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題名 銀行董監股權質押對銀行信用風險之影響
The Impact of Share Pledging by Bank Directors and Supervisors on Bank Credit Risks作者 李承澔
LEE, CHENG-HAO貢獻者 湛可南
Chan, Konan
李承澔
LEE, CHENG-HAO關鍵詞 股權質押
銀行信用風險
逾期放款(不良債權)
銀行規模
內部人誘因
風險行為
Share Pledging
Bank Credit Risk
Non-Performing Loans
Bank Size
Insider Incentives
Risk Behaviors日期 2025 上傳時間 1-Jul-2025 14:51:10 (UTC+8) 摘要 本研究探討銀行董監事進行股權質押對銀行信用風險的影響，補足現有文獻對此議題的忽略。以 2007 年至 2024 年之台灣 29 家銀行為樣本，實證結果顯示：銀行董監質押與銀行逾期放款比率呈顯著負相關，顯示董監事個人的財務（質押）壓力可能促使董監事採取更為保守的放款策略，且此效果在中小型銀行中更為明顯。此外，銀行董監質押比例較高時，異常放款成長亦顯著降低，進一步驗證了銀行董監個人的財務誘因對銀行放款行為的傳導機制。本研究進一步使用雙重差分模型處理內生性問題，採用 2011 年台灣《公司法》第 197-1 條限制質押股票投票權之修正案作為外生衝擊，發現該修正案施行後高質押銀行的逾期放款比率上升，顯示證實之因果關係成立。本研究亦透過多項穩健性檢定（包含替換銀行信用風險的應變數、調整實證研究的設定條件），證實主要結果之穩定性。本研究不僅填補質押與銀行風險領域文獻的空白，也揭示董監股權質押為影響銀行信用穩定的重要因子之一，並突顯銀行規模的重要調節角色。
This study investigates how share pledging by directors and supervisors (D&Ss) of banks influences bank credit risk, a topic largely overlooked in the existing literature. Using a panel dataset of 29 Taiwanese banks from 2007 to 2024, the analysis finds a negative association between D&Ss pledging and non-performing loan ratios, suggesting that bank D&Ss’ financial (pledging) pressure may incentivize conservative lending behavior and lower bank credit risk. This effect is more pronounced in smaller banks. Moreover, abnormal loan growth is significantly reduced under high pledging conditions, confirming a behavioral transmission channel. To address endogeneity, a difference-in-differences design leveraging the 2011 amendment to Taiwan’s Company Act that restricts the voting right of pledged shares shows that after the 2011 amendment banks with high D&Ss pledging have increased non-performing loan ratio, which further supports the causal relationship of empirical results. Multiple robustness tests—using alternative bank credit risk proxies and different empirical specifications—validate the findings. This study bridges pledging and banking risk research, highlights pledging as a potential determinant of bank credit stability, and reveals the moderating role of bank size.參考文獻 Altunbas, Yener, Leonardo Gambacorta, and David Marques-Ibanez (2010). Bank risk and monetary policy. Journal of Financial Stability 6, 121-129. Andres, Pablo de and Eleuterio Vallelado (2008). Corporate governance in banking: The role of the board of directors. Journal of Banking and Finance 32, 2570-2580. Avery, Robert B. and Allen N. Berger (1991). Loan commitments and bank risk exposure. Journal of Banking and Finance 15, 173-192. Bhagat, Sanjai, Brian Bolton, and Jun Lu (2015). Size, leverage, and risk-taking of financial institutions. Journal of Banking and Finance 59, 520-537. Berg, Tobias and Jasmin Gider (2015). What Explains the Difference in Leverage between Banks and Nonbanks? The Journal of Financial and Quantitative Analysis 52, 2677-2702. Chan, Konan, Hung-Kun Chen, Shing-yang Hu, and Yu-Jane Li (2018). Share pledges and margin call pressure. Journal of Corporate Finance 52, 96-117. Chen, Anlin and Lanfeng Kao (2011). Effect of collateral characteristics on bank performance: Evidence from collateralized stocks in Taiwan. Journal of Banking and Finance 35, 300-309. Chen, Po-Hua (2008). An Empirical Study of the Relationship between the Pledged Shares Ratio of Directors and the Operating Performance of the Financial Holding Companies. National Taiwan University, Taipei, Taiwan. Chou, Robin K., Yu-Chun Wang, and J. Jimmy Yang (2020). Share pledging, payout policy, and the value of cash holdings. Journal of Empirical Finance 61, 18-33. Cronqvist, Henrik, Anil K. Makhija, and Scott E. Yonker (2012). Behavioral consistency in corporate finance: CEO personal and corporate leverage. Journal of Financial Economics 103, 20-40. DeAngelo, Harry and René M. Stulz (2013). Liquid-claim production, risk management, and bank capital structure: Why high leverage is optimal for banks. Journal of Financial Economics 116, 219-236. Dou, Ying, Ronald W. Masulis, and Jason Zein (2019). Shareholder wealth consequences of insider pledging of company stock as collateral for personal loans. Review of Financial Studies 32, 4810-4854. Ellul, Andrew and Vijay Yerramilli (2013). Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies. The Journal of Finance 68, 1757-1803. Foos, Daniel, Lars Norden, and Martin Weber (2010). Loan growth and riskiness of banks. Journal of Banking and Finance 34, 2929-2940. Galasso, Alberto and Timothy S. Simcoe. (2011). CEO Overconfidence and Innovation. Management Science 57, 1469-1484. Gao, Yang, Yun Ling, and Hui Peng (2024). Before thrive, first survive: The impact of controlling shareholder pledging on corporate ESG performance. Pacific-Basin Finance Journal (In Press, Journal Pre-proof). Geng, Huixia, Hongbing Zhu, Wei Theng Lau, Nazrul Hisyam Ab Razak, and Normaziah Mohd Nor (2024). Exacerbate or alleviate? Impact of controlling shareholders’ share pledging on over-investment. Pacific-Basin Finance Journal 85, 102341. Gornall, Will and Ilya A. Strebulaev (2018). Financing as a supply chain: The capital structure of banks and borrowers. Journal of Financial Economics 129, 510-530. Gropp, Reint, Jukka Vesala, and Giuseppe Vulpes (2006). Equity and Bond Market Signals as Leading Indicators of Bank Fragility. Journal of Money, Credit and Banking 38, 399-428. Haslem, John A. (1968). A Statistical Analysis of the Relative Profitability of Commercial Banks. The Journal of Finance 23, 167-176. Ho, Po-Hsin, Chia-Wei Huang, Chih-Yung Lin, and Ju-Fang Yen (2016). CEO overconfidence and financial crisis: Evidence from bank lending and leverage. Journal of Financial Economics 120, 194-209. Hou, Xipei, Yinjie (Victor) Shen, Jing Xing, and Fuzhao Zhou (2023). Hastily announced: Mergers and acquisitions with pledging shareholders. Journal of Financial Stability 67, 101159. Jiang, Fuxiu, Xiaoxue Xia, and Xiaojia Zheng (2021). Does controlling shareholders’ share pledging raise suppliers’ eyebrows? Pacific-Basin Finance Journal 66, 101511. Leary, Mark T. (2009). Bank Loan Supply, Lender Choice, and Corporate Capital Structure. The Journal of Finance 64, 1143-1185. Lin, Chih-Yung, Yehning Chen, Po-Hsin Ho, and Ju-Fang Yen (2020). CEO overconfidence and bank loan contracting. Journal of Corporate Finance 64, 101637. Louzis, Dimitrios P., Angelos T. Vouldis, and Vasilios L. Metaxas (2012). Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios. Journal of Banking & Finance 36, 1012-1027. Malmendier, Ulrike and Geoffrey Tate (2005). CEO Overconfidence and Corporate Investment. The Journal of Finance 60. Nier, Erlend and Ursel Baumann (2005). Market discipline, disclosure and moral hazard in banking. Journal of Financial Intermediation 15, 332-361. Paligorova, Teodora and João A.C. Santos (2017). Monetary policy and bank risk-taking: Evidence from the corporate loan market. Journal of Financial Intermediation 30, 35-49. Pan, Xiaofei and Meijun Qian (2024). Firm Financing through Insider Stock Pledges. Review of Finance. Pang, Caiji and Ying Wang (2020). Stock pledge, risk of losing control and corporate innovation. Journal of Corporate Finance 60, 101534. Pathan, Shams (2009). Strong boards, CEO power and bank risk-taking. Journal of Banking and Finance 33, 1340-1350. Qin, Xiao and Ze Wang (2023). Share