金融控股公司股價風險報酬與績效評估： 加入近期波動調整風險值模擬之應用

Abstract

我國自2001年11月1日正式施行「金融控股公司法」及金融控股公司成立以來已將屆8年，目前為止包括台灣金控在內已有15家金融控股公司設立，握有之總資產高達近25兆，已成為我國金融業乃至整個服務業的主流，現階段實應重新檢視金融控股公司之運作情形，以及當初開放設立金融控股公司之目的是否有達成。股市的漲跌通常會領先經濟實質活動的表現, 長期而言金融控股公司整體經營績效最終也將反映在其股價上，展現投資人對該公司的評價.故有別於財務分析方式，本研究選取14家上市櫃金融控股公司之股價為研究樣本，使用波動性不對稱之指數異質變異數模型(EGARCH)模型，並加入近期資訊修正歷史模擬法計算之風險值，以投資人的角度探討金融控股公司風險報酬，提供財務分析以外的決策參考，並試圖對於經營績效加以檢視。主要結論如下：(一)14家金融控股股價報酬具有變異數異質性，可採GARCH-type模型配適之。(二)以指數型GARCH，即EGARCH(1,1)並參考Hull and White (1998)近期波動資訊調整後之歷史模擬法所計算各金控的風險值。研究結果以華南金控、第一金控及兆豐金控較低，開發金控、新光金控及日盛金控偏高，而透過五種指標對EGARCH(1,1)及近期波動資訊修正後報酬率檢視，發現均有不錯之評量能力。(三)以市場風險報酬(Risk-Adjusted Return, RAR)觀點，分析各金融控股公司之經營特性，其中以富邦金控、國泰金控等大型財團金控公司的多角化經營綜效，以及華南金控、第一金控所代表的官股色彩濃厚的金融控股公司的穩健經營，近年來逐漸顯現其成效，較獲得投資人所認同；另外具有業績及金融整併、兩岸MOU概念題材的金融控股公司如國票金控、元大金控等，近期亦獲得投資人所青睞；最後提出結論及後續研究之建議。

Since Financial Holding Company Law been enacted in Nov 1 2001, there are 15 financial holding companies(FHCs) including Taiwan Financial Holding formed in Taiwan for nearly 8 years with total assets about 25 trillion N.T. Dollars , and they have become the mainstream in the financial service industry. It’s necessary to review their performance to see if they hit the original target.. In the long term, the stock market usually leads to economic real activities , therefore ,our study had been aimed at 14 publicly-listed FHCs’ stock price return with EGARCH model, and incorporate current volatility into hstorical VaR Simulation and find the risk-adjusted stock return to investigate the performance evaluation of the FHCs .The primary conclusions of this study are as follows：(1)The empirical results show that 14 FHCs’ stock returns have volatility clustering and heteroscedasticity, so they can fit GARCH-type model. (2)We use EGARCH(1,1) and Hull and White’s (1998) method to find the FHCs’ VaR of historical simulation.Empirical results show that Hua Nan, First and Mega have lower VaR, whereas China Development, Shin Kong and Jih Sun have higher VaR. We find that the adjusted rate of return works well by the use of the investigation of 5 indicators.(3)We also use risk-adjusted return to analyze FHCs’ characteristics of management and strategies. Among all, big business with diversification like Fubun, Cathy and sustainable business with higher state-holdings like Hua Nan and First are favored by market. In addition, topics about merger, profitability and MOU are also noticed. Finally, proposes the conclusion and the suggestion for further research.