Capital-based Regulation Portfolio Risk and Capital Determination: Empirical Evidence from the Taiwan Property-Liability Insurers

[[abstract]]本研究以台灣產物保險公司為研究對象，證實了資本基準管制之影響，投資組合與資本決定。沿用Shim (2010)之實證模型與運用三階段最小平方法估計聯立方程模型，實證結果顯示當台灣之保險公司的資本小於可接受之範圍時，保險公司將會增加其資本以避免監理成本，且也會提升其風險以產生更多的預期報酬。 此外，也發現保險公司之特徵將會影響保險公司的資本結構決策，結果顯示高獲利能力之產險公司會傾向權衡理論與代理理論，利用舉債以減緩資金的短缺。高成長性之公司，股東可能會要求經理人從事風險較高之投資計畫，此時產生資產替代的問題，將債權人的財富移轉至股東手上，使得成長率與資本變動呈現反向關係。除此之外，本研究還利用穩健性檢定，更改風險之變數再一次進行分析，結果皆大致相同，以資強化實證模型之穩健性，此也表示著資本基準監管，投資組合風險與資本決定的實證模型有重要的顯著影響。[[abstract]]This paper investigates the impact of capital-based regulation portfolio risk and capital determination in Taiwan property-liability insurers We follows the Shim (2010) empirical model and use the three-stage least squares method to estimate the simultaneous equation model the empirical results show that when the insurers’ capital less than the acceptable range then insurers will increase capital in order to avoid regulatory costs and take more risk to generate higher expected returns in Taiwan We also find that the insurers’ characteristics will determine the capital structure of insurance companies The results indicated that the high profitability of the insurance companies tend to use debt to mitigate the shortage of funds on the trade-off theory and agency theory For insurers with greater growth opportunity its shareholders may require manager to higher risk in the investment plan but may create their asset-substitution problem The creditor hands of the wealth transfer to shareholders making the growth rate showed inverse relationship with the capital changes In addition we propose a robustness tests with the alternative risk measure Our test may be important implications for the empirical model of capital-based regulation portfolio risk and capital determinatio