本論文包含二篇與公司財務相關之文章，第一篇文章嘗試在考量總體經濟條件和公司生產力衝擊下，建構一個簡單結構式模型以探討公司之資本結構決策。特別的是，由該模型可得到公司最適負債比率與總體經濟條件衝擊之報酬波動性呈反向關係，惟公司最適負債比率與公司生產力衝擊之報酬波動性呈正向關係。第二篇文章係利用對稱寡占產業均衡模型，以探討產業內經理人薪酬決策之異質性。即使產業內所有公司皆為同質，在模型均衡下存在有些公司會採取激勵性薪酬，而其他公司則不採取激勵性薪酬。該模型預期當市場競爭性增加時，產業內公司經理人薪酬決策會更具異質性。此外，上述二篇文章皆分別以美國製造業資料進行實證，並且實證結果均符合其模型之預期。 / This dissertation proposes two essays about corporate finance. Essay one develops a simple structural model to investigate a firm’s capital structure choices in consideration of macroeconomic conditions and firm-level productivity shocks. The model particularly generates the implication that the optimal debt ratio is negatively correlated to the return volatility of macroeconomic conditions, but positively correlated to that of firm-level productivity. Essay two is contributed to explore the heterogeneity of the compensation decision within the industry by employing a symmetric oligopoly industry equilibrium model. Within the equilibrium some firms will adopt incentive pay while others will not, even though all firms are ex ante identical. The model predicts that there is more heterogeneity in the compensation decision as the intensity of market competition increases. Both of the two essays further provide empirical evidence of the US manufacturing industry to support the model implications.

過去研究多將焦點集中在增加高階經理人薪酬，將可促使高階經理人為公司股東的權益努力，為此探討提昇股東權益包含高階經理人獎酬與公司績效間的關聯，卻忽略了其與風險間的關係。高階經理人員可能因為獎酬的激勵，從事對公司有利且風險較低的計畫，也可能會為了提高自身的權利，將風險轉嫁給公司，因此激發出探討高階經理人員獎酬與公司風險間的關係的研究動機。 本研究以KMV模型之預期違約率作為公司風險之參數，探討高階經理人之 薪酬、自由現金流量、KMV信用風險之關係，同時瞭解公司規模是否影響高階 經理人薪酬、自由現金流量及公司績效與公司KMV信用風險間的關係。 研究結果顯示，公司高階經理人的薪酬與公司違約風險呈負相關，即高階經理人薪酬的提高，確能降低公司的違約風險，但此現象僅在大規模公司才能發現。此外，就自由現金流量而言，小規模公司之自由現金流量愈多，存在較高的風險，惟有提高公司營運績效，方能減緩公司風險的承擔。另一方面，對於高階經理人薪酬的提升，雖然在小規模公司並沒有效果，但係有助減緩自由現金流量帶來的負向衝擊。最後，前述小結僅存在於小規模公司群體，這可能是因為，大公司擁有較高的政治成本，因此為了避免社會的關注，大公司較小公司有較好的公司治理機制，因此管理當局較不可能基於自利的動機來影響公司的風險。 / Many past researches focused on senior manager will be able to work hard for raising shareholder’s equity because of higher compensation. Many researches of raising stakeholder’s equity explored the relation between senior manager compensation and financial performance, but ignored the relation with credit risk of company. Senior managers maybe perform lower or higher risk project for themselves benefit due to some higher compensation motivation. Thus this researching will refocus on exploring the relation between senior manager compensation and company credit risk. This study will discuss the relation among senior manager compensation, FCF and KMV company credit risk by EDF of KMV model as a parameter of company credit risk. And to understand the scale of company weather influence the relation among senior manager compensation, FCF and KMV company credit risk? The results of this research show that the senior manager compensation is negatively correlated with company credit default risk. On the other hand, higher senior manager compensation will reduce the risk of company credit default, but this phenomenon can be found only in lager companies. In addition, as far as small company's FCF, the more FCF, the more there is a higher risk. Increase company's operating performance, the company credit risk can be slow down. On the other hand, in small company there is no effect on raising senior manager compensation, but it will help mitigate the negative impact of FCF. Finally, the foregoing summary is just only in small company groups, may be because larger companies have higher political cost, so in order to avoid the concern of society, larger companies have better corporate governance than small companies, thus senior manager will not be able to influence the company’s credit risk for their self-interested motivation.

