臺灣人文及社會科學引文索引資料庫系統

:::

詳目顯示

回上一頁
第 1 筆 / 總合 1 筆   第一頁 上一頁 下一頁 最後一頁
/1頁
題名：銀行資本適足率管制之風險資訊內涵暨政策效果
作者：黃德芬 引用關係
作者(外文)：Der-Fen Huang
校院名稱：國立臺灣大學
系所名稱：會計學研究所
指導教授：柯承恩
劉啟群
學位類別：博士
出版日期：2001
主題關鍵詞：資本適足率；增額及相對資訊內涵；選擇權評價模型；風險報導；信用風險；市場風險；Capital adequacy ratio；Incremental and relative information content；Option pricing methodology；Risk reporting；Credit risk；Market risk
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:35
本文旨在探討資本適足率及其組成項目對銀行風險之資訊內涵。其次，亦探討民國87年修正之新制，相對於民國81年之舊制，是否提供了增額資訊內涵；並評估何者更能解釋銀行的風險（更具相對資訊內涵）。最後，探討資本適足率（即以風險為基礎的資本比率），相對於傳統未以風險為基礎的資本比率，是否提供了增額及相對資訊內涵。本文應用選擇權評價模型計算出銀行資產風險，作為衡量銀行總風險之指標；該方法考慮了股東權益之非線性，以及存款保險及管制規定等專屬銀行業之特性。目前，並未要求銀行於年報揭露資本適足率組成項目（我國財務會計準則公報第28號要求銀行於民國89年12月以後必須揭露資本適足率，但未強制揭露組成項目），故本文之資料源自管制機關（銀行每半年必須填報管制機關訂頒之計算方法及表格）。
實證結果發現：(1)資本適足率及其組成項目係評估銀行清償能力之攸關指標；換言之，具風險攸關性。(2)新制之資本適足率相對於舊制，並無增額資訊內涵；然而，就組成項目而言，新制相對於舊制具有增額資訊內涵。此外，以風險為基礎的資本比率，相對於傳統未以風險為基礎的資本比率，具增額及相對資訊內涵。(3)管制所要求計算之信用風險與風險呈正相關；但市場風險則未能解釋銀行風險。(4)就總風險而言，市場對於資本適足率的解讀符合理性預期，但對組成項目則否。基於上述實證結果，本文建議：對於資本適足率資訊，管制機關不應僅是依法執行金融檢查而已，更應與會計準則委員會合作，考慮將該項資訊公開揭露，以增進銀行透明度。
This paper examines the information content of capital adequacy ratio and its components for risk of banks in Taiwan. Also, it investigates whether the new 1998 capital requirement mechanism provides incremental information to assess bank risk compared with the old 1992 mechanism, and evaluates which mechanism is more closely associated with bank risk. Final, it investigates whether the risk-based capital adequacy ratio has incremental and relative information about bank risk compared with the non-risk-based capital ratio (ordinary or traditional capital ratio). This paper employs an option pricing methodology to calculate implied asset risk as a proxy for total risk of banks. This methodology incorporates the non-linearity of equity, deposit insurance, and regulatory rules. Currently, almost numbers of capital adequacy ratio components used in this study are not required annual reporting disclosures. The major findings are: (1) The capital adequacy ratio and its components convey information regarding bank risk. (2) The components of the new capital ratio have incremental explanatory power over the old rules and over the non-risk-based capital ratio. In addition, the new mechanism has greater information content than the old one regarding implied asset risk, and each risk-based mechanism has greater information content than non-risk-based one. (3) Two risk dimensions categorized by regulators, credit risk and market risk, have different explanatory power. There is a positive impact of credit risk exposures on bank risk, but market risk exposures do not. (4) The rationality of risk forecast based on risk-based capital ratio is supported empirically, but it is not hold on disaggregated data (components). Based on the empirical results in this paper, we suggest that regulators and accounting standard setters should require banks to publicly disclose this regulatory information for enhancing transparency of banking.
Ahmed, A. S., C. Takeda, and S. Thomas. 1999. Bank loan loss provisions: a reexamination of capital management, earnings management and signaling effects. Journal of Accounting and Economics 28, 1-25.
Akella, S. R. and S. I. Greenbaum. 1992. Innovations in interest rates, duration transformation, and bank stock returns. Journal of Money, Credit, and Banking 24, 27-42.
Alford, A., J. Jones, R. Leftwich, and M. Zmijewski. 1993. The relative informativeness of accounting disclosures in different countries. Journal of Accounting Research 31, 183-223.
Amit, R. and J. Livnat. 1988. Diversification, capital structure, and systematic risk: an empirical investigation. Journal of Accounting, Auditing and Finance 3, 19-48.
Avery, R. B. and A. N. Berger. 1991. Loan commitments and bank risk exposure. Journal of Banking and Finance 15, 173-192.
Avery, R. B. and A. N. Berger. 1991. Risk-based capital and deposit insurance reform. Journal of Banking and Finance 15, 847-874.
Ball, R. and P. Brown. 1968. An empirical evaluation of accounting income numbers. Journal of Accounting Research 6, 159-178.
Barth, M., W. Beaver, and W. Landsman. 1992. The market valuation implications of net periodic pension cost components. Journal of Accounting and Economics 15, 27-62.
, , and . 1996. Value-relevance of banks’ fair value disclosures under SFAS No. 107. The Accounting Review 71, 513-537.
, , and C. H. Stinson. 1991. Supplemental data and the structure of thrift share prices. The Accounting Review 66, 56-66.
Beaver, W. 1989. Financial Reporting: An Accounting Revolution. Prentice-Hall.
and R. Dukes. 1972. Interperiod tax allocation, earnings expectations, and the behavior of security prices. The Accounting Review 47, 320-332.
and W. Landsman. 1983. The Incremental Information Content of FAS 33 Disclosures. Financial Accounting Standards Board.
and J. Magegold. 1975. The association between market determined and accounting determined risk measures. Journal of Financial and Quantitative Analysis 10, 231-284.
