保险公司资本结构影响因素研究
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摘要
关于企业资本结构理论的研究浩如烟海,而保险公司资本结构的研究却寥寥无几。作为金融中介的保险公司,与其他行业的公司不同的是受到保险保障制度的保护,同时又受到严格的偿付能力监管(最低偿付能力的要求)。保险公司资本结构的选择是一个复杂、多因素权衡的决策。本文基于市场和偿付能力监管的视角,研究了保险公司资本结构的影响因素。基于市场条件下,保险公司的最优资本结构即意味着在不考虑保险公司偿付能力监管的条件下,保险公司为了实现自身企业价值最大化而选择的资本结构,任何偏离最优资本结构的水平,将会导致保险公司价值下降。在市场条件下,无论是保险公司还是其他行业的公司,考虑的因素都相同,即需要考虑债务的税盾效应、财务困境成本、代理成本、信息不对称等因素,而保险公司与其他行业公司最大的不同是,保险公司受着保险保障制度的保护,保险保障制度对保单持有者的保护是保险公司股东的卖方期权,因此代表者股东利益的管理者为了实现企业价值的最大化,将会提高杠杆比率和风险来实现更多的期权价值,然而保险公司风险动机将会受到保险公司特许权价值的制约,特许权价值是保险公司在持续经营的条件下具有的价值,如果保险公司破产,保险公司股东将会失去特许权价值,它是保险公司重要的财务困境成本,因此它是在市场条件下约束保险公司资本结构风险的重要因素。在市场条件下,保险公司的资本结构主要是受到保险保障制度带来的期权价值以及特许权价值影响,两者决定了市场条件下的最优资本结构。
但是当考虑到保险公司偿付能力监管时,其硬性约束带来的监管成本时会促使某些保险公司调整资本结构比率。如果保险公司市场最优的资本结构已经满足了最低偿付能力的要求,则保险公司资本结构是基于市场条件下的最优,它不需要做任何调整；如果保险公司市场最优的资本结构不满足最低偿付能力的要求,此时保险公司会调整资本结构,使资本结构比率刚好满足最低偿付能力要求,因此偿付能力监管的硬性约束改变了他们资本结构的持有比率,此时保险公司的资本结构是基于偿付能力监管条件下的最优比率。
因此,本文将利用我国产险公司2001年至2006年的数据,分析我国保险公司资本结构的影响因素,并在此基础上验证我国保险业的资本结构比率是基于市场还是偿付能力监管而做的选择?并且本文将通过理论和实证分析保险公司特许权价值、保险保障制度以及偿付能力监管对保险公司资本结构的影响。
本文的主要结构和内容如下。
第一章：绪论。阐述了问题的提出、研究内容、结构和方法以及研究中的创新与不足。
第二章：文献综述。对现代资本结构理论及保险公司资本结构理论的研究进展进行了梳理与综述。
第三章：保险公司资本结构的变化与比较。对保险公司的性质、资本及资本结构进行了界定,并对我国产险业及寿险业资本结构的变化趋势进行了描述,分析了资本结构变化的原因。
第四章：基于市场条件下,保险公司资本结构影响因素分析。在不考虑保险公司偿付能力监管的条件下,根据资本结构理论的权衡理论、激励理论和信号传递理论观点梳理了保险公司资本结构决定的市场激励和市场约束因素,一方面,保险债务的税收产生的税盾效应、保险公司股东与经理之间的权益型代理成本及保险公司股东与管理者之间的信息不对称产生的“信号效应”将会激励保险公司提高资本结构,促进债务水平的提高；另一方面,增加债务所带来的特许权价值的损失成本以及保单持有者与保险公司股东的债务型代理成本会激励保险公司降低资本结构,促进债务水平的降低。但是由于我国保险行业存在保险保障制度,它将会使保单持有者与保险公司股东的代理成本由保险保障基金来承担,保单持有者丧失了对保险公司风险的市场约束力,因此在市场条件下,约束保险公司资本结构风险的重要因素是特许权价值。
第五章偿付能力监管对保险公司资本结构的影响。分析了保险监管当局实施偿付能力监管的动因、并对偿付能力监管约束及保险公司资本结构调整意愿进行了分析,偿付能力监管的约束只会影响部分保险公司的资本结构调整意愿,而并不能改变所有的保险公司,偿付能力监管的约束力的大小与监管当局对于偿付能力不足保险公司的惩罚措施的可置信性和惩罚的轻重水平高低的影响。有效的偿付能力监管是能够让偿付能力不足的保险公司降低资本结构,并且同时没有使保险公司选择承担风险程度更高的承保风险和投资风险,同时保险公司的效率没有大幅降低,偿付能力监管制度最理想的效果就是能同时实现保险业安全性和效率的提高,或者至少能在实现一个目标的同时,对另一目标并未造成严重的后果。
第六章基于市场条件下,保险公司资本结构影响因素的实证分析。本章以11家我国产险公司2001年-2006年的数据,构建面板模型实证分析了市场激励和市场约束因素对我国产险公司资本结构的影响,结果发现特许权价值对资本结构有风险约束作用,能促进产险公司降低杠杆比率,但是保险保障制度削弱了产险公司特许权价值的自律效应,产险公司股东与管理者的信息不对称带来的“信号效应”及他们之间存在的代理成本促进了产险公司资本结构的提高。虽然实证证明了我国产险公司特许权价值对产险公司资本结构有风险自律的效应,但是由于我国产险业的特许权价值呈现出逐年下降的趋势,这反而导致了特许权价值自律效应的下降和我国产险业资本结构逐年提高的趋势。
第七章偿付能力监管对保险公司资本结构影响的实证分析。本章采用11家我国产险公司2001年-2006年的数据,实证分析偿付能力监管对产险公司资本结构及产险公司效率的影响,同时也检验产险公司资本结构与公司效率的相互关系。结果发现我国产险公司没有对偿付能力监管要求做出敏感反应,监管压力没能刺激保险公司降低杠杆比率,我国保险公司偿付能力监管没有实现监管目标,扭转保险公司资本结构不断上升的趋势。偿付能力监管压力没有降低产险公司的经营效率,反而促进了偿付能力不足的产险公司效率的提高。结果还发现资本结构越高的产险公司,公司的效率越低。
第八章结论及建议。结合前面几章对保险公司资本结构影响因素的理论与实证研究,对保险公司资本结构影响因素进行了总结,并在此基础上,从特许权价值自律、债权人市场约束和偿付能力监管有效性等几方面提出了建议。
论文在系统研究保险公司资本结构影响因素的过程中,‘力图实现以下几方面的创新：
第一,构建了保险公司资本结构影响因素的分析框架。保险公司做为一个商业机构,与其他行业的企业一样,追逐企业价值最大化,同时保险行业又是一个受到政府保护和严格监管的行业。本文立足从市场和偿付能力监管两方面,构建了保险公司资本结构影响因素的分析框架。在市场条件下,将影响保险公司资本结构的因素分为两类,一类是市场激励因素,另一类是市场约束因素。这两类因素决定着保险公司市场条件下最优资本结构的选择。偿付能力监管约束同时又是影响保险公司资本结构的重要因素。保险公司资本结构决策是在市场与监管中的各种激励与约束因素中做出的理性权衡与选择。
