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題名 關於美國銀行業在經營績效與信用風險的兩篇論述
Two Essays on the U.S. Bank’s Performance and Credit Risk作者 何杰操
He, Jie-Cao貢獻者 林士貴<br>張興華
Lin, Shih-Kuei<br>Chang, Hsing-Hua
何杰操
He, Jie-Cao關鍵詞 ESG
情緒分數
銀行經營績效
企業法說會
10-K財報
非利息收入
信用風險
COVID-19
ESG
sentiment scores
bank performance
earnings call
10-K financial statements
Non-interest income
credit risk
COVID-19日期 2023 上傳時間 2-Jan-2024 15:26:00 (UTC+8) 摘要 Refinitiv、企業法說會與財報之ESG 分數於銀行經營績效之影響: 本研究對環境、社會和治理（ESG）分數與從企業法說會和10-K財報分析得到的情緒分數及其對銀行經營績效的影響進行了比較全面的實證研究。研究從三個方面展開：對全樣本的分析、基於資產規模的詳細研究以及基於產業分類的詳細對比。研究結果揭示了一些特別的結果。大型銀行因考慮環境和治理方面而受益，這與經營業績呈正相關。相反，中小型銀行則通過投資於環保措施和相關資訊披露來提高業績。不同細分行業的動態也不盡相同，商業銀行的業績受到環境和治理因素的積極影響，而儲蓄銀行則表現出更為複雜的關係。這對各利益相關者都有影響：銀行可以優化環境、社會和治理戰略，投資者可以做出明智的決策，政策制定者可以制定相關法規。本文採用的綜合方法增強了研究結果的穩健性，同時也承認了潛在的局限性，但該研究有助於理解環境、社會和公司治理指標與銀行業績效之間複雜的相互作用，從而幫助銀行業在實踐中做出明智的決策。 非利息收入對銀行信用風險之影響：COVID-19 疫情前後的實證研究: 本研究全面探討了非利息收入（NII）對關鍵銀行指標——資產報酬率（ROA）、股東權益報酬率（ROE）和不良貸款率（NPL）的影響。實證結果強調了 NII 對 ROA 的一貫正面影響，尤其在較小的 NII 數值下更為顯著。然而，研究發現 NII 對 ROE 沒有顯著影響，歸因於該指標對股票市場動態的敏感性。在信用風險分析中，NII 對 NPL 的影響在不同時間段存在差異，特別是在 2010 年後，與 BASEL III 的實施相一致。即使在充滿挑戰的 COVID-19 時期，NII 仍然對 NPL 產生影響，儘管影響程度減小，表明銀行在經濟不確定性中採取了適應性策略。 經濟影響強調了NII 在維持穩定性方面的關鍵作用。研究結果強調了在不斷變化的經濟和監管環境中制定適應性戰略和明智決策的必要性。儘管承認本研究基於特定資料集和時間範圍存在限制，但研究提出了未來探討的潛在方向，如危機應對、技術進展和全球經濟趨勢的長期影響。本研究為決策者提供了在不斷演變的金融環境中應對 NII 與關鍵績效指標之間錯綜複雜動態的寶貴見解。
The Impact of ESG Scores from Refinitiv, Earnings Call, 10-K Financial Reports on Bank Performance : This research presents a comprehensive empirical investigation into the intricate relationship between Environmental, Social, and Governance (ESG) scores and sentiment scores, and their impact on the performance of banking institutions. The study is structured across three dimensions: an encompassing analysis of the entire dataset, a detailed examination based on asset size, and an intricate analysis grounded in industry classification. The findings reveal nuanced patterns. Large banks benefit from prioritizing environmental and governance aspects, correlating positively with performance. Conversely, small and medium-sized banks experience improved performance through investments in environmental initiatives and associated disclosures. The dynamics differ in industry segments, with commercial banks' performance positively influenced by environmental and governance factors, while savings banks exhibit more complex relationships. Implications span stakeholders: banks can optimize ESG strategies, investors can make informed decisions, and policymakers can shape regulations. The paper's comprehensive methodology enhances findings' robustness, and while potential limitations are acknowledged, the study contributes to understanding the complex interplay between ESG metrics, sentiments, and banking performance, aiding informed decision-making in banking practices. The Impact of Non-Interest Income on Bank Credit Risk: Evidence before and during the COVID-19 Pandemic : This study comprehensively examines the impact of Net Interest Income (NII) on crucial banking metrics—Return on Assets (ROA), Return on Equity (ROE), and Non-Performing Loans (NPL). The