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題名:銀行風險與盈餘管理之相關性研究
作者:李在僑
作者(外文):CHAI-CHAIO Lee
校院名稱:國立臺北大學
系所名稱:會計學系
指導教授:王怡心
學位類別:博士
出版日期:2009
主題關鍵詞:銀行風險盈餘管理bank riskearnings management
原始連結:連回原系統網址new window
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1997年發生亞洲金融風暴,次年自第四季起台灣發生「本土性金融危機」,20餘家政商關係密切的企業相繼發生財務危機,引起社會震盪並造成銀行巨大的呆帳。雖然政府於2002年開始推動二五八金融改革並獲得成功,但2005年11月又發生雙卡卡債事件,台灣這兩次金融危機的發生彷彿日本經濟低迷的再版。
本文檢視台灣的投資人是否可以合理的評估銀行經理人在會計上的調整。以這兩次金融風暴事件為背景,本研究嘗試去探究台灣投資人對於風險與盈餘管理關聯性的認知程度。投資人面對金融風暴時,對於管理當局的盈餘操弄是否無法正確加以預估,對銀行風險作出錯誤評價;在經過第一次本土性金融危機的風險教育之後,投資人是否能逐漸看穿管理當局的操弄,從原本與功能性固著假說相當類似的一般投資人(naïve investor)逐漸成為與效率市場假說相符合的理性投資人(rational investor)。
本實證結果發現:(1)金融風暴發生的前幾年(1998-2001年以及2005-2007年),一般投資人(naïve investors)會由於資訊不對稱的關係,對於管理當局的盈餘操弄無法正確看穿,因而對銀行風險評估作出錯誤反應。(2)隨著時間的經過,資訊會逐漸對稱(2002-2004年以及2006-2007年),一般投資人(naïve investors)將能看穿管理當局的操弄,而對風險評估做出正確反應。然而破產模型卻不支持此看法,可能的原因在於投資人對於傳統的風險衡量較有概念,但對銀行破產的風險只有比較模糊認知。(3)面對第一次本土性金融危機時,外資與一般投資人的單純程度並無區別,但到2005-2007年雙卡風暴發生時,外資與一般投資人的精明程度與一般投資人卻逐漸顯出差異。換言之,外資存在學習效果,經過1998-2001年本土性金融危機的風險教育之後,面對2005-2007年的雙卡風暴時,外資逐漸能看穿管理當局的操弄,而對風險評估做出正確反應,如此顯示其精明程度與一般投資人有顯著的差異。(4)隨著時間的經過,資訊會逐漸對稱(2002-2004年以及2006-2007年),一般投資人(naïve investors)將能看穿管理當局的操弄,而對風險評估做出正確反應。此時,外資的精明程度與一般投資人沒有差異。而破產風險方面,雖然到了2002-2004年一般投資人完全對破產風險的觀念仍然很模糊,但外資則由於金融危機風險教育的關係,能對風險的評估作出正確的判斷,顯露出與一般人不同的精明程度。(5)一般投資人不存在學習效果,反而發現外資有學習效果的存在。
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高蘭芬(民86),會計資訊對外資持股調整影響之研究,中山管理評論,第12卷第3期,441-464。new window
陳育成(民91),台灣金融業的壞帳管理及相關研究。管理評論,new window
第21卷第4期,頁1-17。
陳曉蓉(民92),臺灣銀行業公司治理機制與風險承擔行為之關係,風險管理學報,第5卷第3期,頁363-391。new window
陳淑玲(民88),我國銀行業裁量性決策與資本、盈餘、租稅目的
間關係之研究。東吳大學會計學研究所未出版碩士論文。
黃金蓮(民89),台灣上市(櫃)企業財務績效與外資持股比例之關聯性研究,中原大學會計研究所未出版碩士論文。
俞海琴、劉維琪(民82),固定存款保費制度下,銀行資產品質、資產風險與資本間之關係,第2屆證券金融市場之理論與實務研討會,中山大學,頁367-382。
菅瑞昌(民92),關係銀行、公司治理與銀行風險承擔行為之研究,new window
風險管理學報,第5卷第3期,頁393-410。



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