Risk Taking Behavior and Financial Constraints: Evidence from the U.S. Property-Liability Insurance Industry

美國產物保險公司冒風險行為與財務限制之關係

10.6545/JFS.201903_27(1).0002

張永郎(Vincent Y. Chang)

Risk taking ； financial constraints ； CEO hubris ； risk sensitivity theory ； prospect theory ； 風險承擔 ； 財務限制 ； CEO傲慢行為 ； 風險敏感理論 ； 展望理論

財務金融學刊

27卷1期（2019 / 03 / 31）

31 - 64

英文

This study examines the impact of financial constraints on firms' risk taking decisions. By using data from insurers of the NAIC (National Association of Insurance Commissioners) over the 2006-2013 period, this study finds that insurers with a better rating, as well as higher dividend payouts, are significantly and negatively related to risk taking decisions, which is consistent with the primary rationale of the CEO hubris argument, the risk sensitivity theory, and the prospect theory. The evidence proposes that regulators have to pay more attention on firms with higher financial constraints who intend to take more risks.

本文以2006－2013年美國產物保險公司的資料探討財務限制對公司風險承擔之影響。本文實證結果發現，有較高財務評比及有支付紅利之保險公司有較低的風險承擔，此結果支持CEO傲慢行為、風險敏感理論及展望理論之基本論點。本文實證結果具重要政策意涵，監管單位應特別注意有較高財務限制但喜歡風險承擔之保險公司。