本研究檢測審計品質與經理人能力對於分析師盈餘預測行為之相對有用性。根據Compustat 及 I/B/E/S所蒐集之1996至2011年資料，本研究發現，相對於非四大會計師事務所或非產業專家，當公司被四大會計師事務所或產業專家查核時，分析師預測之準確度較高，且離散度較小。此外，本研究發現當公司經理人能力較高時，分析師預測之準確度亦愈高，而離散度亦愈小。最後，為探討沙賓法案對分析師預測行為之影響，本研究將樣本區分為沙賓法案前及沙賓法案後兩組。實證結果顯示，相對於沙賓法案前，在沙賓法案後，分析師較重視審計品質與經理人能力。整體而言，審計品質與經理人能力皆會為分析師的盈餘預測帶來正面影響，而經理人能力之影響較為顯著。 / This study examines the relative usefulness of audit quality and managerial ability on financial analysts’ earnings forecast behavior. Based on data collected from Compustat and I/B/E/S from 1996 to 2011, the empirical results show that analysts' earnings forecast accuracy is higher and dispersion is smaller when firms are audited by a Big 4 auditor or an industry specialist. Similarly, analysts' earnings forecast accuracy is also higher and dispersion is also smaller when firms employ more capable managers. To investigate whether SOX affects analysts’ behavior, sample is divided into pre-SOX and post-SOX groups. The regression results from both groups show that analysts take audit quality and managerial ability into their earnings forecasts after SOX. Overall, the results suggest that both audit quality and managerial ability are associated with analysts’ earnings forecast properties. Importantly, the effect of managerial ability appears to be larger than the effect of audit quality.

Bhattacharyya（2007）建立一個連結企業管理階層薪酬與現金股利的模型。該模型指出在既定的可用現金下，企業管理階層薪酬與現金股利支付率呈負相關。本研究參考上述模型，以2005年至2008年國內上市櫃公司資料為樣本，使用Tobit模型檢視樣本公司高階經理人薪酬、董監事薪酬與現金股利支付率之關聯性。本研究實證結果符合上述模型之推論，亦即高階經理人總薪酬與公司之現金股利支付率呈顯著負相關。 　　本研究另將高階經理人薪酬區分為現金薪酬與股票薪酬，進行額外的分析，其結果顯示高階經理人之股票薪酬與公司現金股利支付率呈顯著負相關。換言之，台灣上市櫃公司（尤其高科技產業）常使用之股票薪酬合約，其性質具有長期激勵之效果。在公司既定的可用現金下，此種合約不但可激勵高品質的高階經理人選擇淨現值為正的投資方案，且可確保經理人不因短期投資方案而犧牲公司的長期利益。 / Bhattacharyya (2007) proposed a dividend payout model in which executive compensation is associated with the level of cash dividends. The model shows that for a given level of cash available for distribution, there is a negative　relationship between a company’s dividend payout ratio and its managerial compensation. This study applies the above model to a sample of the listed companies at the Taiwan Stock Exchange (TSE) and the Gre Tai Securities Market (GTSM) from 2005 to 2008. The Tobit regression results are consistent with the Bhattacharyya (2007) model’s prediction, i.e., the dividend payout ratios of sample firms have negative associations with their managerial compensations. 　　In addition, this study classifies executive compensation into cash and stock payments for further analyses. The results show that dividend payout ratio is negatively correlated only with the stock portion of executive compensation. It means that for a given level of available cash for distribution, the nature of stock compensation has the long term effects which not only encourage a company’s executives to invest more in the projects with positive NPV without sacrificing the company’s benefits, bus also leave less cash for　distribution as dividends.

