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題名 民營化與經理人薪酬對聯貸條件之影響 作者 吳周燕
Wu, Chou Yen貢獻者 張元晨
Chang, Yuan Chen
吳周燕
Wu, Chou Yen關鍵詞 民營化
政府股權
聯合貸款
聯貸費用
經理人薪酬
聯貸利率加碼
財務限制條款
privatization
government ownership
syndicated loan
fee
executive compensations
spread
covenants日期 2015 上傳時間 27-七月-2015 11:21:58 (UTC+8) 摘要 【第一部份論文中文摘要】本文使用1993 年至2007 年間67 家實施部分及完全民營化公司為樣本，探討國營企業民營化後對聯貸條件之影響。實證結果顯示，民營化後若政府沒有控制權，則聯貸利差擴大，若完全民營化則會被銀行要求提供擔保品，此外，借款公司的信用風險比較會透過聯貸利差及相關費用反映出來，比較不會透過聯貸金額或到期日等條件反映。這些實證結果與本文假說一致，顯示政府保證效果在民營化過程中對於銀行借款是一項重要因素。【第二部份論文中文摘要】本部分論文以美國1992年至2010年有銀行聯貸之1,560家借款公司及71家銀行為樣本，探討銀行CEO薪酬對於銀行風險及聯貸條件的影響。實證結果顯示非銀行業借款公司CEO的Vega與股票報酬變動度、系統性風險及非系統性風險間為顯著負向關係，但是其Delta則與股票報酬變動度為顯著正向關係，隱含CEO的Vega不會顯著提高股票報酬的風險，但Delta則會顯著提高股票報酬的風險。在探討CEO薪酬對聯貸條件影響時，結果顯示Vega及Delta與聯貸利率加碼間為顯著負向關係，但與財務限制個數間並無顯著關係存在。CEO相對負債權益比與聯貸利率加碼為顯著負向關係，隱含當CEO相對負債權益比較高時，的確會傾向降低公司風險，因此聯貸利率加碼較低。銀行業借款的實證結果顯示，銀行CEO的Vega及Delta均會顯著提高股票報酬的風險，且與Z-Score有負向關係但並未具統計上顯著性。此外，銀行CEO的Vega均與聯貸利率加碼及財務限制條款之個數間為正向關係，Delta則與聯貸利率加碼有正向關係，與財務限制條款之個數間為負向關係，但以上結果不具有統計上之顯著性。實證結果隱含，由於銀行業彼此間有資訊優勢，CEO的風險性薪酬對銀行營運之影響反而無法如同一般產業之公司明顯反映於聯貸條件上。
【第一部份論文英文摘要】Using a sample of 67 partially and fully privatized firms, this paper investigates the effect of privatization on loan conditions from 1993 to 2007. The empirical results show that loan spreads widen when governments have no control right after privatization. In addition, loans are more likely to be secured when firms are fully privatized. The empirical results also show that credit risk of borrowing companies is more likely reflected through price-term conditions. These results are consistent with the hypothesis that implicit government guarantee is an important factor for bank loans during the privatization process.【第二部份論文英文摘要】Using sample of syndicated loans by 1,560 borrowing companies and 71 banks from 1992 to 2010, this paper investigates how CEO risk-taking incentives affect the syndicated loan conditions. For the results based on industrial firms’ syndicated loans, we find that CEO’s Vega is negatively related with stock return volatility, systemic risk, and idiosyncratic risk. Besides, there is a significantly positive relation between CEO’s Delta and stock return volatility. The results imply that CEO’s Vega lowers stock return volatility. However, CEO’s Delta raises the risk of stock return volatility, which is consistent with the findings in previous literature. We also find that both CEO’s Vega and Delta have negative relation with loan spreads but insignificantly related to financial covenants. Moreover, CEO’s debt to equity ratio to firm’s leverage has negative impacts on loan spreads. This implies that higher CEO’s debt to equity ratio to firm’s leverage promotes CEO to reduce firm risk resulting in lower spreads.For the results based on banks’ syndicated loans, we provide evidence that both bank CEOs’ Vega and Delta have significantly positive relations on the risk of stock returns. In additions, they have insignificantly negative relation with banks’ Z-Score. We also find that higher CEOs’ Vega leads to higher loan spreads and more covenants. Higher CEOs’ Delta are associated with higher spread but fewer covenants. The results imply that banks in the financial industry are familiar with each other, thus CEO risk-taking incentives may have insignificantly impacts on loan conditions relative to industrial companies.