企業內部監督與信用風險之關聯性研究

The Association between Corporate Internal Supervisory and Default Risk

黃健銘(Chien-Ming Huang)；蘇欣玫(Hsin-Mei Su)；李彥賢(Yen-Hsien Lee)

內部監督 ； KMV模型 ； 董監事質押 ； Internal supervisory ； KMV model ； Pledges of the director and supervisor

企業管理學報

83期（2009 / 12 / 01）

1 - 32

繁體中文

本研究目的在於檢測國內公開發行之上市公司，內部監督優劣是否對企業信用風險存在顯著之影響。研究樣本選定1997年至2007年之存續公司，並藉由KMV模型進行信用風險的推估，同時採用具橫斷面及時間序列之縱橫數據(panel data)進行實證。結果發現當董監事持股比率愈高或董監事質押程度愈大時，將使公司內部監督的效果下降，加深內外部股東間代理衝突的問題，進而可能提高公司承擔風險的程度。此外，債權人監督的程度、市場投資人預期及董監事之規模利益，皆有助於減輕公司之代理問題，並降低企業的信用風險。另一方面，在依資產規模進行分組實證後，結果顯示大規模公司之董監事質押比率與信用風險呈現正向顯著關係，但小規模公司則無此現象。最後，在舉債成本相對較低的誘因下，債權人監督所帶來的利益，將顯著反應在大規模的公司，且有效減緩董監事質押所帶來的衝突，提昇公司整體價值和降低信用風險的承擔；但此效應並沒有存在於小規模的公司。

The study investigated whether corporation internal supervisory affect firm’s default risk by KMV model in the securities market of Taiwan during years 2000 to 2007. The empirical results show that firm’s default risk was enlarged with the higher percentage shareholdings and pledges of the director and supervisor, and diminished the effect of internal supervisory and reinforced the agency problem. In addition, firm’s default risk is negatively related to the creditor's monitor, the expected mentality of market investors, and the larger size of both the director and supervisor seats. Furthermore, the large size companies had existed significantly positive relationships between pledges for the director and supervisor and default risk, but the small size companies didn't. Finally, the highly creditor's monitor will aid to reduce the influences of the pledges of the director and supervisor on default risk in accordance with lower cost of debt for large companies. The effects are helpful to enhanced firm value and decreased the level of default risk, but are not found in small firms.

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