銀行財富管理業務之作業風險－從連動債券信用危機觀察

The Operational Risks in Banks' Wealth Management Services: A Perspective from the Credit Crisis of Structured Notes

10.29628/AEP.200906.0001

劉永欽(Yong-Chin Liu)

巴塞爾資本協定Ⅱ ； 作業風險 ； 聲譽風險 ； 事件研究法 ； 財富管理 ； 業務 ； 連動債券 ； Basel Agreement Ⅱ ； Operational risk ； Reputational risk ； Event study method ； Wealth management services ； Structured notes

經濟論文

37卷2期（2009 / 06 / 01）

137 - 171

繁體中文

本文檢視2008年興業銀行舞弊事件、雷曼兄弟財務危機及事件後政府公佈處理作法下，本國銀行財富管理業務之聲譽風險（屬作業風險）對其資本市值（股價）的影響。因銀行的不當行銷導致連動債發行或保證機構發生危機時，客戶因損失而歸咎銀行，使其承受了聲譽損失。在事件研究法和橫斷面迴歸分析後發現，事件期間銀行股票有顯著負異常報酬；雷曼兄弟事件中，銀行負報酬無法完全由本身投資損失和預期財管收入減少所解釋，而與財管業務發展程度有關：發展程度較高者，因聲譽風險較大，負異常報酬愈大。這點亦由觀察政府維護投資人權益作法之提出期間銀行股價的變化獲得支持。因此，銀行拓展財管業務可能發生聲譽風險並遭致市場價值損失。

This paper investigates the impact of reputational risk (belonging to operational risks) of wealth management services (WMS) on market values (stock prices) in Taiwan's banks from the internal fraud of Societe Generale, financial crisis of Lehman Brothers Holdings Inc., and declaration of government's handling measures. When the issuing or guaranteeing institutions of structured notes have credit crises, banks offering WMS suffer from reputational risks because their clients make losses on their investment in structured notes, and thus ascribe the blame to their improper marketing. Using various event studies and a cross-sectional regression, I find that on average Taiwanese banks have significantly negative abnormal returns on stocks around the periods of the three above-mentioned events. For the Lehman Brothers event, these negative returns can not be completely explained by securities investment losses of bank themselves or decreased expected income from WMS, and, therefore, are related to the extent of development of WMS. The higher the development of WMS, the larger the negative abnormal returns due to higher reputational risks, which is also supported by evidence from examining stock returns around the period of the government's actions to safeguard investors. Thus, banks engaging in WMS are likely to undergo reputational risks and a decline in market value.

1. Atiase, R.(1985).Predisclosure Information, Firm Capitalization, and Security Price Behavior around Earnings Announcements.Journal of Accounting Research,23,21-36.
2. Ball, R.,P. Brown(1968).An Empirical Evaluation of Accounting Income Numbers.Journal of Accounting Research,6,159-178.
3. Bera, A.,E. Bubnys,H. Park(1988).Conditional Heteroskedasticity in the Market Model and Efficient Estimates of Betas.Financial Review,23(2),201-214.
4. Binder, J. J.(1985).On the Use of the Multivariate Regression Model in Event Studies.Journal of Accounting Research,23,370-383.
5. Bollerslev, T.,R.Y. Chou,K. F. Kroner(1992).ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence.Journal of Econometrics,52,5-59.
6. Brown, S. J.,J. B. Warner(1980).Measuring Security Price Performance.Journal of Financial Economics,8,205-258.
7. Charlton, W. T.,C. Lancaster,J. L. Stevens(2002).Industry and Liquidity Effects of in Corporate Investment and Cash Relationships.Journal of Applied Business Research,18(1),131-142.
8. Corhay, A.,A. Tourani Rad(1994).Statistical Properties of Daily Returns: Evidence from European Stock Markets.Journal of Business Finance and Accounting,21,271-282.
9. Coval, J. D.,T. Shumway(2005).Do Behavioral Biases Affect Prices?.Journal of Finance,60,1-34.
10. Cruz, M. G.(2002).Modeling, Measuring and Hedging Operational Risk.New York:John Wiley and Sons.
11. Cummins, J. D.,C. M. Lewis,R. Wei(2006).The Market Value Impact of Operational Risk Events for US Banks and Insurers.Journal of Banking and Finance,30,2605-2634.
12. Fama, E. F.,K. R. French(1993).Common Risk Factors in the Returns on Stocks and Bonds.Journal of Financial Economics,33,3-56.
13. Flannery, M.,C. James(1984).The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions.Journal of Finance,39,1141-1153.
14. Freedman, D.,D. Lane(1983).A Non-Stochastic Interpretation of Reported Significance Levels.Journal of Business and Economic Statistics,1,292-298.
15. Ghosh, A. K.(1992).Market Model Corrected for Generalized Autoregressive Conditional Heteroskedasticity and the Small Firm Effect.Journal of Financial Research,15(3),277-283.
16. Gillet, R.,G. Hubner,S. Plunus(2007).Operational Risk and Reputation in the Financial Industry.Working Paper.
17. Gonzalez, L.,H. Auda(2002).Re-Sampling Methods in Regression: Which Method to Use under Non-Normality?.Working Paper.
18. Hastorf, A.,D. Schneider,J. Polefka(1970).Person Perception.Menlo Park, CA:Addison-Wesley.
19. Ikenberry, D.,J. Lakonishok,T. Vermaelen(1995).Market Underreaction to Open Market Share Repurchase.Journal of Financial Economics,39,181-208.
20. Myers, S.,N. Majluf(1984).Corporate Financing and Investment Decisions When Firms Have Information That Investors Do Not Have.Journal of Financial Economics,13,187-221.
21. Nelson, D. B.(1992).Filtering and Forecasting with Misspecified ARCH Models I: Getting the Right Variance with the Wrong Model.Journal of Econometrics,52,61-90.
22. Perry, J.,P. de Fontnouvelle(2005).Measuring Reputational Risk: The Market Reaction to Operational Loss Announcements.Working Paper.
23. Saunders, A.,M. M. Cornett(2007).Financial Institutions Management: A Risk Management Approach.New York:McGraw-Hill.
24. Tversky, A.,D. Kahneman(1974).Judgment under Uncertainty: Heuristics and Biases.Science,185,1124-1131.
25. 經濟日報(2008)。財富管理定義應統一。經濟日報(2008/04/08)。
26. 鉅亨網新聞(2006)。財富管理－銀行的春天？中華信評：要注意錯誤行銷。鉅亨網。
27. 劉永欽(2008)。股票購回宣告後股價是否過度反應？過度自信與自我歸因偏誤的觀點。證券市場發展季刊，20(4)，39-86。
28. 鍾惠民、吳壽山、周賓凰、范懷文(2002)。財金計量。台北:雙葉書廊有限公司。

1. 劉永欽、廖美華、王姿若(2013)。金融機構作業與信譽風險的影響及公司治理的角色。經濟論文，41(3)，421-471。
2. 周冠男、池祥萱、王韻怡(2016)。行為財務學文獻回顧與展望：台灣市場之研究。經濟論文叢刊，44(1)，1-55。