pledge financing network and systemic risks: Evidence from China. Journal of Banking and Finance 152, 106871. Sironi, Andrea (2003). Testing for Market Discipline in the European Banking Industry: Evidence from Subordinated Debt Issues. Journal of Money, Credit and Banking 35, 443-472. Srivastav, Abhishek and Jens Hagendorff (2015). Corporate Governance and Bank Risk- taking. Review of Corporate Governance 24, 334-345. Xu, Jingjing and Haijie Huang (2021) Pay more or pay less? The impact of controlling shareholders’ share pledging on firms’ dividend payouts. Pacific-Basin Finance Journal 65, 101493. Zhang Dayong, Jing Cai, David G. Dickinson, and Ali M. Kutan (2016). Non-performing loans, moral hazard and regulation of the Chinese commercial banking system. Journal of Banking and Finance 63, 48-60. Zhou, Jingting, Wanli Li, Ziqiao Yan, and Huaili Ly (2021). Controlling shareholder share pledging and stock price crash risk: Evidence from China. International Review of Financial Analysis 77, 101839. 描述 碩士
國立政治大學
財務管理學系
112357020資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357020 資料類型 thesis dc.contributor.advisor 湛可南 zh_TW dc.contributor.advisor Chan, Konan en_US dc.contributor.author (Authors) 李承澔 zh_TW dc.contributor.author (Authors) LEE, CHENG-HAO en_US dc.creator (作者) 李承澔 zh_TW dc.creator (作者) LEE, CHENG-HAO en_US dc.date (日期) 2025 en_US dc.date.accessioned 1-Jul-2025 14:51:10 (UTC+8) - dc.date.available 1-Jul-2025 14:51:10 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2025 14:51:10 (UTC+8) - dc.identifier (Other Identifiers) G0112357020 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157778 - 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) 112357020 zh_TW dc.description.abstract (摘要) 本研究探討銀行董監事進行股權質押對銀行信用風險的影響，補足現有文獻對此議題的忽略。以 2007 年至 2024 年之台灣 29 家銀行為樣本，實證結果顯示：銀行董監質押與銀行逾期放款比率呈顯著負相關，顯示董監事個人的財務（質押）壓力可能促使董監事採取更為保守的放款策略，且此效果在中小型銀行中更為明顯。此外，銀行董監質押比例較高時，異常放款成長亦顯著降低，進一步驗證了銀行董監個人的財務誘因對銀行放款行為的傳導機制。本研究進一步使用雙重差分模型處理內生性問題，採用 2011 年台灣《公司法》第 197-1 條限制質押股票投票權之修正案作為外生衝擊，發現該修正案施行後高質押銀行的逾期放款比率上升，顯示證實之因果關係成立。本研究亦透過多項穩健性檢定（包含替換銀行信用風險的應變數、調整實證研究的設定條件），證實主要結果之穩定性。本研究不僅填補質押與銀行風險領域文獻的空白，也揭示董監股權質押為影響銀行信用穩定的重要因子之一，並突顯銀行規模的重要調節角色。 zh_TW dc.description.abstract (摘要) This study investigates how share pledging by directors and supervisors (D&Ss) of banks influences bank credit risk, a topic largely overlooked in the existing literature. Using a panel dataset of 29 Taiwanese banks from 2007 to 2024, the analysis finds a negative association between D&Ss pledging and non-performing loan ratios, suggesting that bank D&Ss’ financial (pledging) pressure may incentivize conservative lending behavior and lower bank credit risk. This effect is more pronounced in smaller banks. Moreover, abnormal loan growth is significantly reduced under high pledging conditions, confirming a behavioral transmission channel. To address endogeneity, a difference-in-differences design leveraging the 2011 amendment to Taiwan’s Company Act that restricts the voting right of pledged shares shows that after the 2011 amendment banks with high D&Ss pledging have increased non-performing loan ratio, which further supports the causal relationship of empirical results. Multiple robustness tests—using alternative bank credit risk proxies and different empirical specifications—validate the findings. This study bridges pledging and banking risk research, highlights pledging as a potential determinant of bank credit stability, and reveals the moderating role of bank size. en_US dc.description.tableofcontents 1. Introduction 1 2. Literature Review & Hypotheses 4 2.1. Share Pledging Literature 5 2.2. Banking Literature 7 