企業風險管理(ERM)一直是近年來媒體持續關注的話題。許多組織已經實施了ERM項目， 咨詢公司也都設立了專門的企業風險管理職位，大學已經開發出了企業風險管理相關的課程和研究中心。

　　Enterprise risk management (ERM) has been the topic of increased media attention in recent years. Many organizations have implemented ERM programs, consulting firms have established specialized ERM units, and universities have developed ERM-related courses and research centers.

　　盡管提高了學者和從業者對企業風險管理的的興趣，但目前還沒有辦法證明這種管理方案對企業價值有影響。本研究的目的是評估已經實施了企業風險管理計劃的企業，并評估這些方案的實際所產生的價值。我們把注意力集中在這項研究中的美國保險公司，他們可能會為了控制各行業的市場而調整實際方案。

　　Despite the heightened interest in ERM by academics and practitioners, there is an absence of empirical evidence regarding the impact of such programs on firm value. The objective of this study is to measure the extent to which specific firms have implemented ERM programs and, then, to assess the value implications of these programs. We focus our attention in this study on U.S. insurers in order to control for differences that might arise from regulatory and market differences across industries.

　　We use a maximum-likelihood treatment effects framework to simultaneously model the determinants of ERM and the effect of ERM on firm value. In our ERM-choice equation we find ERM usage to be positively related to factors such as firm size and institutional ownership, and negatively related to reinsurance use, leverage, and asset opacity. By focusing on publicly-traded insurers we are able to estimate the effect of ERM on Tobin’s Q, a standard proxy for firm value. We find a positive relation between firm value and the use of ERM. The ERM premium of roughly 20% is statistically and economically significant and is robust to a range of alternative specifications of both the ERM and value equations.

　　Interest in enterprise risk management (ERM) has continued to grow in recent years. Increasing numbers of organizations have implemented or are considering ERM programs, consulting firms have established specialized ERM units, rating agencies have begun to consider ERM in the ratings process2 and universities have developed ERM-related courses and research centers. Unlike traditional risk management where individual risk categories are separately managed in risk ‘silos’, ERM enables firms to manage a wide array of risks in an integrated, enterprise-wide fashion. Academics and industry commentators argue that ERM benefits firms by decreasing earnings and stock-price volatility, reducing external capital costs, increasing capital efficiency, and creating synergies between different risk management activities (Miccolis and Shah, 2000; Cumming and Hirtle, 2001; Lam, 2001; Meulbroek, 2002; Beasley, Pagach, and Warr, 2008). More broadly, ERM is said to promote increased risk awareness which facilitates better operational and strategic decision-making. Despite the substantial interest in ERM by academics and practitioners and the abundance of survey evidence on the prevalence and characteristics of ERM programs (see for example Miccolis and Shah, 2000; Hoyt, Merkley, and Thiessen, 2001; CFO Research Services, 2002; Kleffner, Lee, and McGannon, 2003; Liebenberg and Hoyt, 2003, Beasley, Clune, and Hermanson, 2005), there is an absence of empirical evidence regarding the impact of such programs on firm value. The absence of clear empirical evidence on the value of ERM programs continues to limit the growth of these programs. According to one industry consultant, Sim Segal of Deloitte Consulting, corporate executives are “justifiably uncomfortable making a deeper commitment to ERM without a clear and quantifiable business case.”#p#分頁標題#e#

　　The objective of this study is to measure the extent to which specific firms have implemented ERM programs and, then, to assess the value implications of these programs. While ERM activities by firms in general would be of interest, we focus our attention in this study on U.S. insurers in order to control for differences that might arise from regulatory and market differences across industries. We also 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. Our primary sources of information on the extent of ERM implementation by each insurer come from a search of Lexis-Nexis for the existence of a CRO/Risk Management Committee and a review of SEC filings for evidence of an ERM framework. We augment this with a general search of other public announcements of ERM activity for each of the insurers in our sample.

　　The study is structured as follows. First, we provide a brief summary of the literature regarding the determinants of two traditional risk management activities – insurance and hedging. We then discuss the forces that have driven the popularity of ERM and the perceived benefits of using an ERM approach, and why in theory ERM may add value. Third, we develop a set of indicators of ERM activity that we use to assess the degree to which individual insurers have implemented ERM programs. Fourth, we describe our sample, data, empirical methodology, and results. Finally, we conclude by summarizing our results and discussing avenues for further research.

　　While little academic literature exists on the motivations for ERM, the determinants of traditional risk management activities such as hedging and corporate insurance purchases are well documented. Corporate insurance demand by firms with well-diversified shareholders is not driven by risk aversion. Since sophisticated shareholders are able to costlessly diversify firm-specific risk, insurance purchases at actuarially unfair rates reduce stockholder wealth. However, when viewed as part of the firm’s financing policy corporate insurance may increase firm value through its effect on investment policy, contracting costs, and the firm’s tax liabilities (Mayers and Smith, 1982). Thus, the theory suggests that firms should purchase insurance because it potentially reduces: (i) the costs associated with conflicts of interest between owners and managers4 and between shareholders and bondholders; (ii) expected bankruptcy costs; (iii) the firm’s tax burden; and (iv) the costs of regulatory scrutiny.6 A number of studies have found general support for these theoretical predictions (see Mayers and Smith, 1990; Ashby and Diacon, 1998; Hoyt and Khang, 2000; Cole and McCullough, 2006).

　　As with corporate insurance purchases, corporate hedging reduces expected bankruptcy costs by reducing the probability of financial distress (Smith and Stulz, 1985). Furthermore, the hedging literature suggests that, much like corporate insurance, this form of risk management potentially mitigates incentive conflicts, reduces expected taxes, and improves the firm’s ability to take advantage of attractive investment opportunities (see Smith and Stulz, 1985; MacMinn, 1987; Campbell and Kracaw, 1990; Bessembinder, 1991; Froot, Scharfstein, and Stein, 1993; Nance, Smith, and Smithson, 1993). http://ukthesis.org/htgl/ Empirical evidence generally supports these theoretical predictions (see Nance, Smith, and Smithson, 1993; Colquitt and Hoyt, 1997).