empirical findings underscore a consistent and positive influence of NII on ROA, especially pronounced with smaller NII values. However, the study reveals no discernible impact of NII on ROE, attributing this to the metric's sensitivity to stock market dynamics. In credit risk analysis, the significance of NII on NPL varies across time periods, with an intensified influence post-2010, aligning with BASEL III. Even during the challenging COVID-19 period, NII continues to impact NPL, albeit with reduced magnitude, indicative of adaptive banking strategies amidst economic uncertainties. The economic implications emphasize the pivotal role of NII in maintaining stability, illustrating the dynamic nature of the banking sector. The nuanced findings highlight the need for adaptive strategies and informed decision-making in response to evolving economic and regulatory environments. While recognizing the study's limitations based on a specific dataset and timeframe, the research suggests potential avenues for future exploration, such as the long-term effects of crisis responses, technological advancements, and global economic trends. This study contributes valuable insights for decision-makers navigating the intricate dynamics between NII and key performance indicators in the ever-evolving financial landscape.參考文獻 Abedifar, P., Molyneux, P., & Tarazi, A. (2018). Non-interest income and bank lending. Journal of Banking & Finance, 87, 411-426. Abuzayed, B., Al-Fayoumi, N., & Molyneux, P. (2018). Diversification and bank stability in the GCC. Journal of International Financial Markets, Institutions and Money, 57, 17-43. Aebi, V., Sabato, G., & Schmid, M. (2012). Risk management, corporate governance, and bank performance in the financial crisis. Journal of Banking & Finance, 36(12), 3213-3226. Akhigbe, A., & Stevenson, B. A. (2010). 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Accounting, Auditing & Accountability Journal, 13(1), 10-26. 描述 博士
國立政治大學
金融學系
108352507資料來源 http://thesis.lib.nccu.edu.tw/record/#G0108352507 資料類型 thesis dc.contributor.advisor 林士貴<br>張興華 zh_TW dc.contributor.advisor Lin, Shih-Kuei<br>Chang, Hsing-Hua en_US dc.contributor.author (Authors) 何杰操 zh_TW dc.contributor.author (Authors) He, Jie-Cao en_US dc.creator (作者) 何杰操 zh_TW dc.creator (作者) He, Jie-Cao en_US dc.date (日期) 2023 en_US dc.date.accessioned 2-Jan-2024 15:26:00 (UTC+8) - dc.date.available 2-Jan-2024 15:26:00 (UTC+8) - dc.date.issued (上傳時間) 2-Jan-2024 15:26:00 (UTC+8) - dc.identifier (Other Identifiers) G0108352507 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/149045 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 金融學系 zh_TW dc.description (描述) 108352507 zh_TW dc.description.abstract (摘要) Refinitiv、企業法說會與財報之ESG 分數於銀行經營績效之影響: 本研究對環境、社會和治理（ESG）分數與從企業法說會和10-K財報分析得到的情緒分數及其對銀行經營績效的影響進行了比較全面的實證研究。研究從三個方面展開：對全樣本的分析、基於資產規模的詳細研究以及基於產業分類的詳細對比。研究結果揭示了一些特別的結果。大型銀行因考慮環境和治理方面而受益，這與經營業績呈正相關。相反，中小型銀行則通過投資於環保措施和相關資訊披露來提高業績。不同細分行業的動態也不盡相同，商業銀行的業績受到環境和治理因素的積極影響，而儲蓄銀行則表現出更為複雜的關係。這對各利益相關者都有影響：銀行可以優化環境、社會和治理戰略，投資者可以做出明智的決策，政策制定者可以制定相關法規。本文採用的綜合方法增強了研究結果的穩健性，同時也承認了潛在的局限性，但該研究有助於理解環境、社會和公司治理指標與銀行業績效之間複雜的相互作用，從而幫助銀行業在實踐中做出明智的決策。 