification. Financial Management, 43(3), 505-531.
     Kaplan, S. N., Klebanov, M. M., & Sorensen, M. (2012). Which CEO characteristics and abilities matter? The Journal of Finance, 67(3), 973-1007.
     Koester, A., Shevlin, T., & Wangerin, D. (2017). The role of managerial ability in corporate tax avoidance. Management Science, 63(10), 3285-3310.
     Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. The Journal of Finance, 29(2), 449-470.
     Mishra, D. R. (2014). The dark side of CEO ability: CEO general managerial skills and cost of equity capital. Journal of Corporate Finance, 29, 390-409.
     Mishra, C. S. (2019). Does managerial ability drive firm innovativeness? IEEE Transactions on Engineering Management, 68(4), 1139-1154.
     Molina, C. A. (2005). Are firms underleveraged? An examination of the effect of leverage on default probabilities. The Journal of Finance, 60(3), 1427-1459.
     Ohlson, J. A. (1980). Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research, 109-131.
     Petersen, M. A. (2009). Estimating standard errors in finance panel data sets: Comparing approaches. The Review of Financial Studies, 22(1), 435-480.
     Valta, P. (2012). Competition and the cost of debt. Journal of Financial Economics, 105(3), 661-682.
描述 碩士
國立政治大學
財務管理學系
110357024
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357024
資料類型 thesis
dc.contributor.advisor 湛可南zh_TW
dc.contributor.advisor Chan, Ko-Nanen_US
dc.contributor.author (Authors) 林祐民zh_TW
dc.contributor.author (Authors) Lin, Yu-Minen_US
dc.creator (作者) 林祐民zh_TW
dc.creator (作者) Lin, Yu-Minen_US
dc.date (日期) 2023en_US
dc.date.accessioned 2-Aug-2023 12:59:36 (UTC+8)-
dc.date.available 2-Aug-2023 12:59:36 (UTC+8)-
dc.date.issued (上傳時間) 2-Aug-2023 12:59:36 (UTC+8)-
dc.identifier (Other Identifiers) G0110357024en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146286-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 110357024zh_TW
dc.description.abstract (摘要) 本研究利用美國上市公司 2001~2020 年資料，探討經理人能力對於公司違約風險之影響。實證結果發現經理人能力會降低公司的違約風險，由於經理人能力與違約風險存在嚴重的內生性問題，本研究透過兩階段最小平方法與差異中的差異法消除潛在的內生性問題，在解決內生性後，實證結論不變。最後，本文透過通道分析研究研發強度、經理人雙元性、及企業社會責任三種通道，探討經理人能力對違約風險之影響，本文發現研發強度會增強經理人能力與違約風險之負相關性，而經理人雙元性及企業社會責任則會減弱經理人能力與違約風險之負相關性。zh_TW
dc.description.abstract (摘要) We examine the impact of managerial ability on corporate default risk based on US companies from 2001 to 2020. Our results show that managerial ability can lower corporate default risk. However, there might exist severe endogeneity between managerial ability and default risk. To mitigate potential endogeneity concern, we conduct two stage least squares regressions and difference-in-difference analyses, and our results remain unchanged. We further investigate the effect of R&D intensity, CEO duality, and CSR engagement on our baseline result. We find that R&D intensity would strengthen the negative impact of managerial ability on default risk, while CEO duality and CSR engagement would weaken the negative impact of managerial ability on default risk.en_US
dc.description.tableofcontents 1. Introduction 1
     2. Literature Review and Hypothesis Development 6
     2.1. Default Risk 6
     2.2. Managerial Ability 7
     2.3. Hypothesis Development 8
     3. Methodology 12
     3.1. Data and Sample Construction 12
     3.2. Measurement of Variables 12
     3.2.1. Default Risk 12
     3.2.2. Managerial Ability 14
     3.2.3. Control Variables 15
     3.3. Research Design 15
     4. Empirical Results 17
     4.1. Descriptive Statistics 17
     4.2. Univariate Analysis 18
     4.3. Robustness Test Using Alternative Measurements 19
