美國銀行控股公司壞帳承認決定因素之實證研究

Abstract

本文探討影響美國商業銀行經理人承認放款壞帳損失之因素。具體而言，可影響壞帳費用、壞帳沖銷之種種因素皆於本文中探討。本文首先將銀行壞帳之承認區分成權衡，性與非權衡性兩種。其中權衡性之壞帳承認指經理人依照其自身利益所承認之壞帳數量，該數量可正可負，不一定與放款品質相關;非權衡，性之壞帳承認指經理人依照適當之會計準則，考量客觀之經濟變數所應承認之壞帳數量。本文利用美國143家銀行控股公司1987 - 1990之資料，以＂似無相關迴歸＂ ( Seemingly Unrelated Regression )進行統計分析，獲得以下主要結論:(1)自有資本比率較低銀行之經理人可利用權衡性壞帳費用來告示資本市場該銀行真實之股價，並以之規避金融檢查單位對該銀行自有資本比率過低之處分。此外，當銀行該年度獲利率偏低時，經理人傾向承認較之權衡性壞帳費用，以一次出清利空消息。(2)經理人利用權衡性壞帳沖銷以調高其過低之自有資本比率。此外，銀行外聘之新任經理人傾向承認較高之權衡性壞帳沖銷。(3)就非權衡性壞帳損失而言，逾期放款之總數量與成長率為最重要之決定因素。

This paper examines how managerial incentives can affect financial report recognition of loan impairments in the U.S. banking industry. Loan impairments consist of a discretionary and a non-discretionary component. This paper first examines various factors (e.g., signaling, capital adequacy ratio regulations, cost of equity, management change, income-smoothing, and big-bath) which may influence the discretionary loan loss provision decision. Then, the discretionary loan loss charge-off decision is hypothesized to be affected by the primary capital adequacy ratio regulation, tax-saving incentives, and management change. Exogenous variables which may affect the nondiscretionary loan loss provision and loan loss charge-off decisions (e.g., local, national, and international economic conditions) are controlled by also including them in the models of the loan loss provision and loan loss charge-off. The hypotheses developed in this paper are empirically tested using the Seemingly Unrelated Regression analysis for loan impairments recognized by 143 U.S. bank holding companies in the 1987-1990 period. The results support the signaling hypothesis and the primary capital adequacy ratio regulation hypothesis; in addition, the effects of senior management change, and the big-bath incentive are found to be important.