資本適足率對國內商業銀行投資人倒閉與流動性風險訊息內涵之實證研究

Abstract

資本適足率( capital adequacy ratio ，即實業界所稱之BIS比率)為金融界評估商銀風險之重要指標，在反映資本結構以至於倒閉風險的意義上，相較於財務分析常用的權益值對總資產比率， BIS 比率應是一個更精確的指標， 惟國內外相關文獻迄今仍寥寥可數。本研究藉資本市場銀行股長天期窗口超額報酬率反映投資人所要求報酬中之風險貼水，探討投資人是否可以引用資本適足率衡量國內商銀的倒閉風險與流動性風險。實證結果顯示，不論是商銀依財政部公布r銀行自有資本與風險性資產之範圍、計算方法及未達標準之限制盈餘分配辦法」所核算、呈報之資本適足率，或是就銀行所發布資料，儘可能比照公訂資本適足率核算辦法所自行設算、不含資產負債表外風險性資產所計算之比值，甚至自行設算、僅考慮自有資本中之第一類資本(Tier 1 Capital )估算值，均與商銀股市超額報酬有顯著之負向關係，顯示資本適足率對投資人而言，屬攸關資訊，能幫助評估銀行倒閉風險，進而決定其所要求之必要報酬率。又國內商銀中，民營銀行股超額報酬對資本適足率之迴歸係數，較公營銀行更具負向關係，而民國八十一年後新成立之銀行對資本適足率之迴歸係數，亦較八十一年前成立之舊銀行更具負向關係。至於景氣蕭條時，資本適足率與超額報酬間的關係，並未較繁榮時敏感。而逾期、催收款項之增量與壞帳沖銷金額之和亦對銀行股報酬無邊際解釋力。本研究亦發現:各商銀呈報主管機關之BIS比率，相較於作者就銀行季報及年報資料，儘可能比照財政部發布之資本適足率核算辦法所自行設算、不含資產負債表外數據所成就比值( MBIS ) ，其差額對銀行股超額報酬之邊際解釋能力並不顯著。同時， BIS 比率與自行設算值之差額( DIFF )與自行設算值間呈顯著負相關，顯示銀行可能以表外項目為調控工具，即當MBIS 低時， 減抑表外風險性資產之認列， 以免BIS 比率過低。此亦可能解釋DIFF與銀行股超額報酬相關性不顯著之現象。

This study empirically examines the explanatory power of capital adequacy ratio(BIS ratio) to Taiwan`s commercial bank long-windowed returns minus risk-free rates(hereafter excess return), investigating whether the ratio serves to measure the level of risk of these banks equity securities. Specifically, the association between commercial bank BIS ratio and the long-windowed excess returns should reflect the extent to which credit and liquidity risk premiums required by bank shareholders vary with the BIS ratio. Our findings indicate the followings: (1) ceteris paribus, long-windowed bank returns negatively correlate with each and every measure of BIS ratio in this study: the risk-based capital adequacy ratio reported exclusively to BIS, the Bureau of Monetary Affairs, Ministry of Finance, and the Central Bank of China, the proxy measure based on the banks financial statements and quarterly report disclosures , and the proxy measure of tier 1 capital calculated via the banks quarterly financial reports. These results are consistent with the notion that capital adequacy ratio conveys relevant information regarding the bank shareholders risk; (2) required rate of security returns appears to be more (less) sensitive to the HIS ratio for banks founded after (prior to) 1992 and for non-state-owned (state-owned) commercial banks; (3) there is not corroborative evidence that macro-economic variables have incremental explanatory power to the regression coefficient for the HIS ratio. There exist insignificant negative dummy slope estimates for the level of business cycle indicators as well as for the set of overall loan quality variables including overdue loans, doubtful loans, bad debts, and write-offs; (4) the proxy measure calculated based on the banks quarterly financial reports appears to be a sufficient statistic to the non-public capital adequacy ratio, which the banks report exclusively to the regulatory bodies. An insignificant orthogonalized regression coefficient suggests that the difference between these two HIS measures conveys trivial information with respect to shareholder risks.