台灣銀行業風險承擔態度之調查：展望理論之應用

Attitudes toward Risk in the Taiwanese Banking Industry: Prospect Theory Explanations

10.6545/JFS.2010.18(4).4

陳曉蓉(Hsiao-Jung Chen)

展望理論 ； 風險承擔 ； 風險趨避 ； 風險愛好 ； Prospect theory ； risk-taking ； risk aversion ； risk loving

財務金融學刊

18卷4期（2010 / 12 / 31）

111 - 149

繁體中文

本文利用Kendall τ及Spearman ρ相關係數與滾動式縱橫資料迴歸分析來觀察不同管理指標下台灣銀行業風險承擔態度之變化，並探討第一次金融改革對其風險承擔態度之影響與檢驗展望理論之觀點在台灣銀行業是否存在。結果顯示：若銀行以ROE（或逾放比）來進行目標管理，在參考點之上，銀行決策者會傾向風險趨避（風險愛好）；但在參考點之下，銀行決策者反而傾向風險愛好（風險趨避）。在一次金改後，銀行無論是以產業逾放比中位數或是逾放比5%作為管理標準，皆顯示風險愛好的程度降低。因此，台灣銀行業風險承擔態度基本上符合展望理論，且ROE與逾放比率可視為台灣銀行業最佳監控或管理風險變數，政府在推行一次金改後，不僅數據目標達成，也削弱銀行追求風險程度。

The purpose of this paper is to investigate the validity of some behavioral conjectures as alternative explanations of bank risk-taking behavior. The sample consists of 36 banks for the period 1995-2004 in Taiwan. I compute Kendall's tau and Spearman's rho correlation coefficients and use the panel data regression model to observe the changing attitude toward risk conditional on the domain features. The empirical results support the basic propositions of prospect theory under the measure of profitability and the asset quality. In other words, bankers located above the benchmark level exhibit risk aversion, and bankers located below target appear to be risk seeking. Besides, I also examine the impacts of the first financial reform on the bank risk-taking behavior. The evidence shows that the first financial reform was successful and the bankers take less risk-loving attitude after the first financial reform.

1. 沈中華、郭照榮、陳曉蓉(2001)。台灣銀行業的淨利息邊際決定因素。中國財務學刊，9(1)，47-83。
   連結：
2. 陳曉蓉(2003)。台灣銀行業公司治理機制與風險承擔行為之關係。風險管理學報，5(3)，363-391。
   連結：
3. Allais, M.(1953).Le comportement de l'homme rationel devant le risqué, critique des postulates et axioms de l'ecole americaine.Econometrica,21,503-546.
4. Anderson, R. C.,Fraser, D. R.(2000).Corporate control, bank risk taking, and the health of the banking industry.Journal of Banking and Finance,24(8),1383-1398.
5. Barth, J. R.,Caprio, G.,Levine, R.(2000).Policy Research Working PaperPolicy Research Working Paper,Washington, DC:The World Bank.
6. Bowman, E. H.(1982).Risk seeking by troubled firms.Sloan Management Review,23(4),33-42.
7. Bowman, E. H.(1984).Content analysis of annual reports for corporate strategy and risk.Interfaces,14(1),61-71.
8. Bowman, E. H.(1980).A risk/return paradox for strategic management.Sloan Management Review,21(3),17-31.
9. Conrad, G. R.,Plotkin, I. H.(1968).Risk return: U.S. industry pattern.Harvard Business Review,46(2),90-99.
10. Cootner, P. H.,Holland, D. M.(1970).Rate of return and business risk.Bell Journal of Economics and Management Science,1(2),211-226.
11. Fiegenbaum A.,Thomas, H.(1988).Attitudes toward risk and the risk-return paradox: Prospect theory explanations.Academy of Management Journal,31(1),85-106.
12. Fisher, I. N.,Hall, G. R.(1969).Risk and corporate rates of return.Quarterly Journal of Economics,83(1),79-92.
13. Godlewski, C. J.(2007).An empirical investigation of bank risk-taking in emerging markets within a prospect theory framework: A note.Banks and Bank Systems,2(2),35-43.
14. Gorton, G.,Rosen, R.(1995).Corporate control, portfolio choice, and the decline of banking.Journal of Finance,50(5),1377-1420.
15. Jegers, M.(1991).Prospect theory and the risk-return relation: Some Belgian evidence.Academy of Management Journal,34(1),215-225.
16. Johnson, H. J.(1994).Prospect theory in the commercial banking industry.Journal of Financial and Strategic Decisions,7(1),73-89.
17. Kahneman, D.,Tversky, A.(1979).Prospect theory: An analysis of decision under risk.Econometrica,47(2),263-291.
18. Kim, D.,Santomero, A. M.(1988).Risk in banking and capital regulation.Journal of Finance,43(5),1219-1233.
19. La Porta, R.,Lopez-de-Silanes, F.,Shleifer, A.,Vishny, R. W.(1997).Legal determinants of external finance.Journal of Finance,52(3),1131-1150.
20. La Porta, R.,Lopez-de-Silanes, F.,Shleifer, A.,Vishny, R. W.(2000).Investor protection and corporate governance.Journal of Financial Economics,58,3-27.
21. Neumann, M.,Böbel, I.,Haid, A.(1979).Profitability, risk, and market structure in West German industries.Journal of Industrial Economics,27(3),227-242.
22. Shen, C. H.(2005).Cost efficiency and banking performances in a partial universal banking system: A panel smooth threshold model.Applied Economics,37(9),993-1009.
23. Swalm, R. O.(1966).Utility theory: Insights into risk taking.Harvard Business Review,44(6),123-136.
24. Tversky, A.,Kahneman, D.(1992).Advance in prospect theory: Cumulative representation of uncertainty.Journal of Risk and Uncertainty,5,297-323.
25. 沈中華(2005)。銀行評比：推估品質一致的盈餘。金融風險管理季刊，1(3)，89-105。
26. 胡煒珍(2003)。碩士論文(碩士論文)。國立中央大學財務金融研究所。

1. Chiu, Yen-Chen,Chiu, Yen-Chen(2017).The Impact of Business Groups' Structural Features on Risk Attitudes: Prospect Theory Explanations.財務金融學刊,25(1),115-170.