1. Adams, Mike,Burton, Bruce,Hardwick, Philip(2003).The determinants of credit ratings in the United Kingdom insurance industry.Journal of Business Finance and Accounting,30,539-572.
2. Almeida, Heitor,Campello, Murillo,Weisbach, Michael S.(2004).The cash flow sensitivity of cash.Journal of Finance,59,1777-1804.
3. Audia, Pino G.,Greve, Henrich R.(2006).Less likely to fail: Low performance, firm size, and factory expansion in the ship-building industry.Management Science,52,83-94.
4. Baranoff, Etti G.,Sager, Thomas W.(2003).The relationship among organizational and distribution forms and capital and asset risk structures in the life insurance industry.Journal of Risk and Insurance,70,375-400.
5. Baranoff, Etti G.,Sager, Thomas W.(2002).The relationship among asset risk, product risk, and capital in the life insurance industry.Journal of Banking and Finance,26,1181-1197.
6. Berkovitch, Elazar,Kim, Han(1990).Financial contracting and leverage induced over- and under-investment incentives.Journal of Finance,45,765-794.
7. Bolton, Patrick,Chen, Hui,Wang, Neng(2013).Market timing, investment, and risk management.Journal of Financial Economics,109,40-62.
8. Bottazzi, Giulio,Secchi, Angelo,Tamagni, Federico(2014).Financial constraints and firm dynamics.Small Business Economics,42,99-116.
9. Byoun, Soku(2008).How and when do firms adjust their capital structures toward targets?.Journal of Finance,63,3069-3098.
10. Cantillo, Miguel,Wright, Julian(2000).How do firms choose their lenders? An empirical examination.Review of Financial Studies,13,155-190.
11. Chang, Vincent Y.,Jeng, Vivian S.(2016).The relations among insurer's reinsurance demand, liquidity, and leverage: Evidence from U.S. property insurance industry.Taiwan Economic Review,44,543-576.
12. Chen, Sheng-Syan,Wang, Yanzhi(2012).Financial constraints and share repurchases.Journal of Financial Economics,105,311-331.
13. Cummins, John D.,Sommer, David W.(1996).Capital and risk in property-liability insurance markets.Journal of Banking and Finance,20,1069-1092.
14. Das, Mitali,Newey, Whitney K.,Vella, Francis(2003).Nonparametric estimation of sample selection models.Review of Economic Studies,70,33-58.
15. Denis, David J.,Osobov, Igor(2008).Why do firms pay dividends? International evidence on the determinants of dividend policy.Journal of Financial Economics,89,62-82.
16. Denis, David J.,Sibilkov, Valeriy(2010).Financial constraints, investment, and the value of cash holdings.Review of Financial Studies,23,247-269.
17. Eling, Martin,Marek, Sebastian D.(2014).Corporate governance and risk taking: Evidence from U.K. and German insurance markets.Journal Risk and Insurance,81,653-682.
18. Esho, Neil,Kirievsky, Anatoly,Ward, Damian,Zurbruegg, Ralf(2004).Law and the determinants of property-casualty insurance.Journal of risk and Insurance,71,265-283.
19. Esty, Benjamin C.(1997).Organizational form and risk taking in the savings and loan industry.Journal of Financial Economics,44,25-55.
20. Farre-Mensa, Joan,Ljungqvist, Alexander(2016).Do measures of financial constraints measure financial constraints?.Review of Financial Studies,29,271-308.
21. Faulkender, Michael,Petersen, Mitchell. A.(2006).Does the source of capital affect capital structure?.Review of Financial Studies,19,45-79.
22. Fazzari, Steven M.,Hubbard, Glenn,Petersen, Bruce C.(1988).Financing constraints and corporate investment.Brookings Papers on Economic Activity,1,141-195.
23. Fazzari, Steven M.,Petersen, Bruce C.(1993).Working capital and fixed investment: New evidence on financing constraints.RAND Journal of Economics,24,328-342.
24. Fields, L. Paige,Gupta, Manu,Prakash, Puneet(2012).Risk taking and performance of public insurers: An international comparison.Journal of Risk and Insurance,79,931-962.
25. Fier, Stephen G.,McCullough, Kathleen A.,Carson, James M.(2013).Internal capital markets and the partial adjustment of leverage.Journal of Banking and Finance,37,1029-1039.
26. Froot, Kenneth A.,Scharfstein, David S.,Stein, Jeremy C.(1993).Risk managements coordinating corporate investment and financing policies.Journal of Finance,48,1629-1658.
27. Gorodnichenko, Yuriy,Schnitzer, Monika(2013).Financial constraints and innovation: Why poor countries don't catch up.Journal of the European Economic Association,11,1115-1152.
28. Greenwald, Bruce C.,Stiglitz, Joseph E.(1990).Asymmetric information and the new theory of the firm: Financial constraints and risk behavior.American Economic Review,80,160-165.
29. Ho, Chia-Ling,Lai, Gene C.,Lee, Jin-Ping(2013).Organizational structure, board composition, and risk taking in the U.S. property casualty insurance industry.Journal of Risk and Insurance,80,169-203.
30. Hoyt, Robert E.,Liebenberg, Andre P.(2011).The value of enterprise risk management.Journal of Risk and Insurance,78,795-822.