隨著國內外相關弊案的爆發，「公司治理」近幾年來一直是企業相當重視的議題。除了由於受到國際環境變化劇烈所影響之外，公司治理也與整體企業監控制度有密切之關聯。在國內外有相當多的學者從不同角度進行公司治理的相關的研究，而主管機關如金管會、證交所等也陸續制定相關的措施，希望能夠盡最大的力量來保障投資人的權益。 本研究主要是藉由公司治理的主要變數來探討企業購併案所造成的超額報酬與公司治理之間的影響，並進一步討論當公司治理愈差時，宣告購併所產生的超額報酬是否會較低。研究期間為民國87年1月至97年3月間，曾發生併購活動的上市、櫃公司，共選取100個樣本。而實證結果如下： 一. 經理人持股比例和公司宣告購併所造成的超額報酬呈顯著正相關 二. 大股東股比例和公司宣告購併所造成的超額報酬呈顯著正相關 三. 獨立董事占董事會的比例和公司宣告購併所造成的超額報酬呈顯著負相關 四. 董事會的規模和公司宣告購併所造成的超額報酬呈顯著負相關 五. 市值規模和公司宣告購併所造成的超額報酬呈現正相關，但不顯著 另外，本研究也針對公司治理較差的公司去進行研究分析，發現若公司治理較差的公司去從事購併案時，可賺取的超額報酬愈少，而當公司治理愈差時，這種關係將愈顯著。最後，本研究也彙整一些相關建議，以供後續學者、企業以及政府機關做參考。 / As scandals related to managers and the wealth of investors spring up worldwide, corporate governance has become an important issue recently. In addition to drastic international macroeconomics changes, corporate governance is also strongly influenced by overall monitor systems. Scholars around the world have done lots of research regarding corporate governance for decades. In addition, relevant efforts and measures, aimed at protecting investors’ rights and interests, have also been done by authorities such as FSC and TSE. The purpose of the study is to study the relationship between abnormal return of M&A and corporate governance by examining the factors we choose. Furthermore, we discuss if a company performs poorly on its corporate governance system, whether the abnormal return caused by merger deals will also decrease? 100 samples were selected from the listed companies from TSE and OTC between 1998~2008. Main findings include the following： (1). The ratio of the stock held by managers has a positive relationship with abnormal return of M&A. (2). The ratio of the stock held by major stockholders has a positive relationship with abnormal return of M&A. (3). The ratio of the outside independent directors has a negative relationship with abnormal return of M&A. (4). The scale of the board has a negative relationship with abnormal return of M&A. (5). The market value has a positive relationship with abnormal return of M&A Moreover, the study has also done some empirical research on companies whose corporate governance pale in comparison with others and found that those who do poorly on corporate governance tend to make less abnormal return when making acquisition announcements. Last but not least, the study has also made some suggestions for scholars, businesses and government and hope that they may come in handy in the future.

