-企业风险管理对企业绩效的影响外文翻译.doc

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原文：
The effects of enterprise risk management on firm performance
Pagach. Donald P. and Warr. Richard S
We study the effect of adoption of enterprise risk management (ERM) principles on firms’ long-term performance by examining how financial, asset and market characteristics change around the time of ERM adoption. Using a sample of 106 firms that announce the hiring of a Chief Risk Officer (an event frequently accompanied by adoption of Enterprise Risk Management) we find that some firms adopting ERM experience a reduction in earnings volatility. In general however, we find little impact from ERM adoption on a wide range of firm variables. While our results could be due to lower power tests, they also raise the question of whether ERM is achieving its stated goals. Overall, our results fail to find support for the proposition that ERM is value creating, although further study is called for, in particular the study of how ERM success can be measured.
1、Introduction
Enterprise risk management (ERM) is an increasingly popular strategy that attempts to holistically evaluate and manage all of the risks faced by the firm. In doing so, ERM uses the firm’s risk appetite to determine which risks should be accepted and which should be mitigated or avoided. While there has been a considerable increase in practitioner attention on ERM in recent years, little academic research exists about ERM, and in particular about the consequences of ERM on firm performance. This is true even though the Conference Board has found that a large number of companies are now starting to use ERM as a strategic management tool (The Conference Board, July 2005). In addition, Standard and Poor’s has introduced enterprise risk management analysis into its global corporate credit rating process starting in the third quarter of 2008 (Standard and Poors, May 2008).
This purpose of this paper is to examine the effect of ERM implementation, and to establish whether firms adopting ERM actually achieve observable results consistent with the claimed benefits of ERM. We believe that our work is important and timely because although many surveys have stated the benefits of adopting ERM (Marsh and McLennan, 2005), there has been little empirical evidence on how ERM affects firms. We argue that the primary goal of ERM is to reduce the probability of financial distress and allow firms to continue their investment strategies by reducing the effect lower tail outcomes, whether earnings or cash flow, caused by unexpected events. Having smoother, steadier earnings and cash flow performance allows the firm to increase leverage, pursue more growth options and perhaps be more profitable.
Our research focuses on the following questions. First, do firms’ experience a change in earnings volatility around ERM adoption? This research question examines the proactive nature of ERM and whether companies adopting ERM are able to protect themselves from severe earnings events and generate smoothed earnings. The COSO ERM framework states that ERM aids in reducing operational surprises and losses by allowing managers to better identify potential events that cause such surprises. Firms can then establish responses to reduce the effects of these surprises (COSO, 2004).
Second, do firms’ adopting ERM improve financial performance relative to past performance and after controlling for industry performance? This research question provides evidence on the view that ERM has value creating ability; captured in the following statement: “There is clearly a heightened awareness of the need to manage risks more strategically in order to achieve expected shareholder value (The Conference Board, July 2005)”. Under this view ERM creates value by identifying and proactively addressing risks.
Third, do firms’ financial characteristics, such as leverage, growth and asset opacity change after ERM implementation? This research question examines the effect that ERM has on the firm and whether ERM processes change critical risk interdependencies. Proponents argue that an additional benefit of initiating ERM is that it allows firms to seize opportunities by allowing managers to better identify and more effectively assess capital needs and improve capital allocation (COSO, 2004).
Understanding whether or not ERM is achieving its stated goals is an important question. First, significant resources, both corporate and governmental are being expended on understanding, developing and implementing ERM programs. Second, even if ERM provides a consistent process for risk identification it is possible that the benefits are not significant enough to become evident in the firm’s financial performance. ERM is not a costless activity, and as such, if it fails to deliver observable benefits, its implementation may be called into question.
As a preview of our results we find little evidence that adoption of ERM results in significant changes in our sample firms. However, when we examine a subset of firms for whom the market perceived ERM adoption as most beneficial, we find some evidence of risk reduction.
2. Hypothesis Development
In a frictionless capital market with no asymmetric information, risk management at the firm level should be a negative NPV project. However, Stulz (1996, 2003) and Nocco and Stulz (2006) present arguments under which risk management activities could be value increasing for shareholders when agency costs, market imperfections and information asymmetries interfere with the operation of perfect capital markets.