參考文獻 【第一部份論文】Ahn, S. and Choi, W., 2009, “The Role of Bank Monitoring in Corporate Governance: Evidence from Borrowers’ Earnings Management Behavior,” Journal of Banking and Finance, Vol. 33, No. 2, 425-434.Baiman, S. and Verrecchia, R. E., 1996, “The Relation Among Capital Markets, Financial Disclosure, Production Efficiency, and Insider Trading,” Journal of Accounting Research, Vol. 34, No. 1, 1-22.Ben-Nasr, H., Boubakri, N., and Cosset, J., 2012, “The Political Determinants of the Cost of Equity: Evidence from Newly Privatized Firms,” Journal of Accounting Research, Vol. 50, No. 3, 605-646.Berg, T., Saunders, A., and Steffen, S., 2012, “The Total Costs of Corporate Borrowing in the Loan Market: Don`t Ignore the Fees.” Working paper, Bonn University, New York University, and ESMT European School of Management and Technology.Borisova, G. and Megginson, W. L., 2011, “Does Government Ownership Affect the Cost of Debt? Evidence from Privatization,” Review of Financial Studies, Vol. 24, No. 8, 2693-2737.Borisova, G. F., V. Holland, K. V., and Megginson, W. L., 2012, “Government Ownership and the Cost of Debt: Evidence from Government Investments in Publicly Traded Firms.” Working paper, Iowa State University, Bocconi University, and University of Oklahoma.Bortolotti, B. and Faccio, M., 2009, “Government Control of Privatized Firms,” Review of Financial Studies, Vol. 22, No. 8, 2907-2939.Brown, C. Q. and Dinc, I. S., 2005, “The Politics of Bank Failures: Evidence from Emerging Markets,” Quarterly Journal of Economics, Vol. 120, No. 4, 1413-1444.D’Souza, J. and Megginson, W. L., 1999, “The Financial and Operating Performance of Privatized Firms during the 1990s,” Journal of Finance, Vol. 54, No. 4, 1397-1438.D’Souza, J., Megginson, W. L., and Nash, R., 2007, “The Effects of Changes in Corporate Governance and Restructurings on Operating Performance: Evidence from Privatizations,” Global Financial Journal, Vol. 18, No. 2, 157-184.Dass, N. and Massa, M., 2011, “The Impact of a Strong Bank-Firm Relationship on the Borrowing Firm,” Review of Financial Studies, Vol. 24, No. 4, 1204-1260.Diamond, D. W. and Verrecchia, R. E., 1991, “Disclosure, Liquidity, and the Cost of Capital,” Journal of Finance, Vol. 46, No. 4, 1325-1359.Diamond, D. W., 1984, “Financial Intermediation and Delegated Monitoring,” Review of Economic Studies, Vol. 51, No. 3, 393-414.Faccio, M., Masulis, R. W., and McConnell, J. J., 2006, “Political Connections and Corporate Bailouts,” Journal of Finance, Vol. 61, No. 6, 2597-2635.Fan, J., Wong, T. J., and Zhang, T., 2007, “Politically Connected CEOs, Corporate Governance, and Post-IPO Performance of China’s Newly Partially Privatized Firms,” Journal of Financial Economics, Vol. 84, No. 2, 330-357.Focarellia, D., Pozzolob, A. F., and Casolaroc, L., 2008, “The Pricing Effect of Certification on Syndicated Loans,” Journal of Monetary Economics, Vol. 55, No. 2, 335-349.La Porta, R., Lopez-de-Silanes, F., and Shleifer, A., 1999, “Corporate Ownership around the World,” Journal of Finance, Vol. 54, No. 2, 471-517.La Porta, R., Lopez-de-Silanes, F., Shleifer, A., and Vishny, R., 2002, “Investor Protection and Corporate Valuation,” Journal of Finance, Vol. 57, No. 3, 1147-1170.Megginson, W. L., Nash, R., and Van Randenborgh, M., 1994, “The Financial and Operating Performance of Newly Privatized Firms: An International Empirical Analysis,” Journal of Finance, Vol. 49, No. 2, 403-452.Rajan, R. and Winton, A., 1995, “Covenants and Collateral as Incentives to Monitor,” Journal of Finance, Vol. 50, No. 4, 1113-1146.Roberts, M. R. and Sufi, A., 2009, “Renegotiation of Financial Contracts: Evidence from Private Credit Agreements,” Journal of Financial Economics, Vol. 93, No. 2, 159-184.Sufi, A., 2007, “Information Asymmetry and Financing Arrangements: Evidence from Syndicated Loans,” Journal of Finance, Vol. 62, No. 2, 629-668.