國內商業銀行壞帳及票券買賣損益策略性調控問題之實證研究

An Empirical Study on Taiwan's Commercial Bank Accruals Management via Loan Loss Provisions and Securities Gains and Losses

林修葳(Hsiou-Wei William Lin) ； 陳育成(Yu-Cheng Chen)

《臺大管理論叢》 8卷2期 (1997/09) Pp. 33-65

https://doi.org/10.6226/NTURM1997.8.2.33

摘要

本研究針對壞帳費用與票券買賣損益兩項當我量空閒之科目，分析國內商業銀行策略性操縱帳面盈餘與資本問題。實證結果顯示，或因使用不同調控工具之成本差異，致使商業銀行在帳面資本不足時，傾向于增加提列壞帳費用；另一方面，盛艮行似乎為了損益平穩化之目的，而以多實現或少實現票券買賣損益作為調控當期盈餘之工具，此兩項潛在之盈餘調控工具，彼此間有著相互替代性，惟因實現票券買賣損益之成本因時而異，國內商業銀行引用此兩項工具相互替補的程度實隨資本市場榮枯而改變。
相關文獻於探討某一調控變數與資本及盈餘關係時，常假設與其它調控變數不能互相替代，而以最小平方法估計其間之關係，此種處理方式可能造成一效性問題。本研究放寬此一假設，允許壞帳費用與票券買賣損益兩調控變數具若干相互替補性，而始創以聯立方程組迴歸估計調控變數與資本及盈餘之關係。
在估算國內商銀壞帳費用不可裁量部份時，我們發現以上期壞帳、本期逾催收款、應收匯兌承兌款及無擔保放款餘額估計壞帳，比過去國外文獻所採變數組更恰當。

關鍵字

壞帳費用 ； 票券買賣損益 ； 損益平穩化 ； 聯立方程組迴歸

並列摘要

By identifying and examining the potential discretionary components of Taiwan's commercial bank loan loss provisions (LLPs) and securities gains and losses (RSGs), this study aims at exploring these banks' accruals management practices. Robust against various sensitivity tests, our empirical findings support the notion that commercial banks strategically increase their LLPs to avoid unfavorable capital adequacy ratios. On the other hand, we find these banks smooth reported earnings via RSGs. Moreover, our evidence is consistent with the hypothesis that LLPs and RSGs serve as substitutes for each other in commercial bank accruals management. However, the extent these banks exercise discretion via either measure varies with domestic capital market performance.
For tests in this study, the specification of simultaneous equations outperforms the competing ordinary least square regression models. Most evidently, the conventional models assume that other potential smoothing variables are exogenous. This limitation would lead to regression errors of inconsistency when discretionary accruals are simultaneously determined. In contrast, with statistical evidence that our potential accruals management measures substitute each other, simultaneous equations model appears to be a more appropriate tool.
This study also provides an innovative design for estimating bank loan loss provisions. As compared with competing designs, our model, which relates commercial bank LLPs to non-performing assets, unsecured loans, accrued acceptances and prior-period loan loss provisions, produces a more efficient predictor for Taiwan's commercial bank LLPs.

並列關鍵字

loan loss provisions ； securities gains and losses ； accruals management ； simultaneous equations