本論文包含台灣壽險業資產配置國際化及匯率避險兩個主題。首先，探討台灣壽險業積極向主管機關申請核准提高國外資產配置比率，與美國投資人偏好投資自己國家資產不一致的現象，是台灣壽險業資產配置不得不的策略，或是國際化的迷思? 以25家壽險公司2004 年至2008年財務資料實證結果發現，國外資產納入投資組合對壽險業投資績效有利。如果將樣本公司依據所有權區分為本資公司與外資公司，資料顯示，本資公司國際資產配置較為積極，惟其報酬績效與外資公司差異並不顯著。研究亦發現，2008年美國次貸風暴顯著負向影響台灣壽險公司國外投資報酬，即提高國外資產配置雖可提高報酬，惟匯率風險、信用風險及系統風險暴露亦相對提高，建議壽險公司於追球較高報酬同時，應同時加強風險管理。另實證亦發現，資產規模愈大公司之投資報酬率相對較遜，建議於追求保費市占率成長時，應重視投資報酬績效的實質提升。 第二部分探討2004年至 2008年台灣壽險業國外投資匯率風險管理策略對投資績效影響。以整體產業觀察，匯率避險對投資報酬率有正面效果；本資公司避險策略相較外資公司積極，報酬率亦相對較優；股票上市公司有財報揭露股價波動之壓力，經理人有較強誘因採取避險策略，投資報酬率相較優於股票未上市公司，惟差異並不顯著。實證結果支持Glen and Jorion (1993) and Campbell et al. (2010)避險可以降低匯率風險提升投資報酬績效之研究結論，2006年實施之34號會計公報，顯著影響本資公司與上市公司之避險行為。 / In this study, we study two essays on international asset allocation and the currency hedging problem for Taiwan life insurer industry. In the first essay, we investigate the high percentage of foreign investments placed by Taiwan life insurers and how this phenomenon is at odds with the bias for investing at home common among American investors. The holdings of 25 Taiwan life insurance companies, between the years 2004 and 2008, are scrutinized with a view towards evaluating home bias and its financial impact. We find that foreign investment has proven profitable for the life insurance industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, and that while the performance of investments made by domestic-owned life insurers differs from that of foreign-owned life insurers, the difference is insignificant. We also found that global financial turmoil in 2008 had a massively negative impact on the foreign investments of Taiwan life insurance companies and firm size and return on investment is negative correlated, suggesting that life insurers should focus on enhancing investment performance and risk management. In the second essay, we examine the currency hedging strategy and its impact on the performance of Taiwan life insurance industry investments from 2004 to 2008. We find that currency hedging strategies have yielded positive results, overall, for the industry. However, if the life insurance industry is divided into two categories according to its ownership structure, i.e., domestic-owned and foreign-owned companies, the results show that the currency hedging strategies employed by the domestic-owned companies enjoy advantages over those of foreign-owned firms. If the sample is further divided into those publicly listed on the TAIEX and others, our results show that a hedging strategy has positive effects on listed company. Our findings support the work in Glen and Jorion (1993) and Campbell et al. (2010), which reveal that hedging strategies improve foreign investment returns and can reduce currency risks in comparison to non-hedging strategies. Our empirical results indicate that SFAS No. 34 has a significant effect on currency hedging behavior among domestically owned and listed companies.

過往工作生活平衡措施皆著重在對於員工態度、行為或組織績效的影響，甚少從女性的管理階層層面探討，故本研究從董事長性別、工作生活平衡措施、工作生活平衡措施自由使用度三個面向予以探究對於女性高階經理人比例之影響，並以產業別、本國商/外商與公司成立時間作為控制變項，以組織為分析單位進行研究。 本研究針對不限產業的國內企業為抽樣對象，一家公司包含年資至少兩年的1位人資部門人員與3位不限部門的主管或員工協助填答問卷，共收集55家企業，有效問卷252份，並利用階層迴歸分析檢驗研究假說。研究結果歸納如下： 1.董事長性別與女性高階經理人比例呈正向關係。 2.工作生活平衡措施中，受撫養者的照顧服務措施與女性高階經理人比例呈正向關係。 3.工作生活平衡措施自由使用度中，受撫養者的照顧服務自由使用度與女性高階經理人比例呈正向關係。 / In the past, the study about work-life balance practices was focused on the influence on the employee attitudes, behavior or organizational performance, and it was rare to investigate from the perspective of the female management level. So this study is to investigate the effects of the gender of the chairman, work-life balance practices, and the freedom to use of work-life balance practices on the proportion of female senior mangers. The samples of this study are domestic companies from any industry, and each company included a two years of experience expert in human resource and three executives or employees from any department to answer the questionnaires.There are totally 55 companies with 252 valid questionnaires. And this study use hierarchical regression analysis to test the hypotheses. Following are the results of this study: 1. The gender of chairman has a positive correlation with the proportion of female senior managers. 2. In the work-life balance practices, dependent care service has a positive correlation with the proportion of female senior managers. 3. In the freedom to use of work-life balance practices, dependent care service has a positive correlation with the proportion of female senior managers.

