董事會性別多樣性、規模對公司債殖利率利差的影響

Abstract

在股票市場中，已有許多文獻證實董事會多樣性(Board Diversity)會影響股價波動度及公司表現。例如Bernile et al.(2018)發現在董事會中，性別多樣性(Gender Diversity)越高的公司，可降低股價報酬波動度；而Ahmed Salhin et al.(2017)的研究則顯示董事會性別多樣性和資產報酬率(ROA)呈負相關。另外，Shijun Cheng(2008)的研究則指出董事會規模(Board Size)會同時降低股價報酬波動度及公司表現。 本文聚焦在債券市場，觀察董事會性別多樣性及董事會規模是否會影響公司債殖利率利差(Yield Spread)。根據結構式信用風險模型Merton Model，預期違約機率(Expected Default Frequency)和股價報酬波動σ呈正相關、資產報酬率u呈負相關，若引用上述股票市場的研究結果，可發現對於公司債殖利率利差(Bond Yield Spread)而言，董事會性別多樣性和董事會規模皆存在兩種方向相反的影響力量，即緩和效果(Moderating Effect)與衝突效果(Conflicting Effect)。 本研究蒐集2007-2018的美國公司債資料，並使用固定效果模型(Fixed-effect Model)，同時控制公司效果和年份效果。實證結果顯示，董事會性別多樣性和公司債殖利率利差無顯著相關，故可推測此時緩和效果與衝突效果強度相似；而董事會規模越大可顯著降低公司債殖利率利差，代表董事會規模帶來的緩和效果大於衝突效果。另外，本研究進一步探討董事會性別多樣性和董事會規模對於不同舉債程度公司的影響，發現董事會性別多樣性與董事會規模和高舉債公司之間皆存在交互作用，即董事會多樣性在高舉債公司的董事會可帶來更強烈的緩和效果。

In the equity market, many studies have confirmed that board diversity will affect stock price volatility and firm performance. For example, Bernile et al. (2018) found that companies with higher board gender diversity can reduce stock price volatility, while Ahmed Salhin et al. (2017) shows that board gender diversity and company performance is negatively correlated. In addition, Shijun Cheng (2008) pointed out that board size will also reduce the stock price volatility and company performance. This article focuses on the bond market, finding out whether board gender diversity and board size will affect the corporate bond yield spread. According to the Merton Model, expected default frequency is positively correlated with stock price volatility σ and negatively correlated with asset return rate u. As the result, there are two different directions of influence on corporate bond yield spread for both board gender diversity and board size, the moderating effect and the conflicting effect. The US corporate bond data ranges from 2007 to 2018. This study runs regression with fixed-effect model to control both firm-fixed effects and year effects. The regression result shows that there is no significant correlation between board gender diversity and corporate bond yield spread, which means the moderating effect is as strong as the conflicting effect. On the other hand, board size is significantly negatively correlated with corporate bond yield spread, which shows the moderating effect is much more powerful than the conflicting effect. In addition, this study further explores the impact of board gender diversity and board size in high-leveraged firms, and finds that there are interaction terms between board diversity and high-leveraged firms, which means board diversity could have stronger moderating effect in high-leveraged firms.