摘要
本文主要在景氣循環(總體經濟因素)與銀行利損之交互作用下，控制公司治理機制、銀行特性與國家特性，以2006年至2012年23國的銀行作為實證對象，利用最小平方法來探討管理者過度自信對於銀行盈餘波動性與無法清償風險之影響，並比較銀行在面對不同的景氣與銀行損益之組合情況時，前述的關係是否會有所不同。結果發現：在景氣好的時候，銀行管理者傾向過度自信雖會明顯增加盈餘波動性與無法清償風險，不過隨著銀行獲利增加，反而可出現風險抑制作用，但當損失發生時，則會加重其盈餘波動性；在景氣差的時候，過度自信管理者所職掌的銀行會有較低的無法清償風險，且有損失時，此類銀行也會有較低的盈餘波動性。當銀行管理者傾向過度自信時，董事會規模或管理者兼任董事長皆會對盈餘波動性與無法清償風險產生顯著影響，且若銀行有較高的特許權價值，則在景氣差的時期可協助銀行降低盈餘波動性與無法清償風險。主管機關若欲減輕銀行的盈餘波動性與無法清償風險，建議可避免讓過度自信管理者也兼任董事長或鼓勵銀行強化其特許權價值來達成。
關鍵詞：銀行、過度自信、公司治理、盈餘波動性、無法清償風險
Abstract
This paper combines the interaction of business cycles and bank earnings with controlling the impacts of corporate governance, bank-specific and country-specific factors to examine the effects of managerial overconfidence on bank earnings volatility and insolvency risk taking by using the ordinary least squares method. We also investigate whether the relation between managerial overconfidence and bank earnings volatility (or insolvency risk taking) is changed when banks face gains or losses in boom or recession periods. The sample consists of banks from 23 countries over the period from 2006-2012. The results show that banks managed by overconfident executives tend to increase their earnings volatility and insolvency risk during boom periods. Moreover, banks’ earnings volatility is aggravated when banks experience losses, although their insolvency risks are reduced in proportion with increasing profits. However, banks managed by overconfident executives have the exact opposite results: they have lower insolvency risk during recession periods, and their earnings volatility decreases when they have losses. Board size and bank executive duality also have a significant impact on banks’ earnings volatility and insolvency risk when bank managers are inclined to be overconfident. Banks with a higher franchise value have less earnings volatility and insolvency risk during the recession periods. Therefore, the authorities can control bank earnings volatility and insolvency risk taking effectively by not allowing overconfident executives to also serve as chairmen of the board, or by encouraging banks to improve their franchise value.
Keywords：Bank, Overconfidence, Corporate Governance, Earnings Volatility, Insolvency Risk