放款組合對銀行業穩健性之影響

Impact of Loan Porfolio Composition on Accounting Conservatism in the Banking Industry

錢奕圻(I-CHI CHIEN)

指導教授 ： 劉啟群

國立臺灣大學/管理學院/會計學研究所/碩士(2007年)

https://doi.org/10.6342/NTU.2007.00207

摘要

本研究主要在瞭解對於美國金融控股公司：(1) 期初會計穩健性衡量變數對於其及時性及不對稱性之影響，(2) 銀行放款組合對於其不對稱性之影響，(3) 會計穩健性衡量變數與放款組合之交互影響。本研究所選擇的會計穩健性衡量變數包括：(1)不良資產覆蓋率：備抵壞帳與不良資產之比率，(2) 備抵壞帳與淨壞帳沖銷之比率，(3) 市場價值與帳面價值之比率。在本研究中，另嘗試去瞭解在不同的經濟環境下或對於不同類型之公司，會計穩健性衡量變數及放款組合對於及時性及不對稱性之影響。
實證結果顯示，放款組合的不同確實會對會計穩健性造成顯著的影響。在經濟環境較好時，異質性放款占總放款比例越高的公司會傾向去增加提列壞帳費用；而在經濟環境較差時，則相反，比例越高的公司會傾向去減少提列壞帳費用。

關鍵字

穩健原則 ； 放款組合 ； 銀行業 ； 壞帳費用 ； 不對稱性 ； 異質性放款

並列摘要

Basu (1997) predicts and provides evidence that bad news is incorporated in earnings faster than good news, resulting in negative earnings changes being less persistent than positive earnings changes. This study extends the Baus’s model to examine (1) the effect of conservatism measures on timeliness and asymmetric timeliness, (2) the influence of loan composition on asymmetric timeliness, and (3) the interacting effect of conservatism measures and loan composition on asymmetric timeliness in the US banking industry. We also test the effect under different periods and sub-sample. The measures of conservatism we choose are (1) the ratio of allowance for loan losses to non-performing assets, (2) the ratio of allowance for loan losses to the net write-off, and (3) the market-to-book ratio. Furthermore, our empirical results show that compositions of bank loan portfolios have significant impact on asymmetric timeliness. Banks with more heterogeneous loans are more likely to overstate the provisions in the boost period, and to delay the provisions in the bust period.

並列關鍵字

Accounting conservatism ； Loan portfolio ； Banking industry ； Provision ； Asymmetric timeliness ； Heterogeneous loans

參考文獻

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2. Basu, S. (1997). “The Conservatism Principle and the Asymmetric Timeliness of Earnings” Journal of Accounting and Economics, Vo24, 3–37.

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