國內外與銀行業盈餘管理相關之研究,多著重於損益平穩化、資本管理及傳遞績效訊息為主。本研究將損益平穩化列為主要探討議題,以國內銀行裁決性壞帳為主,且認為衍生性金融商品有助於平穩企業現金流量波動,故管理當局可能將衍生性金融商品列為盈餘管理工具之一。本研究擬就盈餘平穩政策方向,探討衍生性金融商品與裁決性壞帳於盈餘平穩化政策下之關連性為何,且更進一步的探討交易目的與非交易目的衍生性金融商品與裁決性壞帳間之關連性強度。 本研究以民國87年至93年間國內上市上櫃銀行業為研究對象,共計30家樣本,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,國內銀行業採行衍生性金融商品交易與裁決性壞帳的認列於盈餘平穩化政策下具有互補關連性;交易與非交易目的衍生性金融商品與裁決性壞帳間之互補性具有顯著差異,且非交易衍生性金融商品與裁決性壞帳間之互補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 subsititutes for smoothing earnings. Research samples are collected from Taiwan Listed banks between the first quarter in 2002 and the third quarter in 2004. Both univariate tests and simultaneous multiple regression analyses were use 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 derivative notional amounts than trading derivative notional amounts. Several additional tests show that our finings are robust.