31. Kahneman, Daniel,Tversky, Amos(1979).Prospect theory: An analysis of decision under risk.Econometrica,47,263-291.
32. Kaplan, Steven N.,Zingales, Luigi(1997).Do investment-cash flow sensitivities provide useful measures of financing constraints?.Quarterly Journal of Economics,112,169-215.
33. Kim, Hicheon,Kim, Heechun,Lee, Peggy M.(2008).Ownership structure and the relationship between financial slack and R&D investments: Evidence from Korean firms.Organization Science,19,404-418.
34. Korajczyk, Robert A.,Levy, Amnon(2003).Capital structure choice: Macroeconomic conditions and financial constraints.Journal of Financial Economics,68,75-109.
35. Kuppuswamy, Venkat,Villalonga, Belén(2015).Does diversification create value in the presence of external financing constraints? Evidence from the 2007-2009 financial crisis.Management Science,62,905-923.
36. La Cava, Gianni(2005).Reserve Bank of Australia Research Discussion PaperReserve Bank of Australia Research Discussion Paper,未出版
37. Lai, Guoming,Debo, Laurens G.,Sycara, Katia(2009).Sharing inventory risk in supply chain: The implication of financial constraint.Omega,37,811-825.
38. Lamm-Tennant, Joan,Starks, Laura T.(1993).Stock versus mutual ownership structures: The risk implications.Journal of Business,66,29-46.
39. Lamont, Owen,Polk, Christopher,Saá-Requejo, Jesús(2001).Financial constraints and stock return.Review of Financial Studies,14,529-554.
40. Lemmon, Michael L.,Zender, Jaime F.(2010).Debt capacity and tests of capital structure theories.Journal of Financial and Quantitative Analysis,45,1161-1187.
41. Little, Roderick J. A.(1995).Modeling the drop-out mechanism in repeated-measures studies.Journal of the American Statistical Association,90,1112-1121.
42. Lungeanu, Razvan,Stern, Ithai,Zajac, Edwrd J.(2016).When do firms change technology-sourcing vehicles? The role of poor innovative performance and financial slack.Strategic Management Journal,37,855-869.
43. Mankai, Selim,Belgacem, Aymen(2016).Interactions between risk-taking, capital, and reinsurance for property-liability insurance firms.Journal of Risk and Insurance,83,1007-1043.
44. March, James G.,Shapira, Zur(1987).Managerial perspectives on risk and risk taking.Management Science,33,1404-1418.
45. Mayers, David,Smith, Clifford W.(1990).On the corporate demand for insurance: Evidence from the reinsurance market.Journal of Business,63,19-40.
46. Mehta, Anupam(2012).An empirical analysis of determinants of dividend policy-Evidence from the UAE companies.Global Review of Accounting and finance,3,18-31.
47. Mishra, Sandeep,Barclay, Pat,Lalumiere, Martin L.(2014).Competitive disadvantage facilitates risk taking.Evolution and Human Behavior,35,126-132.
48. Myers, Melissa,Bacon, Frank(2004).The determinants of corporate dividend policy.Academy of Accounting and Financial Studies Journal,8,17-28.
49. Myers, Stewart C.,Majluf, Nicholas S.(1984).Corporate financing and investment decisions when firms have information that investors do not have.Journal of Financial Economics,13,187-221.
50. Nohria, Nitin,Gulati, Ranjay(1996).Is slack good or bad for innovation?.Academy of management Journal,39,1245-1264.
51. Rampini, Adriano A.,Sufi, Amir,Viswanathan, Sridhar(2014).Dynamic risk management.Journal of Financial Economics,111,271-296.
52. Rubin, Donald B.(1976).Inference and missing data.Biometrika,63,581-592.
53. Singh, Jitendra V.(1986).Performance, slack, and risk taking in organizational decision making.Academic Management Journal,29,562-585.
54. Stiglitz, Joseph E.,Weiss, Andrew(1981).Credit rationing in markets with imperfect information.American Economic Review,71,393-410.
55. Studenmund, A. H.(1997).Using Econometrics: A Practical Guide.New York:Addison-Wesley.
56. van Beers, Cees(ed.),Ortt, Roland(ed.),Verburg, Robert(ed.)(2008).Determinants of Innovative Behaviour: A Firm's Internal Practices and its External Environment.London:Palgrave Macmillan.
57. Voss, Glenn B.,Sirdeshmukh, Deepak,Voss, Zannie Giraud(2008).The effects of slack resources and environmental threat on product exploration and exploitation.Academy of Management Journal,51,147-164.
58. Westhead, Paul,Storey, David J.(1997).Financial constraints on the growth of high technology small firms in the United Kingdom.Applied Financial Economics,7,197-201.
59. Whited, Toni M.(1992).Debt, liquidity constraints, and corporate investment: Evidence from panel data.Journal of Finance,47,1425-1460.
60. Whited, Toni M.,Wu, Guojun(2006).Financial constraints risk.Review of Financial Studies,19,531-559.
61. Zona, Fabio(2012).Corporate investing as a response to economic downturn: Prospect theory, the behavioral agency model and the role of financial slack.British Journal of Management,23,S42-S57.

1. 李珍穎(2018)。金融危機與風險承擔行為之探討－以財產保險產業為例。風險管理學報，20(2)，106-130。