本研究藉由複迴歸分析台灣地區上市銀行業在季財務報表公布日前後之股價異常報酬與處理不良資產行為之相關財務數字之關聯性,藉此研究台灣地區投資人對上市銀行處理不良資產行為之市場反應。同時以季區別分析方式,將資料分各季別研究,探討是否有季差別現象。 本研究採用1999年第一季~2004年第一季台灣地區上市銀行與旗下包含銀行之上市金控季財務報表資料作實證資料分析,實證結果得出: 1. 不分季別研究結果顯示: (1) 股價異常報酬與打銷壞帳費用數呈現負相關,與銀行盈餘則呈現正相關 (2) 股價異常報酬與本研究定義之其他自變數間相關性則不甚顯著。 2. 以季差別分季研究結果顯示: (1) 第二季與第三季投資人較為重視銀行盈餘,「壞帳打銷」則被認定為壞消息 (2) 第一季與第四季資料結果均不顯著,無法認定投資人對銀行處理不良資產行為的反應
The purpose of this study is to investigate how the market reacts to the bank’s handling of the Non-Performance Loans (hereafter NPLs). We aim to examine the following two research questions. 1. How do Taiwan’s investors react to both differential accounting methods for the loss of NPL dispositions? 2. Does there exist significant difference in Taiwan’s investors’ reactions to quarterly earnings reports? The samples examined include all banks listed in TSE (Taiwan Securities Exchange) from 1999/Q1 to 2004/Q1, about 350 firm/quarter observations. We adopt multiple regression to analyze the relationship between the banks’ abnormal return (or loss) and the NPL related variables in the quarterly financial report. The empirical findings are as follows. 1. The abnormal returns accompanying the earnings announcements appear to be positively correlated with bank earnings and negatively correlated with the loss of NPL disposition. 2. Taiwan’s investors perceive the disposal of NPL as a “bad news” since such conducts will increase expense and lower earnings. 3. The above market reactions are more pronounced in the second quarter than in other three quarters.