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研究生:李昆鴻
研究生(外文):Kun-Hung Li
論文名稱:銀行盈餘管理的行為:來自提列呆帳準備費用之觀察
論文名稱(外文):The Behavior of Bank Earnings Management:From the Provision for Loan Loss
指導教授:王健安王健安引用關係
指導教授(外文):Chien-An Wang
口試委員:沈中華蔡明憲
口試委員(外文):Chung-Hua ShenMing-Shann Tsai
口試日期:100/7/26
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:230
中文關鍵詞:盈餘管理呆帳費用資產品質順景氣循環假說
外文關鍵詞:Earnings ManagementProvision for Loan LossAsset QualityProcyclicality
相關次數:
  • 被引用被引用:3
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本研究承續王健安等人過去對銀行放款預先提列呆帳費用,以為風險管理方式之一的研究,討論以下2個議題:(1)探討銀行提列呆帳費用(PLL)之時機:以總體面「二五八金改」,個體面「銀行併購」、「經營權移轉」,是否促使經理人有動機增提呆帳費用,而達到盈餘管理之目的。(2)觀察銀行資產品質企、消金放款、逾放款、備抵呆帳等情形,本研究主要關注於房貸,並藉由觀察「住宅備抵呆帳」與房地產景氣關係:「順景氣循環假說」或「逆景氣循環假說」,來預測未來房地產景氣。
研究樣本:(1)「二五八金改」由「金融統計月報」,其中「金融機構一覽表」所篩選而出的21家本國一般銀行,期間為1999年至2005年;「銀行併購」由「金融統計輯要」,其中「金融機構的改制、併購、新設」經篩選後,而得15家主併銀行,期間為2002年至2007年;「經營權移轉」由公開資訊觀測站,於歷史重大事件得各家銀行更換經營權之事件,經篩選後得21個觀察樣本。(2)「資產品質」橫斷面共27家銀行,期間為06年第2季至09年第4季,其它景氣資料來自於:住宅資訊統計季報、金融統計資訊、國民經濟動向季報以及房地產景氣動向季報。研究方法為基本敘述統計分析,以及圖形分析。
研究結果:(1)二五八金改顯著影響銀行增提呆帳費用,而併購與經營權移轉並不顯著,然而觀察沖銷放款、收回以沖銷放款,可發現併購樣本之盈餘管理之手段,經營權移轉樣本較難觀察盈餘管理之現象,由於經營權更換相當頻繁,銀行提呆政策不隨頻繁更換經理人而有所改變。(2) 首先銀行對於住宅放款,泡沫化危機意識逐漸提升,銀行開始注意住宅放款資產品質,降低不良房貸放款,住宅放款趨於保守;由於09年的房市交易熱潮,又加以政府提出多項打房政策,使銀行對於住宅放款警覺性提高,進而09年住宅備抵呆帳覆蓋率大幅上升,以備未來房市泡沫化之可能。其次住宅備抵呆帳似乎提列稍嫌過少,我國住宅備抵呆帳水位不足,若房市出現系統性風險,我國銀行處境將越困難;最後,本文認為在09年第3季與09年第4季總體與房地產景氣大幅回升時,銀行此時大幅增提住宅備抵呆帳,符合「順景氣循環假說」,本文認為由於銀行有鑒於08年次級風暴,總體、房地產景氣下滑,多數借款者無力攤還房貸,因此以防萬一,在景氣回升時未雨綢繆,增提住宅備抵呆帳,以備未來不時之需。
This study based on Chien-An Wang et al. who consider Provision for Loan Loss(PLL) is one of risk management to discuss two topic:(1)the timing of bank’s PLL that include Government Regulation,M&A and Executive management change,whether managers have a motive to increase PLL.(2)To observe bank’s asset quality that we focus on mortgage,and discuss relationship between housing Loan Loss Reserve(LLR) and real estate cycle:procyc -licality or anticyclicality,to forecast real estate cycle.

The results :(1) Government Regulation effect bank’s PLL obviously,but we can’t find the same situation on M&A and Executive management change.However,we can find manager from M&A samples control accounting subjects, including write off loan and write off loan recovered etc.We can’t find earnings management in our Executive management change’s sample,because bank change manager frequently so bank’s PLL policy can’t change with Executive management change.(2)In 2009,real estate was prosperity and government implemented policy make real estate depressed ,so that bank pay attention to mortgage and write off more loan.Then we find bank’s housing LLR inadequate.Finally,in 2009 Q3~Q4, the relationship conform procyclicality.
第一章、前言 1
第二章、文獻回顧與評述 5
第一節、盈餘管理 5
第二節、呆帳費用提列 8
第三章、國內實務規範歷史沿革 11
第四章、主題1-「法規」、「併購」及「經營階層移轉」對銀行提撥PLL之影響 14
第一節、研究設計與基本敘述統計分析 14
第二節、穩健性檢驗 27
第五章、主題2-住宅備抵呆帳與景氣之關係 33
第一節、資料來源與變數定義 33
第二節、變數的基本敘述統計分析 42
第三節、假說驗證 71
第六章、結論與建議 75
第一節、結論 75
第二節、研究建議 76
參考文獻 78
附錄 167
附錄A 子題1穩健性檢驗 167
附錄B 併購與經營階層移轉沖銷放款與稅後淨利之情形 177
附錄C 華銀之資產品質 208
附錄D 銀行財報資產品質觀察值 209
附錄E 其他符合順景氣循環假說之變數 213
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