第二,论文首次度量了保险公司特许权价值,并通过建模和实证分析了特许权价值对保险公司资本结构的影响。关于保险公司特许权的价值的研究目前国内外还是凤毛麟角,本文引用了Merton(1977)的模型分析了保险公司特许权价值对资本结构的影响,并且利用税后利润法度量了我国产险公司特许权价值,并在此基础上实证分析了产险公司特许权价值对资本结构的影响。
第三,论文不但考察了偿付能力监管对保险公司资本结构的影响,而且还首次对偿付能力监管的有效性进行理论与实证分析。论文从理论的角度分析了偿付能力监管对保险公司资本结构的影响,同时提出了偿付能力监管有效性判断标准,最后还通过产险公司数据实证分析了偿付能力监管对我国产险公司资本结构的影响,并同时分析了偿付能力监管是否影响了保险公司的效率。
The capital structure theory for the non-insurance enterprise has been extensively analyzed in the financial literature. In contrast, a similar type of capital structure available to the insurance company has received little attention in the insurance literature. Insurers, as a financial intermediary, are different than other firms. On the one hand, most insurers are protected by the guarantee fund, while on the other hand, insurers are under rigid solvency regulations (minimum solvency margin requirement). The choice of capital structure is appropriately viewed as a complex, multidimensional decision by insurer management. The paper investigated the determinants of the capital structure of insurers in the prospect of market regime and solvency regulatory regime. In the market regime, insurer's market capital structure is the capital structure that maximizes the value of the insurers in the absence of solvency regulation.This market captial structure which may differ for each insurer, is the ratio toward which each insurer would tend to move in the long run in the absence of regulatory capital requirements. The considerations for market capital structure are generic to all firms-insurers as well as non-insurers. Much of these considerations are based on the tax effects of debt, information asymmetries, agency costs and the costs of bankruptcy. These are theories that are generic to all firms-insurers as well as non-insurers. The market capital structure requirements may influence the capital decisions of any firm. However, the insurers have their own unique characters, and one point of departure of insurer capital structure theory is in the recognition that most insurers are protected by the guarantee fund, The guarantee fund, can be viewed as a put option and this put option is owned by the shareholders of the insurers. Hence, value maximizing shareholders have incentive to increase the capital structure (the strike price of the put) as well as the risk of the insurer. Consequently a manager of an insurer, acting in the interest of the shareholders would like to operate with no equity (at the limit), however the excessive risk taking is encouraged by the provision of guarantee fund has a countervailing force-Charter Value. Charter value can be simply defined as the "going