The Effects of Corporate Governance Mechanisms on Downside Risk

[[abstract]]近年來數起金融風暴與財務事件促使實務界與學術界開始重視公司治理及風險管理。多數文獻皆證實優良的公司治理可增進公司營運績效並降低風險，但卻未有研究探討公司治理與下方風險之關係。由於下方風險可提供管理者與投資人直接且清晰之損失概念，本文以2002年至2010年間台灣上市上櫃公司為研究對象，利用橫斷面與時間序列混合資料探討公司治理機制對公司下方風險之影響。本研究除了使用Chen et al (2007)之公司治理指標進行實證外，亦採用所有權結構、董事會組成、經理人激勵制度、資訊透明度與產品市場競爭共五種公司內、外部治理機制做為公司治理品質之衡量。同時，本研究以風險值與期望短缺兩種指標估算公司之下方風險，以探討公司治理機制與下方風險之間的關聯性。 實證結果發現，以公司治理指標作為治理機制衡量指標時，較佳的公司治理品質確實能降低下方風險。而在內、外部公司治理機制的探討上，董事會之獨立性、經理人激勵制度與資訊透明度皆能顯著的降低公司之下方風險。然而，機構法人持股比例與公司下方風險呈現正向關係，本研究推論其原因為機構投資人的正向回饋投資行為與從眾行為所致。本研究亦發現外部大股東持股比率及產品市場競爭與公司下方風險無顯著關係，本研究推論該現象可能為台灣市場中普遍存在家族企業型態與近年來多數樣本公司皆出現營業虧損所致。 本文主要將公司治理與下方風險做一連結，以探討公司治理對公司下方風險之影響。在變數使用上除採用整合性之公司治理指標外，亦使用內、外部公司治理機制進行實證，所得之結果相當穩健，有助管理者及投資人於實務決策上之參考用。[[abstract]]After experiencing several financial crises scandals and ill events executives and academics shed lights on both the corporate governance and the risk management for the purpose of shareholders protection Most of prior literatures evidence that a better corporate governance can increase operation performance and lower the risk However none of them examine the relation between the corporate governance and downside risk Due to the downside risk provides clear pictures on the losses in investments to either the management or the investors this study use the Taiwan samples gathered from 2002 to 2010 to examine such relation by unbalance panel regression analysis This study uses the governance indicator of Chen et al (2007) to measure firms' quality in corporate governance as well as the internal and external individual corporate governance mechanisms Meanwhile the well known VaR (value-at-risk) and the expected shortfall are used as the measure of firms' downside risk The empirical results show a negative relation between the governance indicator and the downside risk Such findings evidence that corporate governance can reduce firms' downside risk While in the individual governance mechanisms test we find that the board independence managerial incentive and the information transparency associate negatively with the downside risk That is consistent with our expectation However the shareholding of institutional investors relates negatively to downside risk We interpret the result is causes by the short sell of institutional investors and the consequence herding behavior Finally we find the shareholdings of outside block shareholders and the product market competition do not relate significantly to the downside risk The reason might be most of firms are family owned in Taiwan and most of samples experience operational losses in recent year In sum this study evidence that firms who are better governed have lower downside risk by using extensive corporate governance measures The results are robust and provide plentiful and functional suggestions to either the management or the investor