2.3. Hypotheses Development 10 3. Methodology & Data 12 3.1. Methodology 12 3.2. Data Collection 13 3.3. Variable Definition 14 3.4. Regression Models 18 3.5. Descriptive Statistics 19 4. Empirical Results 20 4.1. Main Results 20 4.2. Solution to Endogeneity 23 4.3. Robustness Tests 25 5. Conclusion 27 References 30 Tables 34 zh_TW dc.format.extent 9017509 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357020 en_US dc.subject (關鍵詞) 股權質押 zh_TW dc.subject (關鍵詞) 銀行信用風險 zh_TW dc.subject (關鍵詞) 逾期放款(不良債權) zh_TW dc.subject (關鍵詞) 銀行規模 zh_TW dc.subject (關鍵詞) 內部人誘因 zh_TW dc.subject (關鍵詞) 風險行為 zh_TW dc.subject (關鍵詞) Share Pledging en_US dc.subject (關鍵詞) Bank Credit Risk en_US dc.subject (關鍵詞) Non-Performing Loans en_US dc.subject (關鍵詞) Bank Size en_US dc.subject (關鍵詞) Insider Incentives en_US dc.subject (關鍵詞) Risk Behaviors en_US dc.title (題名) 銀行董監股權質押對銀行信用風險之影響 zh_TW dc.title (題名) The Impact of Share Pledging by Bank Directors and Supervisors on Bank Credit Risks en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Altunbas, Yener, Leonardo Gambacorta, and David Marques-Ibanez (2010). Bank risk and monetary policy. Journal of Financial Stability 6, 121-129. Andres, Pablo de and Eleuterio Vallelado (2008). Corporate governance in banking: The role of the board of directors. Journal of Banking and Finance 32, 2570-2580. Avery, Robert B. and Allen N. Berger (1991). Loan commitments and bank risk exposure. Journal of Banking and Finance 15, 173-192. Bhagat, Sanjai, Brian Bolton, and Jun Lu (2015). Size, leverage, and risk-taking of financial institutions. Journal of Banking and Finance 59, 520-537. Berg, Tobias and Jasmin Gider (2015). What Explains the Difference in Leverage between Banks and Nonbanks? The Journal of Financial and Quantitative Analysis 52, 2677-2702. Chan, Konan, Hung-Kun Chen, Shing-yang Hu, and Yu-Jane Li (2018). Share pledges and margin call pressure. Journal of Corporate Finance 52, 96-117. Chen, Anlin and Lanfeng Kao (2011). Effect of collateral characteristics on bank performance: Evidence from collateralized stocks in Taiwan. Journal of Banking and Finance 35, 300-309. Chen, Po-Hua (2008). An Empirical Study of the Relationship between the Pledged Shares Ratio of Directors and the Operating Performance of the Financial Holding Companies. National Taiwan University, Taipei, Taiwan. Chou, Robin K., Yu-Chun Wang, and J. Jimmy Yang (2020). Share pledging, payout policy, and the value of cash holdings. Journal of Empirical Finance 61, 18-33. Cronqvist, Henrik, Anil K. Makhija, and Scott E. Yonker (2012). Behavioral consistency in corporate finance: CEO personal and corporate leverage. Journal of Financial Economics 103, 20-40. DeAngelo, Harry and René M. Stulz (2013). Liquid-claim production, risk management, and bank capital structure: Why high leverage is optimal for banks. Journal of Financial Economics 116, 219-236. Dou, Ying, Ronald W. Masulis, and Jason Zein (2019). Shareholder wealth consequences of insider pledging of company stock as collateral for personal loans. Review of Financial Studies 32, 4810-4854. Ellul, Andrew and Vijay Yerramilli (2013). Stronger Risk Controls, Lower Risk: Evidence from U.S. Bank Holding Companies. The Journal of Finance 68, 1757-1803. Foos, Daniel, Lars Norden, and Martin Weber (2010). Loan growth and riskiness of banks. Journal of Banking and Finance 34, 2929-2940. Galasso, Alberto and Timothy S. Simcoe. (2011). CEO Overconfidence and Innovation. Management Science 57, 1469-1484. Gao, Yang, Yun Ling, and Hui Peng (2024). Before thrive, first survive: The impact of controlling shareholder pledging on corporate ESG performance. Pacific-Basin