concern" value of the insurer. In other words, it increases the costs of financial distress (bankruptcy) because shareholders will loose the franchise value in case of bankruptcy. Franchise value therefore provides capital structure risk-constraining incentives for firms to protect their franchise value. Without the solvency regulation(minimum solvency margin), the trade off between these two countervailing forces-the put option and the charter value-mainly determines the optimal capital structure for an insurer, there exists an interior optimal capital structure in an insurer with guarantee fund and charter value.
But when the minimum solvency margin is set by the regulator, the insurer has to keep its capital ratio above a fixed minimum capital ratio. Otherwise, the insurer will suffer the regulatory cost. If the optimal market capital ratio is greater than the regulatory minimum, then the insurer is considered to be in a market regime, and the regulatory requirements don't influence its capital ratio, but if the optimal capital ratio with guarantee fund and charter value is less than the regulatory minimum, the insurer might be expected to just meet the minimum capital ratio, the insurer is considered to be in a regulatory regime.
So the purpose of this study is use the data of property-liability insurers (from 2001 to 2006) in China to investigate the determinnants of insurance capital structure? And examine what kind of the regime affect the optimal capital structure of insurers? A regulatory regime or a market regime?. And this paper will investigate the relationship of capital structure of the insurers among the charter value, guarantee fund and solvency regulation.
但是当考虑到保险公司偿付能力监管时,其硬性约束带来的监管成本时会促使某些保险公司调整资本结构比率。如果保险公司市场最优的资本结构已经满足了最低偿付能力的要求,则保险公司资本结构是基于市场条件下的最优,它不需要做任何调整；如果保险公司市场最优的资本结构不满足最低偿付能力的要求,此时保险公司会调整资本结构,使资本结构比率刚好满足最低偿付能力要求,因此偿付能力监管的硬性约束改变了他们资本结构的持有比率,此时保险公司的资本结构是基于偿付能力监管条件下的最优比率。
因此,本文将利用我国产险公司2001年至2006年的数据,分析我国保险公司资本结构的影响因素,并在此基础上验证我国保险业的资本结构比率是基于市场还是偿付能力监管而做的选择?并且本文将通过理论和实证分析保险公司特许权价值、保险保障制度以及偿付能力监管对保险公司资本结构的影响。
本文的主要结构和内容如下。
第一章：绪论。阐述了问题的提出、研究内容、结构和方法以及研究中的创新与不足。
第二章：文献综述。对现代资本结构理论及保险公司资本结构理论的研究进展进行了梳理与综述。
第三章：保险公司资本结构的变化与比较。对保险公司的性质、资本及资本结构进行了界定,并对我国产险业及寿险业资本结构的变化趋势进行了描述,分析了资本结构变化的原因。
第四章：基于市场条件下,保险公司资本结构影响因素分析。在不考虑保险公司偿付能力监管的条件下,根据资本结构理论的权衡理论、激励理论和信号传递理论观点梳理了保险公司资本结构决定的市场激励和市场约束因素,一方面,保险债务的税收产生的税盾效应、保险公司股东与经理之间的权益型代理成本及保险公司股东与管理者之间的信息不对称产生的“信号效应”将会激励保险公司提高资本结构,促进债务水平的提高；另一方面,增加债务所带来的特许权价值的损失成本以及保单持有者与保险公司股东的债务型代理成本会激励保险公司降低资本结构,促进债务水平的降低。但是由于我国保险行业存在保险保障制度,它将会使保单持有者与保险公司股东的代理成本由保险保障基金来承担,保单持有者丧失了对保险公司风险的市场约束力,因此在市场条件下,约束保险公司资本结构风险的重要因素是特许权价值。