非利息收入對銀行信用風險之影響：COVID-19 疫情前後的實證研究: 本研究全面探討了非利息收入（NII）對關鍵銀行指標——資產報酬率（ROA）、股東權益報酬率（ROE）和不良貸款率（NPL）的影響。實證結果強調了 NII 對 ROA 的一貫正面影響，尤其在較小的 NII 數值下更為顯著。然而，研究發現 NII 對 ROE 沒有顯著影響，歸因於該指標對股票市場動態的敏感性。在信用風險分析中，NII 對 NPL 的影響在不同時間段存在差異，特別是在 2010 年後，與 BASEL III 的實施相一致。即使在充滿挑戰的 COVID-19 時期，NII 仍然對 NPL 產生影響，儘管影響程度減小，表明銀行在經濟不確定性中採取了適應性策略。 經濟影響強調了NII 在維持穩定性方面的關鍵作用。研究結果強調了在不斷變化的經濟和監管環境中制定適應性戰略和明智決策的必要性。儘管承認本研究基於特定資料集和時間範圍存在限制，但研究提出了未來探討的潛在方向，如危機應對、技術進展和全球經濟趨勢的長期影響。本研究為決策者提供了在不斷演變的金融環境中應對 NII 與關鍵績效指標之間錯綜複雜動態的寶貴見解。 zh_TW dc.description.abstract (摘要) The Impact of ESG Scores from Refinitiv, Earnings Call, 10-K Financial Reports on Bank Performance : This research presents a comprehensive empirical investigation into the intricate relationship between Environmental, Social, and Governance (ESG) scores and sentiment scores, and their impact on the performance of banking institutions. The study is structured across three dimensions: an encompassing analysis of the entire dataset, a detailed examination based on asset size, and an intricate analysis grounded in industry classification. The findings reveal nuanced patterns. Large banks benefit from prioritizing environmental and governance aspects, correlating positively with performance. Conversely, small and medium-sized banks experience improved performance through investments in environmental initiatives and associated disclosures. The dynamics differ in industry segments, with commercial banks' performance positively influenced by environmental and governance factors, while savings banks exhibit more complex relationships. Implications span stakeholders: banks can optimize ESG strategies, investors can make informed decisions, and policymakers can shape regulations. The paper's comprehensive methodology enhances findings' robustness, and while potential limitations are acknowledged, the study contributes to understanding the complex interplay between ESG metrics, sentiments, and banking performance, aiding informed decision-making in banking practices. The Impact of Non-Interest Income on Bank Credit Risk: Evidence before and during the COVID-19 Pandemic : This study comprehensively examines the impact of Net Interest Income (NII) on crucial banking metrics—Return on Assets (ROA), Return on Equity (ROE), and Non-Performing Loans (NPL). The empirical findings underscore a consistent and positive influence of NII on ROA, especially pronounced with smaller NII values. However, the study reveals no discernible impact of NII on ROE, attributing this to the metric's sensitivity to stock market dynamics. In credit risk analysis, the significance of NII on NPL varies across time periods, with an intensified influence post-2010, aligning with BASEL III. Even during the challenging COVID-19 period, NII continues to impact NPL, albeit with reduced magnitude, indicative of adaptive banking strategies amidst economic uncertainties. The economic implications emphasize the pivotal role of NII in maintaining stability, illustrating the dynamic nature of the banking sector. The nuanced findings highlight the need for adaptive strategies and informed