【第二部份論文】Altman, E. I., 1968, “Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy,” Journal of Finance, Vol. 23, No. 4, 589-609.Anantharaman, D., Fang, V. W., and Gong, G., 2013, “Inside Debt and the Design of Corporate Debt Contracts,” Management Science, Vol. 60, No. 5, 1260-1280.Baber, W. R., Janakiraman, S. 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D., 2012, “Seeking Safety: The Relation between CEO Inside Debt Holding and the Riskiness of Firm Investment and Financial Policies,” Journal of Financial Economics, Vol. 103, No. 3, 588-610.Chava, S. and Purnanandam, P., 2010, “CEOs verus CFOs: Incentives and Corporate Policies,” Journal of Financial Economics, Vol. 97, No. 2, 263-278.Chava, S. and Roberts, M. R., 2008, “How does Financing Impact Investment? The Role of Debt Covenants,” Journal of Finance, Vol. 63, No. 5, 2085-2121.Chhaochharia, V. and Grinstein, Y., 2009, “CEO Compensation and Board Structure,” Journal of Finance, Vol. 64, No. 1, 231-261.Coles, J. L., Daniel, N. D., and Naveen, L., 2006, “Managerial Incentives and Risk-Taking,” Journal of Financial Economics, Vol. 79, No. 2, 431-468.Coles, J. L., Daniel, N. D., and Naveen, L., 2013, “Calculation of Compensation Incentives and Firm-related Wealth using Execucomp: Data, Program, and Explanation,” Working paper.Coles, J. L., Daniel, N. D., and Naveen, L., 2014, “Co-Opted Boards,” Review of Financial Studies, Vol. 27, No. 6, 1751-1796.Core, J. E. and Guay, W., 2002, “Estimating the Value of Employee Stock Option Portfolios and Their Sensitivities to Price and Volatility,” Journal of Accounting Research, Vol. 40, No. 3, 613-630.Core, J. E. and Larcker, D. F., 2002, “Performance Consequences of Mandatory Increases in Executive Stock Ownership,” Journal of Financial Economics, Vol. 64, No. 3, 317-340.Daniel, N., Li, Y., and Naveen, L., 2013, “No Asymmetry in Pay for Luck,” Working paper, Drexel University, Temple University, and Temple University.Dass, N. and Massa, M., 2011, “The Impact of a Strong Bank-Firm Relationship on the Borrowing Firm,” Review of Financial Studies, Vol. 24, No. 4, 1204-1260.DeYoung, R., Peng, E. Y., and Yan, M., 2013, “Executive Compensation and Business Policy Choices at U.S. Commercial Banks,” Journal of Financial and Quantitative Analysis, Vol. 48, No. 1, 165-196.Dezso, C. L. and Ross, D. G., 2012, “Are Banks Happy When Managers Go Long? The Information Content of Managers’ Vested Option Holdings for Loan Pricing,” Journal of Financial Economics, Vol. 106, No. 2, 395-410.Diamon, D. W. and Verrecchia, R. E., 1991, “Disclosure, Liquidity, and the Cost of Capital,” Journal of Finance, Vol. 46, No. 4, 1325-1359.Edmans, A. and Liu, Q., 2011, “Inside Debt,” Review of Finance, Vol. 15, No.1, 75-102.Fahlenbrach, R. and Stulz, R. M., 2011, “Bank CEO Incentives and the Credit Crisis,” Journal of Financial Economics, Vol. 99, No. 1, 11-26.Frydman, C. and Saks, R. E., 2010, “Executive Compensation: A New View from a Long-term Perspective, 1936–2005,” Review of Financial Studies, Vol. 23, No. 5, 2109-2138.Guay, W. 