臺灣博碩士論文加值系統

本研究使用2001年至2013年美國上市公司中，資產規模在期間內曾為前一百大之BHC(Bank Holding Company)資料為研究樣本，探討財報可讀性與風險管理指數(RMI；Risk Management Index)對BHC信用風險之影響。實證結果顯示，財報中風險敘述段落(Item 1A, Item 7A)之可讀性與銀行信用風險呈顯著的負相關；風險管理指數成分因子中，獨立風控功能的設立、風控長的編制及風管委員會獨立董事之經驗，皆與銀行信用風險呈顯著負相關；而當風控長的薪酬在BHC中名列前五高薪時，其與銀行信用風險則呈正相關。上述實證結果在加入其他影響銀行風險之控制變數下仍成立。此外，本研究亦發現風控長權力越高時，將增強Item 1A可讀性對BHC信用風險的影響效果；而獨立風控功能的設立及風控長的編制則將減弱Item 7A可讀性對BHC信用風險的影響效果。再者，實證結果亦顯示財報中風險敘述段落之可讀性對BHC信用風險的影響將不會總體景氣循環的干擾。

This paper explores the effects of financial report readability and the RMI (Risk Management Index) on the BHCs’ credit risk by U.S. BHCs data from year 2001 to 2013 which total assets were ever listed on the top 100 in the period. Empirical results of this study show that the readability of risk description items (Item 1A, Item 7A) is significantly and negatively related to BHCs’ credit risk. For the RMI variables, the existence of risk management function, the staffing of CRO, and the experience of directors in risk management committee are significantly and negatively related to BHCs’ credit risk. In addition, whether the CRO is among the five highest paid executive at the BHC is significantly and positively related to BHCs’ credit risk. Besides, this paper also explores that the increase of the CRO’s power enhances the effect of the readability of Item 1A on BHCs’ credit risk, and the existence of risk management function, and the staffing of CRO weaken the effects of the readability of Item 7A on BHCs’ credit risk. Finally, the effects of financial report readability on the BHCs’ credit risk are not distorted by the macroeconomics cycle.

目錄

第一章、緒論 1
第二章、變數定義 4
2.1財報可讀性相關變數 4
2.2風管團隊相關變數 5
第三章、研究假說 7
第四章、研究方法 8
4.1樣本資料介紹 8
4.2信用評等 8
4.3控制變數 9
第五章、實證結果 11
5.1 財報可讀性對銀行信用風險的影響 11
5.1.1 財報可讀性(File Size、All)對銀行信用風險的影響 11
5.1.2 財報可讀性(File Size、All)對銀行信用風險的影響(含控制變數) 12
5.2 財報可讀性、RMI對銀行信用風險的影響 14
5.2.1財報可讀性(風險敘述段落)對銀行信用風險的影響 15
5.2.2風險管理指數(RMI)對銀行信用風險之影響 18
5.3風險管理指數與財報可讀性(風險敘述段落)交乘項對銀行信用風險的影響 23
5.3.1風險管理指數(RMI)與財報可讀性(風險敘述段落)之交乘項對銀行信用風險的影響 23
5.3.2風險管理指數(RMI)與財報可讀性(Item 7A)交乘項對銀行信用風險的影響. 24
5.4 GDP成長率與財報可讀性之交乘項對銀行信用風險的影響(加入控制變數) 26
第六章、結論 27
參考文獻 28


表目錄

表一、樣本分佈 30
表二、主要變數之敘述統計量 31
表三、Ordered Probit Regression模型：財報可讀性對信用風險之影響 32
表四、Ordered Probit Regression模型：財報可讀性對信用風險之影響(含控制變數) 33
表五、Ordered Probit Regression模型：風險敘述段落財報可讀性對信用風險之影響 34
表六、Ordered Probit Regression模型：風險敘述段落財報可讀性對信用風險之影響(含控制變數) 35
表七、Ordered Probit Regression模型：RMI因子對信用風險之影響 36
表八、Ordered Probit Regression模型：RMI因子對信用風險之影響(含控制變數) 37
表九、Ordered Probit Regression模型：風險敘述段落之財報可讀性(Item 1A_Fog)與RMI交乘項對信用風險之影響 38
表十、Ordered Probit Regression模型：風險敘述段落之財報可讀性(Item 1A_Fog)與RMI交乘項對信用風險之影響(續) 39
表十一、Ordered Probit Regression模型：風險敘述段落之財報可讀性(Item 1A_SMOG)與RMI交乘項對信用風險之影響 40
表十二、Ordered Probit Regression模型：風險敘述段落之財報可讀性(Item 1A_SMOG)與RMI交乘項對信用風險之影響(續) 41
表十三、Ordered Probit Regression模型：風險敘述段落之財報可讀性(Item 7A_Fog)與RMI交乘項對信用風險之影響 42
表十四、Ordered Probit Regression模型：風險敘述段落之財報可讀性(Item 7A_Fog)與RMI交乘項對信用風險之影響(續) 43
表十五、Ordered Probit Regression模型：風險敘述段落之財報可讀性(Item 7A_SMOG)與RMI交乘項對信用風險之影響 44
表十六、Ordered Probit Regression模型：風險敘述段落之財報可讀性(Item 7A_SMOG)與RMI交乘項對信用風險之影響(續) 45
表十七、Ordered Probit Regression模型：風險敘述段落財報可讀性與GDP成長率交乘項對信用風險之影響 46
表十八、Ordered Probit Regression模型：RMI分組情況下風險敘述段落之財報可讀性對信用風險之影響-以CRO_pres分組 47
表十九、Ordered Probit Regression模型：RMI分組情況下風險敘述段落之財報可讀性對信用風險之影響-以CRO_exe分組 48
表廿、Ordered Probit Regression模型：RMI分組情況下風險敘述段落之財報可讀性對信用風險之影響-以CRO_top分組 49
表廿一、Ordered Probit Regression模型：RMI分組情況下風險敘述段落之財報可讀性對信用風險之影響-以COM_act分組 50
表廿二、Ordered Probit Regression模型：RMI分組情況下風險敘述段落之財報可讀性對信用風險之影響-以COM_exp分組 51
表廿三、Ordered Probit Regression模型：RMI分組情況下風險敘述段落之財報可讀性對信用風險之影響-以CRO_centra分組 52

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