decision-making in response to evolving economic and regulatory environments. While recognizing the study's limitations based on a specific dataset and timeframe, the research suggests potential avenues for future exploration, such as the long-term effects of crisis responses, technological advancements, and global economic trends. This study contributes valuable insights for decision-makers navigating the intricate dynamics between NII and key performance indicators in the ever-evolving financial landscape. en_US dc.description.tableofcontents Essay I: The Impact of ESG Scores from Refinitiv, Earnings Call, 10-K Financial Reports on Bank Performance 1 Chapter 1 Introduction 1 1.1 Research Background 1 1.2 Research Purpose 6 Chapter 2 Literature Review 9 2.1 ESG Scores and Bank Performance 9 2.2 Bank Performance 14 2.3 ESG Sentiment Score 18 2.4 Control Variables (CAMEL) 19 Chapter 3 Methodology 23 3.1 Hypothesis 1: Environment and Bank Performance 23 3.2 Hypothesis 2: Social Responsibility and Bank Performance 24 3.3 Hypothesis 3: Governance and Bank Performance 25 3.4 Measurement of ESG Sentiment Score 26 3.5 Regression Model 28 Chapter 4 Data 30 4.1 Data Selection and Descriptive Statistics 30 4.2 Co-Linearity and Mean Value Testing 34 Chapter 5 Empirical Results 47 5.1 Empirical Results of Full Sample 47 5.2 Empirical Results by Asset Size 51 5.3 Empirical Results by Industry Classification 56 Chapter 6 Conclusion and Prospects 61 Essay II: The Impact of Non-Interest Income on Bank Performance and Credit Risk: Evidence before and during the COVID-19 Pandemic 64 Chapter 1 Introduction 64 1.1 Research Background 64 1.2 Research Purpose 66 Chapter 2 Literature Review 68 2.1 Non-Interest Income and Bank Performance 68 2.2 Non-Interest Income and Credit Risk 69 Chapter 3 Methodology 72 3.1 Hypothesis 72 3.2 Regression Model 73 Chapter 4 Data 75 4.1 Data Selection and Descriptive Statistics 75 4.2 Co-Linearity and Mean Value Testing 79 Chapter 5 Empirical Results 94 5.1 Empirical Results of ROA 94 5.2 Empirical Results of ROE 98 5.3 Empirical Results of NPL 100 Chapter 6 Conclusion and Prospects 103 6.1 Conclusion 103 6.2 Limitations and Prospects 104 Reference 105 Appendix: ESG word list 112 zh_TW dc.format.extent 7130277 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0108352507 en_US dc.subject (關鍵詞) ESG zh_TW dc.subject (關鍵詞) 情緒分數 zh_TW dc.subject (關鍵詞) 銀行經營績效 zh_TW dc.subject (關鍵詞) 企業法說會 zh_TW dc.subject (關鍵詞) 10-K財報 zh_TW dc.subject (關鍵詞) 非利息收入 zh_TW dc.subject (關鍵詞) 信用風險 zh_TW dc.subject (關鍵詞) COVID-19 zh_TW dc.subject (關鍵詞) ESG en_US dc.subject (關鍵詞) sentiment scores en_US dc.subject (關鍵詞) bank performance en_US dc.subject (關鍵詞) earnings call en_US dc.subject (關鍵詞) 10-K financial statements en_US dc.subject (關鍵詞) Non-interest income en_US dc.subject (關鍵詞) credit risk en_US dc.subject (關鍵詞) COVID-19 en_US dc.title (題名) 關於美國銀行業在經營績效與信用風險的兩篇論述 zh_TW dc.title (題名) Two Essays on the U.S. Bank’s Performance and Credit Risk en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Abedifar, P., Molyneux, P., & Tarazi, A. 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