經理人薪酬誘因與負債期限結構：一般期間與金融危機期間之比較

Abstract

薪酬制度的設計影響經理人的風險偏好，在控制其他條件不變之下，當CEO的薪酬對於公司股價波動度的敏感度(一般用希臘字母vega表示)越高，其將有較大誘因去承擔風險。過去已有許多文獻探討薪酬誘因對公司負債期限結構之影響，但未有文獻提出薪酬誘因之影響力在不同總體經濟情況下的差異，本篇論文將vega對負債期限結構之影響切分為一般期間及金融危機期間，檢驗在不同期間內vega之影響是否有不一樣的表現，藉以補足過去文獻尚未探討之議題。經過實證分析，我們發現整體而言，當vega越大時，公司將採取較高風險的負債期限結構，使用較多的短期負債，然而，考慮不同期間的影響之後，我們發現這樣的關係通常只存在於一般期間，而在金融危機期間，vega對公司負債期限結構的影響將變得不顯著。此外，我們也發現當公司在金融危機前採取較短期的負債期限結構，其在金融危機期間將有相對較差的股價表現。

Literature shows that the sensitivity of CEO compensation to stock return volatility (vega) increases CEO’s appetite for risk (after controlling the effect of delta). This paper extends our knowledge of the relationship between vega and firm’s riskier debt maturity structure by examining whether the effect of vega on debt maturity in normal time differentiate from which in crisis time. Consistent with prior literature, we find firms with higher vega tend to use larger proportion of short-term debt. After considering the effect of external macro condition, the effect of vega on firm’s debt maturity structure is only significant in normal period but not in crisis period. Also, firms with riskier debt maturity policy before the financial crisis performed worse than others during the crisis. Debt maturity structure thus can explain the cross-sectional heterogeneity in the risk-taking behavior among firms.