Although risk is generally considered to be the possibility of outcomes that deviate from what was expected, it is primarily negative outcomes that are of most concern to firms. Stulz (1996, 2003) argues that any potential value creation role for risk management is in the reduction or elimination of “costly lower-tail outcomes.” Lower tail outcomes are primarily negative earnings and cash flow shocks and can have both direct and indirect costs. Direct costs are incurred in events such as bankruptcy and financial distress when the firm must make outlays to creditors, lawyers and courts. Indirect costs of associated with negative earnings and cash flow shocks, include the loss of reputation that may affect customer and vendor relationships.
In addition, indirect costs hamper the ability to pursue profitable growth options, and the ability to realize the full value of intangible assets upon liquidation. A decline in debt ratings and the resulting increase in borrowing costs can also be costly for shareholders in that previously positive NPV projects may now have to be foregone. Direct costs also include the costs associated with missing earnings targets and violating debt covenants. Stulz (1996, 2003) argues that risk management can be value creating if it is able to reduce the likelihood of these negative earnings shocks and in turn, help the firm avoid the direct and indirect costs associated with financial distress.
Risk management in the traditional sense usually implies offsetting known risks by purchasing insurance or engaging in financial engineering using derivatives .Enterprise risk management (ERM) takes a holistic view of risk management and attempts to reduce the probability of large negative earnings and cash flows by coordinating and controlling offsetting risks across the enterprise. For example, The COSO framework defines ERM as follows:
“Enterprise risk management is a process, effected by an entity’s board of directors, management and other personnel, applied in strategy setting and across the enterprise, designed to identify potential events that may affect the entity, and manage risk to be within its risk appetite, to provide reasonable assurance regarding the achievement of entity objectives.”
COSO summarizes ERM as
“help(ing) an entity get to where it wants to go and avoid pitfalls and surprises along the way.”
Although there are many variations in the definition of ERM, the basic theme is that ERM is primarily a way of measuring understanding and controlling the risks facing the firm. In some cases ERM is also viewed as a management tool that can identify profitable opportunities to enhance shareholder wealth. Risk management in this manner can ensure that no single project risk has an adverse effect on the overall firm. Thus ERM provides the potential benefit of reducing the direct and indirect costs associated with financial distress. ERM will have its greatest effect on earnings by reducing variability through controls on the risk of cost centers and revenue sources.
Consistent with this view of ERM Standard and Poor’s states that evaluations of firms' enterprise risk management structures will focus on ensuring that firms are addressing all of their risks, setting proper expectations about which risks are and are not taken and setting methods that ensures that firms’ avoid losses outside tolerance levels. Standard and Poor’s also states that ERM is not a process to ensure that a firm eliminates all risks or a guarantee that losses will be avoided or a replacement for internal controls. ERM analysis by Standard and Poor’s will be incorporated into regular credit reviews and will be part of the analysis of risk management culture, which will also include governance, accounting policies and issues and derivative.
Previous research has sought to understand the benefits of ERM by examining the stock market reaction to ERM adoption, as proxied by the appointment of a Chief Risk Officer or equivalent. Examining a sample of 120 companies appointing CROs Beasley, Pagach and Warr (2007) find no significant stock price reaction (positive or negative) to announcements of ERM adoption. However, a cross-sectional analysis finds that firms in non-financial industries that are more likely to experience costly lower tail outcomes have a positive stock price reaction around the adoption of ERM. These results are consistent with Stulz (1996, 2003) who points out that it is only firms that face these lower tail outcomes that will benefit from ERM, while other firms will see no benefit and could destroy value by spending corporate resources on risk management.
In this paper, we seek to examine whether ERM adoption has a material change on a range of observable financial measures. We fully recognize that ERM may be working very effectively, but observable financial measures are unaffected. This unobservability could be a result of ERM working properly and mitigating problems such that the firm’s performance is better than if it had not used ERM. In addition, we may not be able to observe changes in financial performance because the firm has not had any earnings or operating shocks in the recent past and has none after ERM adoption. This is analogous to a firm having insurance, but not needing to draw on it. However, in both cases even though we may not observe a direct reduction in risk, through smoother earnings, we might expect changes in capital structure, profitability and asset composition, consistent with the firm being more confident in its management of risks.