此論文包含三大部分。第一部分探討董監事暨重要職員責任保險(D&O保險)的需求因素與公司治理等企業特徵間的關係，配合2003-2007年台灣上市上櫃公司的資料，研究影響公司是否購買D&O保險、保險限額與保險費的決策因素。實證結果證明，大型公司較需要D&O保險保障，且公司的董監事與利害關係人間存在代理成本問題。本文亦發現董監事獨立性等公司治理因素，對D&O保險購買行為有顯著影響，再則，公司的成長性及經理人風險趨避態度，都會影響保險限額的決定。本文結論進一步顯示訴訟風險對保險限額的決定有正向顯著的影響，而財務風險對D&O保險需求亦有若干影響力。第二及第三部分則進一步探討董監事暨重要職員責任保險對公司的行為或策略是否有影響。實證結果顯示D&O保險確實會影響公司風險承擔策略及公司財報方法的穩健性。 / This thesis is comprised of three essays on directors’ and officers’ (D&O) liability insurance, one interesting but little explored research area. Based on an unbalanced panel data set of public Taiwanese corporations in years 2003-2007, the first essay investigates the relationship between directors’ and officers’ (D&O) insurance demand and firm characteristics, especially corporate governance. The results suggest that large firms are more likely to purchase D&O insurance, and that there exists agency cost between directors/officers and stakeholders. The findings indicate that corporate governance, such as board independence, has an important impact on D&O insurance demand. Besides, the results show that growth opportunity or managerial risk aversion can affect the D&O insurance coverage amount. The litigation risk also has a positive and significant impact on the D&O insurance amount, and bankruptcy risk weakly influences the D&O insurance demand. In the second essay, I provide evidence regarding corporate business strategy by investigating the relation between directors’ and officers’ (D&O) insurance and risk taking behavior. This essay tries to test (a) whether firms are more active to adopt risk-taking strategies when their directors and top managers are covered by D&O insurance coverage; (b) whether the quality of corporate governance has influence on firm’s risk-taking behavior; and (c) whether insurers can distinguish D&O insurance purchases decision driven by managerial risk-taking behavior and charge adequate premium rate for such behavior. The empirical evidence suggests that D&O insurance coverage has a positive impact on firm risk-taking behavior. In addition, the results indicate that board composition may remarkably influence corporate risk-taking behavior. The preliminary findings also show that insurers can assess the induced risk-taking behavior ex ante and charge adequate premiums rate accordingly. In the third essay, I investigate whether the legal liability coverage result in the propensity of less conservatism and aggressive managerial behavior/strategy. More specifically, this study tests managerial opportunism behavior by examining whether the purchase of D&O insurance coverage is associated with more aggressive financial reporting strategy (i.e., less accounting conservatism). The empirical evidence suggests that D&O liability insurance purchase decision is positively associated with accounting conservatism. That is, firms with insurance coverage tend to recognize bad news in a timely manner, i.e. more earning conservatism. However, there is no significant relation between accounting conservatism and D&O insurance amount. In addition, the evidence shows that firms with strong board structure recognize good news faster than those with weak governance structure.

