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Title: 論銀行壞帳費用之資訊內涵
On the Signaling Incentives of Loan Loss Provision Recognized by Banks
Authors: 劉順仁
Liu, Shuen-Zen
Keywords: 訊息均衡;權衡性壞帳費用;管制成本
Signaling equilibrium;Discretionary loan loss provision;Regulatory costs
Date: 1995-10
Issue Date: 2017-11-15 14:54:13 (UTC+8)
Abstract: 銀行壤帳費用的資訊內涵在最近的會計文獻中受到相當的重視。一些實証研究發現銀行壞帳費用與其股票價格成正相關,並以訊息理論來解釋此結果。然而這些研究皆未明確說明為何壞帳費用是可信的訊息。本研究假設銀行壞帳費用之提列可區分成權衡性與非權衡性兩種。權衡陸壞帳費用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,性壞帳費用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。本研究之目的在以嚴格之數學模型探討商業銀行經理人為何以及如何運用權衡陸壞帳費用向資本市場告示該銀行真實之股價。本研究首先證明若(1)因銀行自有資本比率限制所產生之管制成本隨權衡性之壤帳費用增加,(2)銀行之其他財務揭露不足以使資本市埸無誤差的預測其未來之現金流量,則權衡性壞帳費用是該銀行真實股價之可信訊息。本研究同時分析銀行未來之現金流量,自有資本比率、未實現證券利得,及其他財務揭露之品質對權衡性壞帳費用大小之影響。
Several recent papers have found that the market reacted favorab1y to banks' loan loss provision announcements and have invoked signaling interpretation for the results. These studies did not, however, explicitly discuss important questions such as: (a) why the loan loss provision can serve as a credible signal and (b) what are the conditions under which a signaling equilibrium can be maintained. Assuming that the loan loss provision consists of a discretionary and a non-discretionary component, this paper develops a model in which managers use the discretionary loan loss provision as a signal to resolve information asymmetry between banking firms and the capital market. It is shown that a fully separating signaling equilibrium exists if two conditions hold: (a) regulatory costs which result from the capital adequacy ratio regulations are increasing in the level ofthe discretionary loan loss provision; and (b) expected future cash flows of the bank cannot be revealed with certainty by information other than the discretionary loan loss provision. The signaling model predicts that the discretionary loan loss provision is increasing in the levels of the expected future cash flows, the equity-to-asset ratio, the amount ofunrealized security gains, and the probability that the expected future cash flows can be revealed by information other than the discretionary loan loss provision.
Relation: 會計評論, 29, 223-255
Data Type: article
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Appears in Collections:[會計評論] 期刊論文

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