臺灣博碩士論文加值系統

本篇研究主要探討銀行的裁決性科目放款備抵呆帳、備抵壞帳對呆帳損失的預測能力。我們透過Bankscope蒐集215家美國商業銀行資料為樣本，並將總資產作為分類規模之依據：前百分之二十的公司作為小規模之樣本群；後百分之八十的公司作為大規模之樣本群。首先，我們先檢驗我們的樣本是否存在盈餘平穩化的現象。然而，我們的結果證實所使用的樣本不存在盈餘平穩化的效果，亦即銀行認列放款備抵呆帳是依會計原則作為認列標準，而非以財務準則來提列。其次，我們檢視放款備抵呆帳及備抵壞帳對下一期之呆帳損失是否存在預測能力。我們發現:215家商業銀行的放款備抵呆帳及備抵壞帳對下一期之呆帳損失的確存在預測的能力，且依規模大小或標準化後的樣本進行檢測其結論不變。其中，大規模銀行的放款備抵呆帳預測的能力較小規模公司好，其導因於大規模公司擁有較多資訊來預測呆帳損失。

This thesis studies discretionary loan loss provision, loan loss reserve, and net charge-off accounts in banking industry. The result is based on 215 active commercial banks in US provided by Bankscope. First, the income smoothing effect does not exhibit in our sample. That is, these banks do not alter loan loss provision to suit the financial notions. Second, loan loss provision and loan loss reserve can forecast the next period of net charge-off. In particular, the large banks (the 80th percentile) predict better than the small banks (the 20th percentile), because of the abundant information.

摘要 I
Abstract II
誌謝 III
Content IV
List of Tables VI
I. Introduction 1
1.1 Background 1
1.2 Motivation and contribution 2
II. Literature Review 3
2.1 Factors Influencing Loan Loss Reserve/ and Loan Loss Provision 3
2.1.1 Policy 4
2.1.2 Economic Cycle 4
2.2 Factors That Would Be Influenced by the Loan Loss Reserves and Provisions 4
2.2.1 Capital management 4
2.2.2 Earning management 5
2.2.3 Income smoothing effect 5
2.2.4 Signal effect 5
2.3 How to Account for Loan Losses 6
2.3.1 Close to accounting perspective 6
2.3.2 Close to finance perspective －Dynamic provisions 7
III. Data and Methodology 8
3.1 Source and Sample Selection 8
3.2 Variable Definitions 8
3.2.1 Relation with earning before tax and provision 14
3.2.2 Dummy variables 15
3.3 Descriptive Statistics 18
3.4 Regressions of the Net Charge-off 26
3.4.1 Equation models 26
3.4.2 Additional test 26
IV. Empirical Results 28
4.1 Evidence on Income Smooth Effect 28
4.2 Evidence on Net Charge-offs 32
V. Conclusions 38
References: 39

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