台灣產物保險市場之權益資金成本The Cost of Equity Capital in Taiwan Non-Life Insurance Market

摘要
　　本研究評估台灣產物保險公司及個別險種所承受之系統風險，以檢視費率自由化實施階段產物保險市場之權益資金成本。實證研究期間與對象為2002年至2008年於台灣股票上市及金融控股公司之產物保險子公司，利用資本資產定價模型(CAPM)及Fama-French三因子模型依完備資訊法評估產物保險市場之系統風險及權益資金成本。實證結果顯示：(1)FF3F所估計公司及個別險種之權益資金成本均高於CAPM之結果，反映公司規模及財務資訊之風險溢酬。(2)台灣產物保險市場之權益資金成本低於美、日市場之實證結果，顯示產險公司於台灣資本市場之籌資成本相對較低，反映於費率自由化實施階段之市場價格競爭現象。
關鍵字：費率自由化、資本資產定價模型、Fama-French三因子模型、完備資訊方法
Abstract
　　This paper investigates the cost of equity capital for Taiwan non-life insurance market during the premium deregulation. The sample is the listed companies or subsidiary in the financial holding companies in Taiwan from 2002 through 2008. Capital asset pricing model and Fama-French three-factor model are employed to estimate the results and full-information industry beta method is used to decompose the cost of equity capital by line. The results show that: (1) the estimates in FF3F model are higher than those in CAPM through the effects of firm size and written premium; (2) the costs of equity capital in Taiwan market are lower than those in U.S. and Japan. It shows that the relative low cost of equity financing could trigger the price competition during the premium deregulation.
Keywords: premium deregulation, CAPM, FF3F, full-information industry beta