To specifically examine the effect of ERM on the firm, we look at a range of characteristics. We group these characteristics in four broad categories: risk characteristics, financial characteristics, asset characteristics and market characteristics. We compare changes in a sample of ERM adopters to a carefully selected control group. In addition, because the adoption of ERM is more advanced in the financial industry we examine a sub-sample of banks using industry-specific characteristics.
Risk Characteristics
As a goal of ERM is to reduce operational surprises, we expect ERM adopting firms to see a reduction in earnings and stock price volatility. This reduced volatility is the expected result of a successful implementation of ERM which should lead to smoother earnings and a reduced probability of experiencing a lower tail outcome.
Financial Characteristics
The financial characteristics we examine are related to the likelihood of the firm experiencing a costly lower tail outcome. The first financial characteristic is leverage. Firms with higher leverage are more likely to suffer financial distress. Excessive leverage may also limit a firm’s flexibility when pursuing additional profitable investment projects. The effect of ERM adoption on leverage is dependent upon whether the firm decides that it needs to lower its risk exposure in these areas, or whether the firm decides that because of ERM, it can afford to bear more financial risk. Thus the impact of ERM adoption on leverage is unclear, however, for firms that were previously at their target leverage level, greater control of operational risks would suggest that the firm could increase its debt capacity.
Asset Characteristics
The asset characteristics used provide information about the degree to which a firm’s assets are likely to be impaired in financial distress. The first asset characteristic we examine is opacity. In a period of financial distress brought on by a operating shortfall, firms that derive much of their operating income from opaque assets may have difficulty quickly liquidating these assets at fair market value in order to raise capital to avert financial distress. This is due to the information asymmetries normally associated with opaque assets and the relative lack of marketability for such assets.
The second asset characteristic we examine is growth options. Firms with growth options have much of the firm’s value tied to future, and as yet, unrealized cash flows. Because of the uncertain nature of the payoff from such assets, the value of these investments is unlikely to be fully realized in bankruptcy. If, after adopting ERM, the firm considers financial distress to be less likely (through a reduction in lower tail outcomes), we expect to observe greater investment in opaque assets and assets with growth options.

Source: Pagach, Donald P. and Warr, Richard S. 2010 “The Effects of Enterprise Risk Management on Firm Performance”. Available at SSRN: July 6, 2008.

译文：
企业风险管理对企业绩效的影响
我们研究企业采用企业风险管理（ERM）原则对公司长期业绩产生的影响，通过分析使用ERM期间公司财务、 资产和市场特征发生的变化。以一个有106个公司组成的样本为例，这些公司宣称聘用了首席风险经理人（实施风险管理后经常伴随出现的事件）我们发现一些正在实施ERM的公司在减少收入变动上取得了成绩。但是，我们发现实施 ERM 对大量的固定变量影响甚微。虽然我们得出的结果可以归因于有限的调查，他们也提出 ERM 是否能实现其既定的目标。从整体上看，我们未找到论点支持ERM 能创造价值，但还是呼吁进一步研究的，特别是研究如何来衡量 ERM取得的成功。
1、引言
企业风险管理(ERM)是一项越来越受欢迎的战略，该战略尝试进行全面评估和管理公司所面临的所有风险。在这情况下， ERM 根据该公司的风险偏好以确定应接受哪些风险，而哪些风险是应减少或避免的。虽然近年关注ERM 的人士大量增加，关于ERM的各种小型研究一直存在，特别是有关ERM对公司绩效影响的研究。这是真实的即使会议委员会已发现大量的公司现开始使用 ERM 作为一种战略管理工具（会议理事会2005年7月），情况也是如此。另外标准普尔已将企业风险管理分析纳入其正开始的2008年第三季全球企业资信评级进程中（标准普尔2008 年5月）。
这篇文章的目的是探讨研究ERM 实施作用，证实公司采用 ERM 实际上取得的成果是否与所声称能取得的利益相一致。我们认为我们的工作是重要的并且及时的，因为多项调查都显示采用ERM能够带来好处（Marsh and McLennan, 2005），尽管如此，能说明ERM 如何影响公司的实证证据还是很少。我们认为 ERM 的主要目标是尽可能降低财务困境，并允许公司继续其投资战略通过降低由意外结果带来的影响，这些结果由收入或是现金流量造成。具有持续稳定