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題名：銀行揭露程度與穩定性
作者：翟瑞祥
作者(外文)：Zhai, Rui-Xiang
校院名稱：國立陽明交通大學
系所名稱：財務金融研究所
指導教授：梁婉麗
林智勇
學位類別：博士
出版日期：2022
主題關鍵詞：銀行揭露程度；銀行穩定性；資訊不對稱；權益資金成本；呆帳準備；崩盤風險；聯邦存款保險公司；銀行財報；bank disclosure transparency；information asymmetry；information uncertainty；cost of equity；loan loss reserve；Call Reports；FDIC
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截至目前為止，在銀行財務透明度尚無單一化的衡量指標。儘管過去有學者以單個或多個財務變數嘗試描述銀行對於財務披露的細節程度，但皆受限於嚴苛的有母數統計方法與選擇偏誤。我們利用銀行的季度財務報告，囊括683項重要財務變數建構銀行透明度指標 (Bank DQ) 。我們首先確認 DQ 與銀行獲利與經營穩定性具有正向顯著關聯，並證實 DQ 與資訊不對稱、權益資金成本和波動與經營風險具有負向顯著關係。我們同時發現 DQ 較高的銀行亦具有較低的盈餘操弄特性與較低財務重編可能性。此外，銀行過去如果對財務內容有較高的揭露，在金融風暴期間具有穩定的盈餘表現，並降低擠兑與破產的可能性。綜合以上的驗證結果，DQ確實能成為一個效衡量銀行財務透明度的單一指標，並對未來相關領域研究提供貢獻。
There is currently no measure of banks’ disclosure transparency that captures banks’ financial statements details. We construct such a measure, bank DQ, which captures the extent bank managers report key financial statement data items in their Call Reports and provide validation. We demonstrate that bank DQ is negatively associated with established measures of information asymmetry such as bid ask spreads, analysts’ forecast error and dispersion, and stock price volatility. Banks with higher DQs also exhibit lower cost of equity. Lastly, we distinguish bank DQ from loan loss provisions, a prominent measure of bank performance and information asymmetry used in extant banking literature. Our measure of bank disclosure transparency can be applied to studying new research questions that cannot be studied using existing measures.
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