金融整合對金融控股公司資金成本之影響

The Impact of Consolidation on the Cost of Equity Capital for Financial Institutions\

本文目的在估計金融整合後各金融業之權益資金成本。由於合併後各金融業的系統風險難以直接估算，迄今國內外研究都只能以模擬方式估計之。本文嘗試利用完全資訊產業貝他法結合CAPM與FF3F模型，估出金控公司成立後各金融業之產業貝他值，並藉以檢視金控成立對各金融產業資金成本之影響。實証結果發現金融整合後使壽險業系統風險上升，但使產險業與證券業的系統風險下降，其中証券業具有高於整體的最大權益資金成本，而產險業之資金成本最小。銀行及壽險業中市值規模較大的公司在提升多角化效益方面較市值規模小的公司來優異，代表經濟規模效應在合併多角化中有著非線性的影響。此外，不同於金控成立前之金融產業間系統風險具有明顯的差異，成立後各金融產業之系統風險差異性降低，顯示金融整合具風險補貼效應。

This paper attempts to estimate the changes of the cost of equity capital for subsidiary financial institutions after consolidation. Because the direct estimation of systematic risk (betas) for each subsidiary becomes difficult after consolidation, most related studies can only estimate it through simulation. This study proposes the use of the ”full information industry beta (FIB)” method to virtually estimate the market betas of subsidiary financial institutions. As such, the gain from diversification can be plausibly measured in terms of market risk. Using the CAPM and FF3F models, respectively, in conjunction with the FIB method, we find the security industry is characterized with the greatest cost of equity capital while that of the property-liability insurance industry is the smallest. The empirical result also unveils that the diversification gain for those life insurers and banks with greater market values is greater than that of firms with smaller market values. This suggests that there is a nonlinear influence of economic scale with respect to diversification gain. We also discover that the systematic risk of the life insurance industry increases to a greater extent in comparison with other financial industries. Lastly, we also find that the discrepancy of the market beta among four major financial industries declines substantially after consolidation, suggesting the ”risk-subsidy” effect is pronounced.