The Wealth Effects of Operational Risk Announcements on Intra-Industry Competitors

作業風險事件宣告對產業內競爭對手財富效果之影響

陳聖賢(Sheng-Syan Chen) ； 何耕宇(Keng-Yu Ho) ； 何柏欣(Po-Hsin Ho) ； 聶瑋瑩(Wei-Ying Nie)

《證券市場發展季刊》 30卷4期 (2018/12) Pp. 1-49

https://doi.org/10.6529/RSFM.201812_30(4).0001

摘要

This study investigates the wealth effects on announcements of operational risk events for intra-industry competitors in the U.S. during the period 1980 to 2012. We find that competitors face a significantly positive wealth effect, but the event firms experience a negative wealth effect. The results suggest that the competitive effect dominates the contagion effect. We further examine various determinants that affect the strength of the competitive effect from three perspectives. For the event characteristics, we find that the competitive effect for competitors is stronger when the event's loss amount is higher and the event firm's occurrence frequency is higher. For the industry characteristics, we show that competitors experiencing stronger competitive effects tend to be in industries with higher concentration. For the competitors' firm characteristics, we find that competitors with higher research and development (R&D) expenditure, lower firm complexity, better corporate governance mechanisms, and lower chief executive officer (CEO) equity incentive are more likely to have stronger competitive effects.

關鍵字

Operational risk ； Competitive effect ； Wealth Effect

並列摘要

本研究以美國一般產業為對象，分析作業風險事件宣告對產業內競爭對手財富效果之影響與影響管道，研究期間為1980年至2012年。實證結果發現，公司發生作業風險事件對競爭對手有正向顯著的財富效果，對宣告公司影響則是負向顯著，表示影響產業內競爭對手之競爭效果大於傳染效果。此外，本研究從三方面探討影響產業內競爭效果強弱之因子：一、事件特徵方面，發現當事件損失金額較高或事件公司較易發生作業風險事件時，競爭效果較強；二、產業特徵方面，發現若公司處於集中度高的產業，競爭效果較強；三、競爭對手公司特徵方面，發現競爭對手研發費用較高、公司業務複雜程度較低、公司治理較佳以及經理人薪酬中股權激勵誘因較小時，競爭效果較強。

並列關鍵字

作業風險 ； 競爭效果 ； 財富效果

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