本研究旨在自盈餘平穩政策方向著手,探討銀行業衍生性金融商品與裁決性壞帳於盈餘平穩化策略下之關聯性,同時進一步分析交易目的與非交易(避險)目的衍生性金融商品與裁決性壞帳間互動性之強度。以2002年第1季至2004年第3季間國內上市上櫃銀行業為研究對象,共計30家樣本銀行,採用聯立方程組之兩階段最小平方法為主要分析方法,驗證國內上市上櫃銀行業利用衍生性金融商品與裁決性壞帳進行盈餘平穩之行為。實證結果發現,國內銀行業會交替使用衍生性金融商品交易與裁決性壞帳以進行盈餘平穩化;另項有趣的發現是交易與非交易目的衍生性金融商品與裁決性壞帳間之替代性具有顯著差異,且非交易目的衍生性金融商品與裁決性壞帳間之替代性強度高於交易目的衍生性金融商品。
This study investigates whether managers using trading or non-trading derivatives and discretionary bad debt expense as partial substitutes for smoothing earnings. Research samples are collected from Taiwan Listed (and OTC) banks between the first quarter in 2002 and the third quarter in 2004. Both univariate tests and simultaneous multiple regression analyses were used to examine our conjecture. Empirical findings show that there is a significant negative association between derivative notional amounts and the magnitude of discretionary bad debt expense. Also, this negative correlation is stronger for non-trading (hedge) derivative notional amounts than trading derivative notional amounts. Several additional tests show that our finings are robust.