會計權責、銀行權益報酬違約風險與資本管制： 選擇權評價模式分析

Accounting Accrual, Default Risk in Bank Equity Return, and Capital Regulation: An Option-Based Valuation

林瑀珊(Yu-Shan Lin)

指導教授 ： 林志鴻

共同指導教授 ： 鮑世亨

淡江大學/商學院/國際貿易學系國際企業學碩士班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.00669

摘要

運用會計權責(accounting accruals)的訊息可以反應銀行資產品質，並利用此概念得以預測銀行未來的權益報酬，及其所對應的違約風險機率。然而對於未來權益報酬的預測，在不侷限於銀行廠商對象的情況，許多文獻涉及該議題。但是對於違約風險卻鮮有涉及，特別是與銀行機構相關議題。本論文主要的目的，試圖運用會計權責所反應的資產品質的訊息，經由銀行利差決策(bank interest margin determination)，決定其權益報酬及其所對應的違約風險機率。結果發現：當銀行面對相對高風險環境，經由相對高會計權責的操作，將會導致權益報酬增加，也會導致權益報酬違約風險機率下跌。另外，當銀行面對相對低風險環境，如果金融管理當局加強其資本管制的程度，將會得到和上述相反的結果。根據上述的發現，提出相關建議：當銀行面對相對高風險環境時，銀行可採行高會計權責的操作，而銀行當局也可能採行相對嚴謹的資本管制措施。

關鍵字

會計權責 ； 銀行利差 ； 違約風險 ； 資本/存款比率

並列摘要

Bank equity returns can be predicted by using information contained in accounting accruals about the earnings quality. However, there has been little evidence by using accounting accrual information to predict bank default risk in equity returns through interest margin determination. This is an alternative form of risk prediction, which is nonetheless potentially important in the inflating role of deregulation. This paper fills this gap. We show that when the bank encounters greater risk, bank equity with a high accrual subsequently has a higher interest margin and a lower default risk in equity return. It is also shown that when the bank encounters less risk, an increase in bank capital requirement results in a reduced interest margin and an increased default risk in equity return.

並列關鍵字

Accounting Accrual ； Bank Interest Margin ； Default Probability ； and Capital-to-Deposits Ratio.

參考文獻

Thomas, J., and H. Zhang (2002) “Inventory Changes and Future Returns,” Review of Accounting Studies, 7, 163-187.

Basu, S. (1977) “Investment Performance of Common Stocks in Relation to their Price Earnings Ratios: A Test of the Efficient Market Hypothesis,” Journal of Financial Economics, 32, 663-682.

Becher, D. A. (2000) “The Valuation Effects of Bank Mergers,” Journal of Corporate Finance, 6, 189-214.

Becker, D. A., T. L. Campbell II, M. B. Frye (2005) “Incentive Compensation for Bank Directors: The Impact of Deregulation,” Journal of Business, 78, 1753-1777.

Berger, A., R. Demsetz, and P. Strahan (1999) “The Consolidation of the Financial Services Industry: Causes, Consequences, and Implications for the Future,” Journal of Banking and Finance, 23, 135-194.