Finance Journal (In Press, Journal Pre-proof). Geng, Huixia, Hongbing Zhu, Wei Theng Lau, Nazrul Hisyam Ab Razak, and Normaziah Mohd Nor (2024). Exacerbate or alleviate? Impact of controlling shareholders’ share pledging on over-investment. Pacific-Basin Finance Journal 85, 102341. Gornall, Will and Ilya A. Strebulaev (2018). Financing as a supply chain: The capital structure of banks and borrowers. Journal of Financial Economics 129, 510-530. Gropp, Reint, Jukka Vesala, and Giuseppe Vulpes (2006). Equity and Bond Market Signals as Leading Indicators of Bank Fragility. Journal of Money, Credit and Banking 38, 399-428. Haslem, John A. (1968). A Statistical Analysis of the Relative Profitability of Commercial Banks. The Journal of Finance 23, 167-176. Ho, Po-Hsin, Chia-Wei Huang, Chih-Yung Lin, and Ju-Fang Yen (2016). CEO overconfidence and financial crisis: Evidence from bank lending and leverage. Journal of Financial Economics 120, 194-209. Hou, Xipei, Yinjie (Victor) Shen, Jing Xing, and Fuzhao Zhou (2023). Hastily announced: Mergers and acquisitions with pledging shareholders. Journal of Financial Stability 67, 101159. Jiang, Fuxiu, Xiaoxue Xia, and Xiaojia Zheng (2021). Does controlling shareholders’ share pledging raise suppliers’ eyebrows? Pacific-Basin Finance Journal 66, 101511. Leary, Mark T. (2009). Bank Loan Supply, Lender Choice, and Corporate Capital Structure. The Journal of Finance 64, 1143-1185. Lin, Chih-Yung, Yehning Chen, Po-Hsin Ho, and Ju-Fang Yen (2020). CEO overconfidence and bank loan contracting. Journal of Corporate Finance 64, 101637. Louzis, Dimitrios P., Angelos T. Vouldis, and Vasilios L. Metaxas (2012). Macroeconomic and bank-specific determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan portfolios. Journal of Banking & Finance 36, 1012-1027. Malmendier, Ulrike and Geoffrey Tate (2005). CEO Overconfidence and Corporate Investment. The Journal of Finance 60. Nier, Erlend and Ursel Baumann (2005). Market discipline, disclosure and moral hazard in banking. Journal of Financial Intermediation 15, 332-361. Paligorova, Teodora and João A.C. Santos (2017). Monetary policy and bank risk-taking: Evidence from the corporate loan market. Journal of Financial Intermediation 30, 35-49. Pan, Xiaofei and Meijun Qian (2024). Firm Financing through Insider Stock Pledges. Review of Finance. Pang, Caiji and Ying Wang (2020). Stock pledge, risk of losing control and corporate innovation. Journal of Corporate Finance 60, 101534. Pathan, Shams (2009). Strong boards, CEO power and bank risk-taking. Journal of Banking and Finance 33, 1340-1350. Qin, Xiao and Ze Wang (2023). Share pledge financing network and systemic risks: Evidence from China. Journal of Banking and Finance 152, 106871. Sironi, Andrea (2003). Testing for Market Discipline in the European Banking Industry: Evidence from Subordinated Debt Issues. Journal of Money, Credit and Banking 35, 443-472. Srivastav, Abhishek and Jens Hagendorff (2015). Corporate Governance and Bank Risk- taking. Review of Corporate Governance 24, 334-345. Xu, Jingjing and Haijie Huang (2021) Pay more or pay less? The impact of controlling shareholders’ share pledging on firms’ dividend payouts. Pacific-Basin Finance Journal 65, 101493. Zhang Dayong, Jing Cai, David G. Dickinson, and Ali M. Kutan (2016). Non-performing loans, moral hazard and regulation of the Chinese commercial banking system. Journal of Banking and Finance 63, 48-60. Zhou, Jingting, Wanli Li, Ziqiao Yan, and Huaili Ly (2021). Controlling shareholder share pledging and stock price crash risk: Evidence from China. International Review of Financial Analysis 77, 101839. zh_TW