基金經理人與投資人間的代理問題起源於兩者目標的不一致，前者要求個人薪酬財富的極大化，後者要求投資組合價值的極大化。造成目標歧異的原因有兩個：其一是在資訊不對稱的環境下，投資人無法觀察到經理人投資組合是否真正從投資人利益角度出發，因此引發了經理人的道德危險；其二是在競爭激烈的基金產業□，年度定期績效評比結果與經理人薪酬紅利多寡相連結等制度的設計，加重經理人選擇持有一個高風險投資組合的逆誘因，特別是期中累積績效較差的輸家，隨著年終總績效結算日期的接近，在自利動機的驅使下可能會透過較高的操作風險調整幅度，企圖扭轉頹勢以求反敗為勝。 本研究首先利用卡方檢定、t檢定與Logistic迴歸模式，實證國內基金經理人是否具有自利性風險調整的行為傾向，接著從契約設計的觀點，以理論模式推導命題的方式，探討三種不同型態的誘因費契約對於抑制經理人自利性風險調整行為的作用，並間接利用問卷調查的方式來驗證其效果。研究的結果發現： 1.國內基金經理人不管是贏家或輸家，在越接近年終總績效的結算時，都會偏向選擇一個高風險的操作水準，同時，上述特性在非外資型投信公司所發行的基金、新基金、小規模基金、資淺經理人所操盤的基金特別明顯。 2.基金投資人對於季等短期績效的過分重視，是導致國內經理人操作風險調整幅度偏高的主要原因之一。 3.純粹誘因費契約以及只加上「上限條款」設計的契約，這兩種契約都無法抑制經理人冒高風險的傾向；而純粹誘因費契約加上「懲罰條款」的設計，有抑制經理人自利性調高操作風險行為的效果。 本研究成果的貢獻主要有兩點： 1.在政策應用上，本研究提出契約條款設計的理念，對於我國擬開放勞退等大型基金委託代客操作，雙方契約該如何設計以確保投資人的權益，有相當參考的價值，本研究同時也對投信公司、基金經理人等提出相關的制度性建議。 2.在理論推導上，本研究融合一般化均衡分析法與選擇權理論的應用，將不同型態的誘因費契約化成經理人向投資人所購買的歐式買權，標的資產為經理人所持投資組合的價值，履約價格為比較基準指數的價值，執行日期為一年期的績效評比，模型導証的重點是經理人所選擇投資組合的風險程度與該類比選擇權價值的關係。 / An important question for the contracting literature is the extent to which real behavior is driven by the financial incentives contained in compensation schemes. To address this issue, (1) we use the tournament concept as the framework, and focus on the competitive nature of mutual fund environments how to affect the managers' portfolio decision-making processes. (2) we also use the Black-Scholes option pricing model as the framework, and analyze the impact on the mutual fund managers' risk-manipulation behavior of a performance-based incentive plan. Given the asymmetric information financial markets, most investors of mutual funds can not measure the funds' risk without error, thus, agent-divergent behavior may potentially arise. In a tournament reward structure, the managers' rational attempting to maximize their expected compensation may revise the risk level or alter the composition of their portfolio during the assessment period. While there will be times when such changes don't serve the best interest of funds' investors. Our research demonstrates the following results: 1. An empirical investigation of 86 open-type mutual funds during 1995 to 1998 with the methods of test, t test and the Logistic regression shows fund managers with poor performance would become aggressive and tend to increase fund volatility in the latter part of an annual assessment period. The effect is obviously clear toward the end of the year and it is involved with the investors' myopic of the assessment to the managers' performances. 2. In our model, the bonus is similar to a call option on the funds' portfolio. Three types of incentive contracts are compared. The results show that the incentive contract with penalty can reduce managers to adversely alter the risk of the portfolio they manage. It dominates the pure incentive contract and only with a ceiling incentive contract. Questionnaires investigated by fund managers will support some hypothesis.

隨著現代企業規模逐漸擴大，內部結構分工複雜，為了控制經營與所有分離所產生之代理問題，公司經營者被賦予越來越繁多的法律義務，一旦不慎違反，可能招致沈重的法律責任，而使其個人財產暴露於賠償責任損失風險之下。承擔公司營運職責之經營者，一般負有忠實義務及注意義務，其執行職務行為必須遵守法令、公司章程以及股東會決議，若有違反，受到求償的來源則可能包括公司股東、投資人、受僱人，乃至於消費者及行政監理機關。移轉公司經營者法律責任風險之機制，目前以公司補償制度及董監事及重要職員（D&O）責任保險為主，兩者架構雖有差異，但均為保障公司經營者之個人財產而設，具有互補輔助的功能。我國目前並未採用公司補償制度，然而D&O責任保險近年來已快速發展，本文就其於我國之適用情況進行探討，並分別對於公司經營者、保險業者以及政府主管機關提出建議，作為將來持續推動公司治理措施與公司經營者法律責任風險管理架構之參考。