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由于企业风险管理活动的最早依据出现在1998年，所以我们收集的数据有一定的局限性。这些数据包括从1998年至2005年的8年间，排除公司无法统计的销售额、固定资产、股权和美国信托凭证。然后，我们进行了审查，按日期顺序，以订单为单位，对每家公司的企业风险管理活动进行评估。 Because the earliest evidence of ERM activity is in 1998 we limit our data collection to the eight-year period from 1998 to 2005, and exclude firms with missing Compustat values for sales, assets, or equity, and American Depository Receipts. We then All potential hits were reviewed in reverse date order in order to locate the single, earliest evidence of ERM activity for each firm. 我们试图找出这些公司的风险管理实际实施情况。因为公司不要求提交关于企业是否从事企业风险管理的财务报告，我们通过对报社和其他媒体公开的信息进行分析，得出了一个比较详细的财务报告。 We then attempt to identify ERM activity for each of these firms. Because firms are not required to report whether they engage in enterprise risk management, we perform a detailed search of financial reports, newswires, and other media for evidence of ERM activity. This section provides theoretical arguments for the value relevance of ERM. Profit-maximizing firms should consider implementing an ERM program only if it increases expected shareholder wealth. While the individual advantages of different risk management activities are clear, there are disadvantages to the traditional “silo” approach to risk management. Managing each risk class in a separate silo creates inefficiencies due to lack of coordination between the various risk management departments. Proponents of ERM argue that by integrating decision making across all risk classes, firms are able to avoid duplication of risk management expenditure by exploiting natural hedges. Firms that engage in ERM should be able to better understand the aggregate risk inherent in different business activities. This should provide them with a more objective basis for resource allocation, thus improving capital efficiency and return on equity. Organizations with a wide range of investment opportunities are likely to benefit from being able to select investments based on a more accurate risk-adjusted rate than was available under the traditional risk management approach (Meulbroek, 2002). While individual risk management activities may reduce earnings volatility by reducing the probability of catastrophic losses, there are potential interdependencies between risks across activities that might go unnoticed in the traditional risk management model. ERM provides a structure that combines all risk management activities into one integrated framework that facilitates the identification of such interdependencies. Thus, while individual risk management activities can reduce earnings volatility from a specific source (hazard risk, interest rate risk, etc.), an ERM strategy aims to reduce volatility by preventing aggregation of risk across different sources. A further potential source of value from ERM programs arises due to improved information about the firm’s risk profile. Outsiders are more likely to have difficulty in assessing the financial strength and risk profile of firms that are highly financially and operationally complex. ERM might enable these opaque firms to better inform outsiders of their risk profile and should serve as a signal of their commitment to risk management. By improving risk management disclosure, ERM is likely to reduce the expected costs of regulatory scrutiny and external capital (Meulbroek, 2002).#p#分页标题#e# Additionally, for insurers the major ratings agencies have put increasing focus on risk management and ERM specifically as part of their financial review. This is likely to provide additional incentives for insurers to consider ERM programs, and also suggests a potential value implication to the existence of ERM programs in insurers. As an example of this interest from the rating agencies in the implications of ERM, in October 2005 Standard & Poor’s announced that with the emergence of ERM, risk management will become a separate, major category of its analysis. In February 2006, A.M. Best released a special report describing its increased focus on ERM in the rating process. Smithson and Simkins (2005) provide a thorough review of the literature regarding the value-relevance of risk management. While their study examines four specific questions, their focus on the relationship between the use of risk management and the value of the firm is most relevant to our study. Of the studies examined by Smithson and Simkins (2005), one considered interest rate and FX risk management by financial institutions, five considered interest rate and FX risk management by industrial corporations, one considered commodity price risk management by commodity users, and three considered commodity price risk management by commodity producers. While this series of prior studies has considered these specific types of hedging activity, no prior study has considered the value-relevance of a firm’s overall or enterprise-wide risk management practices. While many of these prior studies have found evidence of a positive relationship between specific forms of risk management and the value of the firm, others such as Guay and Kothari (2003) suggest that corporate derivatives positions in general are far too small to account for the valuation premiums reported in some of these studies (e.g., Allayannis and Weston, 2001). In contrast to the prior studies of the value-relevance of risk management, we focus not on assessing the potential value-relevance of specific forms of hedging or risk management but on the overall risk management posture of the firm at the enterprise level. In other words, is the firm pursing an ERM program or not, http://www.ukassignment.org/fxgllw/ and if it is, what is the value associated with such a program? In order to control for differences that might arise from regulatory and market differences across industries, we have elected to focus our attention in this study on U.S. insurers. We also have elected to focus on publicly-traded insurers so that we have access to market-based measures of value and because we are more likely to observe public disclosures of ERM activity among publicly-traded firms.8Our initial sample is drawn from the universe of insurance companies (SIC codes between 6311 and 6399) in the merged CRSP/COMPUSTAT database for the period 1995 to 2005. This sample is comprised of 275 insurance firms that operated in any year during the 11-year period. More specifically, we use Factiva, Thomson, and other search engines to perform separate keyword searches for each insurer. Our search strings included the following phrases, their acronyms, as well as the individual words within the same paragraph; “enterprise risk management”, “chief risk officer”, “risk committee”, “strategic risk management”, “consolidated risk management”, “holistic risk management”, “integrated risk management”. We chose these particular search strings because the second and third phrases are prominent methods for the implementation and management of an ERM program, and the other phrases are synonymous with enterprise risk management (Liebenberg and Hoyt, 2003). Each search “hit” was manually reviewed within its context in order to determine that each recorded successful hit related to ERM adoption or engagement as opposed to, for example, the sale of ERM products to customers. Each successful hit was then dated and coded to record which key words generated the hit.10 |
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