, A. Christie, and P. Griffin. 1980. The information content of SEC accounting series release 190. Journal of Accounting and Economics 2, 127-157.
, P. Griffin, and W. Landsman. 1982. The incremental information content of replacement cost earnings. Journal of Accounting and Economics 4, 15-39.
, P. Kettler, and M. Scholes. 1970. The association between market determined and accounting determined risk measures. The Accounting Review 45, 654-682.
, R. Lambert, and D. Morse. 1980. The information content of security prices. Journal of Accounting and Economics 2, 3-28.
, , and S. Ryan. 1987. The information content of security prices: a second look. Journal of Accounting and Economics 9, 139-157.
, C. Eger, S. Ryan, and M. A. Wolfson. 1989. Financial reporting, supplemental disclosures, and bank share prices. Journal of Accounting Research 27, 157-178.
Berger, A., R. Honing, and G. Szego. 1995. The role of capital in financial institutions. Journal of Banking and Finance 19, 393-430.
Bernard, V. and T. Stober. 1989. The nature anfd amount of information in cash flows and accruals. The Accounting Review 64, 624-652.
Biddle, G. C., G. S. Seow, and A. F. Siegel. 1995. Relative versus incremental information content. Contemporary Accounting Research 12, 1-23.
Black, F. and M. Scholes. 1973. The pricing of options and corporate liabilities. Journal of Political Economy 81, 637-659.
Blum, J. 1999. Do capital adequacy requirements reduce risks in banking?. Journal of Banking and Finance 23, 755-771.
Boot, A. W. A. and A. V. Thakor. 1991. Off-balance sheet liabilities, deposit insurance and capital regulation. Journal of Banking and Finance 15, 825-846.
Bowman, R. G. 1979. The theoretical relationship between systematic risk and financial (accounting) variables. Journal of Finance 34, 617-630.
. 1980. The importance of a market-value measurement of debt in assessing leverage. Journal of Accounting Research 18, 515-539.
. 1980. The debt equivalence of leases: an empirical investigation. The Accounting Review 55, 237-253.
Brewer, E., G. Koppenhaver, and D. Wilson. 1986. The market perception of bank off-balance sheet activities. pp. 412-436 in Proceedings of a Conference on Bank Structure and Competition, Chicago, IL: Federal Reserve Bank of Chicago.
Campbell, J.Y. and L. Hentschel. 1992. No news is good news: an asymmetric model of changing volatility in stock returns. Journal of Financial Economics 31, 281-318.
Chamberlain, S., J. S. Howe, and H. Popper. 1997. The exchange rate exposure of U.S. and Japanese banking institutions. Journal of Banking and Finance 21, 871-892.
Chan, K. C. and G. S. Seow. 1996. The association between stock returns and foreign GAAP earnings versus earnings adjusted to U.S. GAAP. Journal of Accounting and Economics 21, 139-158.
Cheng, C., W. Hopwood, and J. McKeown. 1992. Non-linearity and specification problems in unexpected earnings response regression model. The Accounting Review 67, 579-598.
Christie, A. A. 1982. The stochastic behavior of common stock variances: value, leverage and interest rate effects. Journal of Financial Economics 10, 407-432.
Chung, K. H., D. Ghicas, and V. Pastena. 1993. Lenders’ use of accounting information in the oil and gas industry. The Accounting Review 68, 885-895.
Clement, M. 1996. Bank capital regulation and stock price performance. Working paper. Standford University.
Collins, J., D. Shackelford, and J. Wahlen. 1995. Bank differences in the coordination of regulatory capital, earnings and taxes. Journal of Accounting Research 33, 263-292.
Davidson, R. and J. MacKinnon. 1981. Several tests for model specification in the presence of alternative hupotheses. Econometrica 49, 781-793.
and . 1993. Estimation and Inference in Econometrics. Oxford University Press, New York, NY.
Dewatripont, M. and J. Tirole. 1995. The Prudential Regulation of Banks. MIT Press, Cambridge, MA.
Fama, E. and W. G. Schwert. 1977. Asset returns and inflation. Journal of Financial Economics (November), 115-146.
Folger, H. R., K. John, and J. Tipton. 1981. Three factors, interest rate differentials and stock groups. Journal of Finance 36, 323-335.
French, K. R., G. W. Schwert, and R. Stambaugh. 1987. Expected stock returns and volatility. Journal of Financial Economics 19, 3-29.
Glosten, L. R., R. Jagannathan, and D. E. Runkle. 1993. On the relation between the expected value and volatility of the nominal excess return on stocks. Journal of Finance 48, 1779-1801.
Godfrey, L. G. 1983. Testing non-nested models after estimation by instrumental variables or least squares. Econometrica 51, 355-365.
Goldberger, A. S. 1991. A Course in Econometrics. Harvard University Press.
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top
QR Code
QRCODE

臺灣人文及社會科學引文索引資料庫

目前上線人數：713（臺灣：701，外國：12） ／ 本年度總使用人次：2178223 ／ 訪客人次（自102年09月）：67971751
國家圖書館著作權聲明 Copyright © 2013 All rights reserved.
本館地址: 100201臺北市中山南路20號． 本館地圖及交通資訊．
總機：(02)23619132．最佳瀏覽解析度為1024x768以上