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A., 2002, “Does Executive Portfolio Structure Affect Risk Management? CEO Risk-Taking Incentives and Corporate Derivatives Usage,” Journal of Banking and Finance, Vol. 26, No. 2-3, 281-295.Stulz, R. M., 2015, “Risk-Taking and Risk Management by Banks,” Journal of Applied Corporate Finance, Vol. 27, No.1, 8-18.Sun, J., Cahan, S. F., and Emanuel, D., 2009, “Compensation Committee Governance Quality, Chief Executive Officer Stock Option Grants, and Future Firm Performance,” Journal of Banking and Finance, Vol. 33, No. 8, 1507-1519.Sundaram, R. and Yermack, D., 2007, “Pay Me Later: Inside Debt and Its Role in Managerial Compensation,” Journal of Finance, Vol. 62, No. 4, 1551-1588.Tung, F. and Wang, X., 2012, “Bank CEOs, Inside Debt Compensation and the Financial Crisis,” Working paper, Boston University and Ohio State University.Wang, C., Xie, F., and Xin, X., 2010, “Managerial Ownership of Debt and Bank Loan Contracting,” Working paper, Chinese University of Hong Kong, and George.Wei, C. and Yermack, 2011, “Investor Reactions to CEOs’ Inside Debt Incentives,” Review of Financial Studies, Vol. 24, No. 11, 3813-3840. 描述 博士
國立政治大學
財務管理研究所
98357501資料來源 http://thesis.lib.nccu.edu.tw/record/#G0098357501 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.advisor Chang, Yuan Chen en_US dc.contributor.author (作者) 吳周燕 zh_TW dc.contributor.author (作者) Wu, Chou Yen en_US dc.creator (作者) 吳周燕 zh_TW dc.creator (作者) Wu, Chou Yen en_US dc.date (日期) 2015 en_US dc.date.accessioned 27-七月-2015 11:21:58 (UTC+8) - dc.date.available 27-七月-2015 11:21:58 (UTC+8) - dc.date.issued (上傳時間) 27-七月-2015 11:21:58 (UTC+8) - dc.identifier (其他 識別碼) G0098357501 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/76862 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 98357501 zh_TW dc.description.abstract (摘要) 【第一部份論文中文摘要】本文使用1993 年至2007 年間67 家實施部分及完全民營化公司為樣本，探討國營企業民營化後對聯貸條件之影響。實證結果顯示，民營化後若政府沒有控制權，則聯貸利差擴大，若完全民營化則會被銀行要求提供擔保品，此外，借款公司的信用風險比較會透過聯貸利差及相關費用反映出來，比較不會透過聯貸金額或到期日等條件反映。這些實證結果與本文假說一致，顯示政府保證效果在民營化過程中對於銀行借款是一項重要因素。【第二部份論文中文摘要】本部分論文以美國1992年至2010年有銀行聯貸之1,560家借款公司及71家銀行為樣本，探討銀行CEO薪酬對於銀行風險及聯貸條件的影響。實證結果顯示非銀行業借款公司CEO的Vega與股票報酬變動度、系統性風險及非系統性風險間為顯著負向關係，但是其Delta則與股票報酬變動度為顯著正向關係，隱含CEO的Vega不會顯著提高股票報酬的風險，但Delta則會顯著提高股票報酬的風險。在探討CEO薪酬對聯貸條件影響時，結果顯示Vega及Delta與聯貸利率加碼間為顯著負向關係，但與財務限制個數間並無顯著關係存在。CEO相對負債權益比與聯貸利率加碼為顯著負向關係，隱含當CEO相對負債權益比較高時，的確會傾向降低公司風險，因此聯貸利率加碼較低。銀行業借款的實證結果顯示，銀行CEO的Vega及Delta均會顯著提高股票報酬的風險，且與Z-Score有負向關係但並未具統計上顯著性。此外，銀行CEO的Vega均與聯貸利率加碼及財務限制條款之個數間為正向關係，Delta則與聯貸利率加碼有正向關係，與財務限制條款之個數間為負向關係，但以上結果不具有統計上之顯著性。實證結果隱含，由於銀行業彼此間有資訊優勢，CEO的風險性薪酬對銀行營運之影響反而無法如同一般產業之公司明顯反映於聯貸條件上。 zh_TW dc.description.abstract (摘要) 【第一部份論文英文摘要】Using a sample of 67 partially and fully privatized firms, this paper investigates the effect of privatization on loan conditions from 1993 to 2007. The empirical results show that loan spreads widen when governments have no control right after privatization. In addition, loans are more likely to be secured when firms are fully privatized. The empirical results also show that credit risk of borrowing companies is more likely reflected through price-term conditions. These results are consistent with the hypothesis that implicit government guarantee is an important factor for bank loans during the privatization process.