進階搜尋


   電子論文尚未授權公開,紙本請查館藏目錄
(※如查詢不到或館藏狀況顯示「閉架不公開」,表示該本論文不在書庫,無法取用。)
系統識別號 U0026-2306201208054700
論文名稱(中文) 稅對避險活動的影響:以英國人身保險公司為例
論文名稱(英文) Effect of Tax on Hedging Activity: Evidence from the United Kingdom Life Insurance Industry
校院名稱 成功大學
系所名稱(中) 企業管理學系碩博士班
系所名稱(英) Department of Business Administration
學年度 100
學期 2
出版年 101
研究生(中文) 賴逸蓁
研究生(英文) Yi-Chen Lai
學號 R46994048
學位類別 碩士
語文別 英文
論文頁數 48頁
口試委員 指導教授-許永明
口試委員-張紹基
口試委員-蔡惠婷
口試委員-劉宗其
中文關鍵字 人身保險  再保險  衍生性金融商品  稅的凸性 
英文關鍵字 Life insurance  Reinsurance  Derivatives  Tax Convexity 
學科別分類
中文摘要 關於再保險與稅的議題,有兩個主要的假說。「收益波動減少」假說(the income volatility reduction argument)與「收益水準增加」假說(the income level enhancement argument)。收益波動減少假說認為當保險公司面臨稅的凸性時,傾向於避險以減少每年可課稅所得的波動,因此可降低稅的負債。收益水準增加假說主張再保險的佣金會增加公司帳面上的收入,導致增加公司稅的負債。 因此當保險公司面臨高邊際稅率時,傾向於購買較少的再保險。由於再保險與衍生性金融商品都是避險的工具,因此本研究使用再保險與衍生性金融商品做為被解釋變數,探討再保險與稅,衍生性金融商品與稅之間的關係。並利用1985 年至2010 年英國人身保險公司為研究標的, Standard & Poor’s 所提供之SynThesys Life數據資料,最終樣本為 371家人身保險公司與9276筆年資料來探討上述的兩個假說。研究方法採用二階最小平方法(2SLS)。在再保險與稅的凸性部分,我的驗證結果為正向關係,與預期之收益波動減少假說結果相符。在再保險相對於邊際稅率部分,我發現當公司面臨高邊際稅率會減少再保險的購買,與預期之收益水準增加假說相符。但是收益波動減少假說並不被我目前之衍生性金融商品數據所支持。
英文摘要 There are two main arguments about tax considering to the use of reinsurance-the income volatility reduction and income level enhancement. The income volatility reduction reveals that when firms face convex tax schedules, they incline to hedge for the purpose of reduce the volatility of their annual taxable income and therefore diminish expected tax liabilities. The income level enhancement contends that reinsurance can enhance current reported earnings of firms by means of receiving reinsurance commissions, thus results in increasing of their tax liabilities. Therefore, when the firm face high marginal tax rate tend to buy less reinsurance. Owning to the fact that reinsurance and derivatives are both hedging tools, in my research, I test the two arguments using reinsurance and derivatives as dependent variables through 1985-2010 data for a sample of United Kingdom life insurance firms. The data for firm variables are using the data set of SynThesys life which was provided by Standard & Poor’s. My final sample includes 371 life insurers and 9276 insurer-year observations. I examine the interaction among reinsurance and taxes by 2SLS in my methodology part. I find that life insurance firms with high tax convexity can buy more reinsurance to reduce the income volatility and lower their expected tax liabilities. In addition, those life insurance firms with high marginal tax rate tend to purchase less reinsurance than their low marginal tax rate counterparts. However, income volatility argument is not supported on the purchase of derivatives because tax convexity is found to have no significant influence on the using of derivatives.
論文目次 Chapter 1 Introduction 1
1.1 Introduction 1
1.2 Institutional Background 5
Chapter 2 Hypothesis Development 8
2.1 Effect of Tax Convexity on Reinsurance 8
2.2 Effect of Marginal Tax Rate on Reinsurance 8
2.3 Effect of Tax Convexity on Derivatives 9
Chapter 3 Methodology and Framework 11
3.1 Methodology 11
3.2 Data 12
3.3 Variables 13
3.3.1 Dependent Variables 13
3.3.2 Control Variables 13
Chapter 4 Empirical Results 28
4.1 Univariate Analysis 28
4.1.1 Descriptive Statistics 28
4.1.2 Matrix of Correlation Coefficient 31
4.2 Multivariate Analysis 34
4.2.1 Result for Equation (1) 34
4.2.2 Result for Equation (2) 38
4.2.3 Robustness Check 41
Chapter 5 Conclusion 44
Reference 47
參考文獻 Adams, M. (1996). The reinsurance decision in life insurance firms: an empirical test of the risk-bearing hypothesis. Accounting & Finance, 36(1), 15-30.
Adams, M., Hardwick, P., & Zou, H. (2008). Reinsurance and corporate taxation in the United Kingdom life insurance industry. Journal of Banking & Finance, 32(1), 101-115.