第五章偿付能力监管对保险公司资本结构的影响。分析了保险监管当局实施偿付能力监管的动因、并对偿付能力监管约束及保险公司资本结构调整意愿进行了分析,偿付能力监管的约束只会影响部分保险公司的资本结构调整意愿,而并不能改变所有的保险公司,偿付能力监管的约束力的大小与监管当局对于偿付能力不足保险公司的惩罚措施的可置信性和惩罚的轻重水平高低的影响。有效的偿付能力监管是能够让偿付能力不足的保险公司降低资本结构,并且同时没有使保险公司选择承担风险程度更高的承保风险和投资风险,同时保险公司的效率没有大幅降低,偿付能力监管制度最理想的效果就是能同时实现保险业安全性和效率的提高,或者至少能在实现一个目标的同时,对另一目标并未造成严重的后果。
第六章基于市场条件下,保险公司资本结构影响因素的实证分析。本章以11家我国产险公司2001年-2006年的数据,构建面板模型实证分析了市场激励和市场约束因素对我国产险公司资本结构的影响,结果发现特许权价值对资本结构有风险约束作用,能促进产险公司降低杠杆比率,但是保险保障制度削弱了产险公司特许权价值的自律效应,产险公司股东与管理者的信息不对称带来的“信号效应”及他们之间存在的代理成本促进了产险公司资本结构的提高。虽然实证证明了我国产险公司特许权价值对产险公司资本结构有风险自律的效应,但是由于我国产险业的特许权价值呈现出逐年下降的趋势,这反而导致了特许权价值自律效应的下降和我国产险业资本结构逐年提高的趋势。
第七章偿付能力监管对保险公司资本结构影响的实证分析。本章采用11家我国产险公司2001年-2006年的数据,实证分析偿付能力监管对产险公司资本结构及产险公司效率的影响,同时也检验产险公司资本结构与公司效率的相互关系。结果发现我国产险公司没有对偿付能力监管要求做出敏感反应,监管压力没能刺激保险公司降低杠杆比率,我国保险公司偿付能力监管没有实现监管目标,扭转保险公司资本结构不断上升的趋势。偿付能力监管压力没有降低产险公司的经营效率,反而促进了偿付能力不足的产险公司效率的提高。结果还发现资本结构越高的产险公司,公司的效率越低。
第八章结论及建议。结合前面几章对保险公司资本结构影响因素的理论与实证研究,对保险公司资本结构影响因素进行了总结,并在此基础上,从特许权价值自律、债权人市场约束和偿付能力监管有效性等几方面提出了建议。
论文在系统研究保险公司资本结构影响因素的过程中,‘力图实现以下几方面的创新：
第一,构建了保险公司资本结构影响因素的分析框架。保险公司做为一个商业机构,与其他行业的企业一样,追逐企业价值最大化,同时保险行业又是一个受到政府保护和严格监管的行业。本文立足从市场和偿付能力监管两方面,构建了保险公司资本结构影响因素的分析框架。在市场条件下,将影响保险公司资本结构的因素分为两类,一类是市场激励因素,另一类是市场约束因素。这两类因素决定着保险公司市场条件下最优资本结构的选择。偿付能力监管约束同时又是影响保险公司资本结构的重要因素。保险公司资本结构决策是在市场与监管中的各种激励与约束因素中做出的理性权衡与选择。
第二,论文首次度量了保险公司特许权价值,并通过建模和实证分析了特许权价值对保险公司资本结构的影响。关于保险公司特许权的价值的研究目前国内外还是凤毛麟角,本文引用了Merton(1977)的模型分析了保险公司特许权价值对资本结构的影响,并且利用税后利润法度量了我国产险公司特许权价值,并在此基础上实证分析了产险公司特许权价值对资本结构的影响。
第三,论文不但考察了偿付能力监管对保险公司资本结构的影响,而且还首次对偿付能力监管的有效性进行理论与实证分析。论文从理论的角度分析了偿付能力监管对保险公司资本结构的影响,同时提出了偿付能力监管有效性判断标准,最后还通过产险公司数据实证分析了偿付能力监管对我国产险公司资本结构的影响,并同时分析了偿付能力监管是否影响了保险公司的效率。
The capital structure theory for the non-insurance enterprise has been extensively analyzed in the financial literature. In contrast, a similar type of capital structure available to the insurance company has received little attention in the insurance literature. Insurers, as a financial intermediary, are different than other firms. On the one hand, most insurers are protected by the guarantee fund, while on the other hand, insurers are under rigid solvency regulations (minimum solvency margin requirement). The choice of capital structure is appropriately viewed as a complex, multidimensional decision by insurer management. The paper investigated the determinants of the capital structure of insurers in the prospect of market regime and solvency regulatory regime. In the market regime, insurer's market capital structure is the capital structure that maximizes the value of the insurers in the absence of solvency regulation.This market captial structure which may differ for each insurer, is the ratio toward which each insurer would tend to move in the long run in the absence of regulatory capital requirements. The considerations for market capital structure are generic to all firms-insurers as well as non-insurers. Much of these considerations are based on the tax effects of