企業社會責任對銀行流動性創造之影響與公司營收揭露之資訊效果

Two Essays on Bank Liquidity Creation and Information Value of Accounting Disclosures

陳韋達(Wei-Da Chen)

指導教授 ： 陳業寧

國立臺灣大學/管理學院/財務金融學研究所/博士(2021年)

https://doi.org/10.6342/NTU202101770

摘要

本論文包含兩篇財務金融研究，其標題與摘要如下：

一、美國商業銀行企業社會責任表現與其在金融危機時流動性創造之關係

本文檢視美國商業銀行的企業社會責任表現如何影響其在金融危機時的流動性創造。本文發現：在2008年次貸危機發生前企業社會責任表現越好的銀行，在次貸危機中降低越多流動性創造，且此結果對於危機前自有資本比率較低或流動性創造較高的銀行尤為顯著。企業社會責任對於流動性創造的影響在其他非由銀行問題，而是由資本市場問題所引發的金融危機中則較不顯著。造成上述實證結果的可能原因是：重視企業社會責任銀行其行為較為謹慎與風險趨避，亦擔憂銀行一旦倒閉將會對員工福祉造成嚴重影響，因此在讓銀行倒閉機率大幅提高的次貸危機時降低流動性創造。本文的結果通過內生性檢驗，並隱含鼓勵銀行從事社會企業責任可能使銀行降低在銀行危機時流動性創造的意願。

二、期中會計揭露的資訊價值：強制性月營收報告的證據

本文利用台灣上市公司的月營收資料探討強制性期中營收揭露的資訊效果。本文發現月營收資料含有未來季報中未預期盈餘的資訊。分析師將此資訊納入預測中，但其預測並未完全反應此資訊。本文也發現股價與未預期營收同方向變動，直到該季季報公布才停止反應月營收資訊。本文的實證結果顯示月營收資料可提供投資人關於公司基本面的訊息並降低投資人反應不足的程度。

關鍵字

流動性創造 ； 企業社會責任 ； 銀行危機 ； 市場危機 ； 未預期營收 ； 未預期盈餘 ； 盈餘宣告後股價飄移 ； 分析師預測調整 ； 期中會計資訊

並列摘要

This dissertation contains two essays on finance. Their titles and abstracts are as follows.

Essay 1: Bank Corporate Social Responsibility and Liquidity Creation during Financial Crises

This essay examines how bank corporate social responsibility (CSR) affects their liquidity creation during financial crises. It finds that banks with better CSR performance decreased liquidity creation more than non-CSR banks during the banking crisis of 2008, and this effect was stronger for banks with lower pre-crisis capital ratios and higher pre-crisis liquidity creation. The impact of CSR on bank liquidity creation is much weaker in financial crises originating in the capital markets than in those originating in the banking sector. Given that increasing liquidity creation during banking crises might be risky, these results support the idea that CSR banks are more prudent and risk-averse. It also suggests that CSR banks, which care about the negative impact of failure on their employees, reduce liquidity creation only during banking crises. The main results of the paper still hold when a two-stage least squares regression system is employed to control for potential endogeneity. This paper suggests that encouraging banks to improve CSR performance may reduce their incentive to provide liquidity in banking crises.

Essay 2: The Information Value of Interim Accounting Disclosures: Evidence from Mandatory Monthly Revenue Reports

Using data from Taiwan, where listed firms are required to disclose monthly revenues, this essay examines the information value of mandatory interim revenue disclosures. We find that monthly revenue surprises significantly affect analysts’ earnings forecast revisions and predict future earnings surprises in the quarterly financial reports, suggesting that monthly revenue surprises provide leading information about future earnings growth and analysts revise their forecasts accordingly but do not fully reflect this information. Stock prices drift positively with monthly revenue surprises until quarterly earnings are finally announced. Overall, our results suggest that interim accounting information helps investors increase the speed of adjustments to fundamental news.

並列關鍵字

liquidity creation ； corporate social responsibility ； banking crises ； market crises ； revenue surprises ； earnings surprises ； post-earnings-announcement drift ； analysts forecast revisions ； interim accounting information

參考文獻

References for Chapter 2

Abadie A., Imbens, G. W. (2016). Matching on the estimated propensity score. Econometrica 84(2), 781–807.

Acharya, V., Mora N. (2015). A crisis of banks as liquidity providers. Journal of Finance, 70(1), 1–43.

Allen, F., Gale, D. (2004). Financial intermediaries and markets. Econometrica, 72, 1023–1061.

Angrist, J. D., Pischke, J. S. (2009). Mostly harmless econometrics: An empiricist’s companion. Princeton University Press.