Adiel, R. (1996). Reinsurance and the management of regulatory ratios and taxes in the property-casualty insurance industry. Journal of Accounting & Economics, 22(1-3), 207-240.
Barton, J. (2001). Does the Use of Financial Derivatives Affect Earnings Management Decisions? Accounting Review, 76(1), 1-26.
Colquitt, L. L., & Hoyt, R. E. (1997). Determinants of Corporate Hedging Behavior: Evidence from the Life Insurance Industry. The Journal of Risk and Insurance, 64(4), 649-671.
Cummins, J. D., Phillips, R. D., & Smith, S. D. (2001). Derivatives and corporate risk management: participation and volume decision in the insurance industry. Journal of Risk & Insurance, 68(1), 51-91.
Graham, J. R. (1996a). Debt and the marginal tax rate. Journal of Financial Economics, 41(1), 41-73.
Graham, J. R. (1996b). Proxies for the corporate marginal tax rate. Journal of Financial Economics, 42(2), 187-221.
Graham, J. R., Lemmon, M. L., & Schallheim, J. S. (1998). Debt, Leases, Taxes, and the Endogeneity of Corporate Tax Status. Journal of Finance, 53(1), 131-162.
Graham, J. R., & Rogers, D. A. (2002). Do Firms Hedge in Response to Tax Incentives? Journal of Finance, 57(2), 815-839.
Graham, J. R., & Smith Jr, C. W. (1999). Tax Incentives to Hedge. Journal of Finance, 54(6), 2241-2262.
Gujarati & Porter (2010). Econometrics.
Hardwick, P., & Adams, M. (1999). The Determinants of Financial Derivatives Use in the United Kingdom Life Insurance Industry. Abacus, 35(2), 163-184.
Hoyt, R. E. (1989). Use of Financial Futures by Life Insurers. The Journal of Risk and Insurance, 56(4), 740-748.
Iii, E. B., William, E. J., III, & Moser, J. T. (1996). Alligators in the Swamp: The Impact of Derivatives on the Financial Performance of Depository Institutions. Journal of Money, Credit and Banking, 28(3), 482-497.
Mayers, D., & Smith Jr, C. W. (1981). Contractual Provisions, Organizational Structure, and Conflict Control in Insurance Markets. Journal of Business, 54(3), 407-434.
Mayers, D., & Smith Jr, C. W. (1990). On the Corporate Demand for Insurance: Evidence from the Reinsurance Market. Journal of Business, 63(1), 19-40.
Philpott, J.(2009), FSA Insurance Returns, Edition 3.3 (London: Ernst and Young LLP).
Plesko, G. A. (2003). An evaluation of alternative measures of corporate tax rates. Journal of Accounting and Economics, 35(2), 201-226.
Santomero, A.M. and D. F. Babbel, (1997). Financial Risk Management by Insurers: An Analysis of the Process, Journal of Risk and Insurance, 64(2), 231-270.
Scholes, M. S., Wilson, G. P., & Wolfson, M. A. (1990). Tax Planning, Regulatory Capital Planning, and Financial Reporting Strategy for Commercial Banks. Review of Financial Studies, 3(4), 625-650.
Shevlin, T. (1990). Estimating Corporate Marginal Tax Rates with Asymmetric Tax Treatment of Gains and Losses. Journal of the American Taxation Association, 11(2), 51.
Shiu, Y.-M. (2005). The determinants of solvency in the United Kingdom life insurance market. Applied Economics Letters, 12(6), 339-344.
Smith, C. W., & Stulz, R. M. (1985). The Determinants of Firms' Hedging Policies. Journal of Financial & Quantitative Analysis, 20(4), 391-405.
Stulz, R. M. (1985). Optimal Hedging Policies. Journal of Financial & Quantitative Analysis, 19(2), 127-140.
Swiss Reinsurance Company. (2011). World Insurance in 2010: Premiums back to growth- capital increases, Sigma, 2: 1-40
Warner, J. B. (1977). Bankruptcy Costs: Some Evidence. The Journal of Finance, 32(2), 337-347.
Yung-Ming, S. (2011). Reinsurance and Capital Structure: Evidence from the United Kingdom Non-Life Insurance Industry. Journal of Risk & Insurance, 78(2), 475-494.

論文全文使用權限
  • 同意授權校內瀏覽/列印電子全文服務,於2022-01-01起公開。


  • 如您有疑問,請聯絡圖書館
    聯絡電話:(06)2757575#65773
    聯絡E-mail:etds@email.ncku.edu.tw