     4.3.1. Alternative Measurements for Default Risk 19
     4.3.2. Alternative Measurements for Managerial Ability 20
     4.4. Endogeneity Test 21
     4.4.1. Two Stage Least Squares Regression 21
     4.4.2. Difference-in-Difference Analysis 22
     4.5. Channel Analysis 23
     4.5.1. R&D Intensity Channel 23
     4.5.2. CEO Duality Channel 24
     4.5.3. CSR Engagement Channel 25
     5. Conclusion 27
     Reference 29
     Appendix 33		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357024en_US
dc.subject (關鍵詞) 經理人能力zh_TW
dc.subject (關鍵詞) 違約風險zh_TW
dc.subject (關鍵詞) 研發強度zh_TW
dc.subject (關鍵詞) 經理人雙元性zh_TW
dc.subject (關鍵詞) 企業社會責任zh_TW
dc.subject (關鍵詞) Managerial Abilityen_US
dc.subject (關鍵詞) Default Risken_US
dc.subject (關鍵詞) R&D Intensityen_US
dc.subject (關鍵詞) CEO Dualityen_US
dc.subject (關鍵詞) CSR Engagementen_US
dc.title (題名) 經理人能力對企業違約風險影響zh_TW
dc.title (題名) The Impact of Managerial Ability on Default Risken_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Adams, R., Keloharju, M., & Knüpfer, S. (2018). Are CEOs born leaders? Lessons from traits of a million individuals. Journal of Financial Economics, 130(2), 392-408.
     Altman, E. I. (1968). Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. The Journal of Finance, 23(4), 589-609.
     Attig, N., El Ghoul, S., Guedhami, O., & Suh, J. (2013). Corporate social responsibility and credit ratings. Journal of Business Ethics, 117, 679-694.
     Baghdadi, G. A., Nguyen, L. H., & Podolski, E. J. (2020). Board co-option and default risk. Journal of Corporate Finance, 64, 101703.
     Bennedsen, M., Pérez‐González, F., & Wolfenzon, D. (2020). Do CEOs matter? Evidence from hospitalization events. The Journal of Finance, 75(4), 1877-1911.
     Bolton, P., Freixas, X., & Shapiro, J. (2012). The credit ratings game. The Journal of Finance, 67(1), 85-111.
     Bonsall IV, S. B., Holzman, E. R., & Miller, B. P. (2017). Managerial ability and credit risk assessment. Management Science, 63(5), 1425-1449.
     Brogaard, J., Li, D., & Xia, Y. (2017). Stock liquidity and default risk. Journal of Financial Economics, 124(3), 486-502.
     Chava, S., & Purnanandam, A. (2010). Is default risk negatively related to stock returns? The Review of Financial Studies, 23(6), 2523-2559.
     Chemmanur, T. J., & Paeglis, I. (2005). Management quality, certification, and initial public offerings. Journal of Financial Economics, 76(2), 331-368.
     Chemmanur, T. J., Paeglis, I., & Simonyan, K. (2009). Management quality, financial and investment policies, and asymmetric information. Journal of Financial and Quantitative Analysis, 44(5), 1045-1079.
     Chen, Y., Podolski, E. J., & Veeraraghavan, M. (2015). Does managerial ability facilitate corporate innovative success? Journal of Empirical Finance, 34, 313-326.
     Chen, W. T., Zhou, G. S., & Zhu, X. K. (2019). CEO tenure and corporate social responsibility performance. Journal of Business Research, 95, 292-302.
     Cheung, K. T. S., Naidu, D., Navissi, F., & Ranjeeni, K. (2017). Valuing talent: Do CEOs` ability and discretion unambiguously increase firm performance. Journal of Corporate Finance, 42, 15-35.
     Cornaggia, K. J., Krishnan, G. V., & Wang, C. (2017). Managerial ability and credit ratings. Contemporary Accounting Research, 34(4), 2094-2122.
     Custódio, C., & Metzger, D. (2013). How do CEOs matter? The effect of industry expertise on acquisition returns. The Review of Financial Studies, 26(8), 2008-2047.
     De Franco, G., Hope, O. K., & Lu, H. (2017). Managerial ability and bank‐loan pricing. Journal of Business Finance & Accounting, 44(9-10), 1315-1337.