【第二部份論文英文摘要】Using sample of syndicated loans by 1,560 borrowing companies and 71 banks from 1992 to 2010, this paper investigates how CEO risk-taking incentives affect the syndicated loan conditions. For the results based on industrial firms’ syndicated loans, we find that CEO’s Vega is negatively related with stock return volatility, systemic risk, and idiosyncratic risk. Besides, there is a significantly positive relation between CEO’s Delta and stock return volatility. The results imply that CEO’s Vega lowers stock return volatility. However, CEO’s Delta raises the risk of stock return volatility, which is consistent with the findings in previous literature. We also find that both CEO’s Vega and Delta have negative relation with loan spreads but insignificantly related to financial covenants. Moreover, CEO’s debt to equity ratio to firm’s leverage has negative impacts on loan spreads. This implies that higher CEO’s debt to equity ratio to firm’s leverage promotes CEO to reduce firm risk resulting in lower spreads.For the results based on banks’ syndicated loans, we provide evidence that both bank CEOs’ Vega and Delta have significantly positive relations on the risk of stock returns. In additions, they have insignificantly negative relation with banks’ Z-Score. We also find that higher CEOs’ Vega leads to higher loan spreads and more covenants. Higher CEOs’ Delta are associated with higher spread but fewer covenants. The results imply that banks in the financial industry are familiar with each other, thus CEO risk-taking incentives may have insignificantly impacts on loan conditions relative to industrial companies. en_US dc.description.tableofcontents 緒論 1【第一部份論文】The Impact of Privatization on Syndicated Loan Conditions 31. Introduction 32. Literature Reviews and Hypotheses 52.1 The Impact of Privatization on the Cost of Debt 52.2 Literature on Syndicated loan 62.3 Hypotheses 73. Data and Methodology 83.1 Data and Sample Selection 83.2 Methodology 94. Empirical Results 114.1 Summary Statistics 114.2 Changes in Loan Conditions following Privatizations 134.3 Effects of Retained Government Ownership and Syndicated Loans 165. Conclusions 18References 19【第二部份論文】經理人薪酬對聯貸條件的影響 441. 研究背景、動機與目的 442. 文獻回顧與研究假說 492.1 美國薪酬揭露義務之相關規範 512.2 高階經理人薪酬與公司經營績效之相關文獻 522.3 高階經理人薪酬與公司風險之相關文獻 532.4 高階經理人薪酬與聯貸借款條件之相關文獻 542.5 研究假說 542.5.1 CEO風險性薪酬對股票報酬風險之影響 552.5.2 CEO風險性薪酬對聯貸條件之影響 563. 研究樣本與研究方法 573.1 非銀行業 573.1.1 研究樣本與資料來源 573.1.2 研究方法 583.2 銀行業 603.2.1 研究樣本與資料來源 603.2.2 研究方法 604. 實證結果 624.1 非銀行業 624.1.1 敘述性統計 624.1.2 CEO風險性薪酬對股票報酬波動風險之影響 634.1.3 CEO風險性薪酬對聯貸條件之影響 644.2 銀行業 664.2.1 敘述性統計 664.2.2 銀行CEO風險性薪酬對銀行風險之影響 674.2.3 銀行CEO風險性薪酬對聯貸條件之影響 694.3穩健性測試 704.3.1 CEO薪酬與聯貸之資料頻率不同 704.3.2 Vega與Delta之內生性問題 705. 結論與未來研究建議 71附錄1 變數定義 74附錄2 經理人薪酬之Vega與Delta計算方式 77附錄3 相關係數表－非銀行業 79附錄4 相關係數表－銀行業 85附錄5 非銀行業CEO薪酬之相對負債權益比對聯貸條件之影響 89附錄6 非銀行業CEO之風險承受性薪酬對聯貸利率加碼之影響（年資料） 91附錄7 非銀行業CEO之風險承受性薪酬對聯貸之財務限制條款個數之影響（年資料） 93附錄8 銀行業CEO之風險承受性薪酬對聯貸條件之影響（年資料） 95附錄9 非銀行業CEO薪酬與股票報酬風險之關係—兩階段迴歸模型 97附錄10 銀行業CEO之風險承受性薪酬與股票報酬波動度間之關係—兩階段迴歸模型 101參考文獻 104 zh_TW dc.format.extent 3105696 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0098357501 en_US dc.subject (關鍵詞) 民營化 zh_TW dc.subject (關鍵詞) 政府股權 zh_TW dc.subject (關鍵詞) 聯合貸款 zh_TW dc.subject (關鍵詞) 聯貸費用 zh_TW dc.subject (關鍵詞) 經理人薪酬 zh_TW dc.subject (關鍵詞) 聯貸利率加碼 zh_TW dc.subject (關鍵詞) 財務限制條款 zh_TW dc.subject (關鍵詞) privatization en_US dc.subject (關鍵詞) government ownership en_US dc.subject (關鍵詞) syndicated loan en_US dc.subject (關鍵詞) fee en_US dc.subject (關鍵詞) executive compensations en_US dc.subject (關鍵詞) spread en_US dc.subject (關鍵詞) covenants en_US dc.title (題名) 民營化與經理人薪酬對聯貸條件之影響 zh_TW dc.type (資料類型) thesis en dc.relation.reference (參考文獻) 【第一部份論文】Ahn, S. and Choi, W., 2009, “The Role of Bank Monitoring in Corporate Governance: Evidence from Borrowers’ Earnings Management Behavior,” Journal of Banking and Finance, Vol. 33, No. 2, 425-434.Baiman, S. and Verrecchia, R. 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