debt, information asymmetries, agency costs and the costs of bankruptcy. These are theories that are generic to all firms-insurers as well as non-insurers. The market capital structure requirements may influence the capital decisions of any firm. However, the insurers have their own unique characters, and one point of departure of insurer capital structure theory is in the recognition that most insurers are protected by the guarantee fund, The guarantee fund, can be viewed as a put option and this put option is owned by the shareholders of the insurers. Hence, value maximizing shareholders have incentive to increase the capital structure (the strike price of the put) as well as the risk of the insurer. Consequently a manager of an insurer, acting in the interest of the shareholders would like to operate with no equity (at the limit), however the excessive risk taking is encouraged by the provision of guarantee fund has a countervailing force-Charter Value. Charter value can be simply defined as the "going concern" value of the insurer. In other words, it increases the costs of financial distress (bankruptcy) because shareholders will loose the franchise value in case of bankruptcy. Franchise value therefore provides capital structure risk-constraining incentives for firms to protect their franchise value. Without the solvency regulation(minimum solvency margin), the trade off between these two countervailing forces-the put option and the charter value-mainly determines the optimal capital structure for an insurer, there exists an interior optimal capital structure in an insurer with guarantee fund and charter value.
But when the minimum solvency margin is set by the regulator, the insurer has to keep its capital ratio above a fixed minimum capital ratio. Otherwise, the insurer will suffer the regulatory cost. If the optimal market capital ratio is greater than the regulatory minimum, then the insurer is considered to be in a market regime, and the regulatory requirements don't influence its capital ratio, but if the optimal capital ratio with guarantee fund and charter value is less than the regulatory minimum, the insurer might be expected to just meet the minimum capital ratio, the insurer is considered to be in a regulatory regime.
So the purpose of this study is use the data of property-liability insurers (from 2001 to 2006) in China to investigate the determinnants of insurance capital structure? And examine what kind of the regime affect the optimal capital structure of insurers? A regulatory regime or a market regime?. And this paper will investigate the relationship of capital structure of the insurers among the charter value, guarantee fund and solvency regulation.
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