金融機構作業與信譽風險的影響及公司治理的角色

EFFECTS OF OPERATIONAL RISK AND REPUTATIONAL RISK FOR FINANCIAL INSTITUTIONS AND THE ROLE OF CORPORATE GOVERNANCE

本文檢視本國銀行1990至2011年各種作業風險事件對其股價反應、獲利力、風險及信譽損失的影響，以及公司治理能否降低此影響。就內部因素和外部因素事件分別觀察發生日、發現日語公告日的股票異常報酬（abnormal return, AR）和產業調整後盈餘（超額盈餘），並估計其中的信譽損失成份。結果發現，內部詐欺事件在公告期有顯著負AR和負超額盈餘，且有極大信譽損失；其股票風險未增加，且適度反應盈餘衰退。災害和外力造成的事件在發生期和公告期無負超額盈餘，但有顯著負AR即信譽損失，且事件後非系統風險上升、股價過度反應。迴歸分析發現公司治理機制中，資訊揭露品質和內部人持股可降低非系統風險及減輕作業和信譽損失對市值的衝擊，其餘機制則無顯著效果。

This study examines the effects of various operational risk events for banks from 1990 to 2011 on stock price reaction, profitability, risk and reputational loss, as well as whether corporate governance can reduce the impact of operational risk. For internal-factor and external-factor events, we separately estimate both the stock abnormal returns (ARs) and industry-adjusted excess earnings, along with reputational losses within the ARs and excess earnings, for occurring, finding and announcing days, respectively. Our findings indicate that the internal fraud events face significantly negative ARs, excess earnings and reputational losses during the announcement period; the stock risks do not increase, and prices moderately reflect decreasing profitability. The serious disasters and events resulting from external factors face no negative excess earnings, but have negative ARs and reputational losses during both the occurring and announcement periods. Moreover, the post-event stock nonsystematic risks increase and stock prices have overreactions. Based on regression analyses, among corporate governance mechanisms, information disclosure and insider ownership can reduce nonsystematic risks and alleviate the impact of operational and reputational losses on market values; meanwhile, no significant effect for the other mechanisms is observed.