     Demerjian, P., Lev, B., & McVay, S. (2012). Quantifying managerial ability: A new measure and validity tests. Management Science, 58(7), 1229-1248.
     Doukas, J. A., & Zhang, R. (2021). Managerial ability, corporate social culture, and M&As. Journal of Corporate Finance, 68, 101942.
     Driouchi, T., Chen, M., Lyu, Z., Bennett, D. J., & So, R. H. (2022). Ambiguity, managerial ability, and growth options. British Journal of Management, 33(3), 1323-1345.
     Eckbo, B. E., Thorburn, K. S., & Wang, W. (2016). How costly is corporate bankruptcy for the CEO? Journal of Financial Economics, 121(1), 210-229.
     Falato, A., Li, D., & Milbourn, T. (2015). Which skills matter in the market for CEOs? Evidence from pay for CEO credentials. Management Science, 61(12), 2845-2869.
     Faleye, O., Kovacs, T., & Venkateswaran, A. (2014). Do better-connected CEOs innovate more? Journal of Financial and Quantitative Analysis, 49(5-6), 1201-1225.
     Fama, E. F., & French, K. R. (1997). Industry costs of equity. Journal of Financial Economics, 43(2), 153-193.
     García, C. J., Herrero, B., & Morillas, F. (2022). Corporate board and default risk of financial firms. Economic Research-Ekonomska Istraživanja, 35(1), 511-528.
     Gan, H. (2019). Does CEO managerial ability matter? Evidence from corporate investment efficiency. Review of Quantitative Finance and Accounting, 52(4), 1085-1118.
     Giesecke, K., Longstaff, F. A., Schaefer, S., & Strebulaev, I. (2011). Corporate bond default risk: A 150-year perspective. Journal of Financial Economics, 102(2), 233-250.
     Goss, A., & Roberts, G. S. (2011). The impact of corporate social responsibility on the cost of bank loans. Journal of Banking & Finance, 35(7), 1794-1810.
     Goyal, V. K., & Park, C. W. (2002). Board leadership structure and CEO turnover. Journal of Corporate Finance, 8(1), 49-66.
     Graham, J. R., Li, S., & Qiu, J. (2012). Managerial attributes and executive compensation. The Review of Financial Studies, 25(1), 144-186.
     Hilscher, J., & Wilson, M. (2017). Credit ratings and credit risk: Is one measure enough? Management Science, 63(10), 3414-3437.
     Hsu, P. H., Lee, H. H., Liu, A. Z., & Zhang, Z. (2015). Corporate innovation, default risk, and bond pricing. Journal of Corporate Finance, 35, 329-344.
     Jiraporn, P., Jiraporn, N., Boeprasert, A., & Chang, K. (2014). Does corporate social responsibility (CSR) improve credit ratings? Evidence from geographic identification. Financial Management, 43(3), 505-531.
     Kaplan, S. N., Klebanov, M. M., & Sorensen, M. (2012). Which CEO characteristics and abilities matter? The Journal of Finance, 67(3), 973-1007.
     Koester, A., Shevlin, T., & Wangerin, D. (2017). The role of managerial ability in corporate tax avoidance. Management Science, 63(10), 3285-3310.
     Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. The Journal of Finance, 29(2), 449-470.
     Mishra, D. R. (2014). The dark side of CEO ability: CEO general managerial skills and cost of equity capital. Journal of Corporate Finance, 29, 390-409.
     Mishra, C. S. (2019). Does managerial ability drive firm innovativeness? IEEE Transactions on Engineering Management, 68(4), 1139-1154.
     Molina, C. A. (2005). Are firms underleveraged? An examination of the effect of leverage on default probabilities. The Journal of Finance, 60(3), 1427-1459.
     Ohlson, J. A. (1980). Financial ratios and the probabilistic prediction of bankruptcy. Journal of Accounting Research, 109-131.
     Petersen, M. A. (2009). Estimating standard errors in finance panel data sets: Comparing approaches. The Review of Financial Studies, 22(1), 435-480.
     Valta, P. (2012). Competition and the cost of debt. Journal of Financial Economics, 105(3), 661-682.		zh_TW