臺灣上市公司所有權結構與極端風險關係之分量迴歸分析

The Relationship between Ownership Structure and Extreme Risk for the Firms Listed on the TSEC: A Quantile Regression Analysis

本研究以台灣證券交易所的非金融業上市公司為研究對象，使用分量迴歸去檢驗所有權結構對公司風險承擔的影響。所有權結構變數包括經理人、大股東、機構投資人與家族持股，公司風險則是以極端值理論的尾部指數衡量。實證結果發現，當極端風險分量較小時，經理人持股比率與公司極端風險之間為負向關係，此證據支持經理人自利行為的論點。此外，當極端風險分量較小時，市場力量與公司極端風險之間為負向關係，公司規模與公司極端風險之間為正向關係。上述這些結果均不存在於極端風險較高的分量，這顯示當經濟或產業環境等其它因素導致公司的極端風險過大時，股權結構與公司特性變數便會喪失其影響力。

This study examines the relationship between the ownership structure and firm risk for non-financial firms listed on the TSEC using quantile regression. Based on the agency theory, the manager, blockholder, institutional investor, and family ownership variables are selected and the firm’s risk is measured by the tail index derived from the extreme value theory. The empirical results show that there is a significantly negative relationship between managerial ownership and extreme risk at the lower quantiles of extreme risk. The evidence supports the arguments of managerial entrenchment. In addition, we find that the extreme risk is inversely related to market power and positively related to firm size. However, the above findings are not significant at the higher quantiles of extreme risk, It may attribute to economic and industrial factors.