商業銀行信用評等之決定--國家特定變數與盈餘管理之影響 | Publication

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題名	商業銀行信用評等之決定--國家特定變數與盈餘管理之影響
作者	黃玉麗
貢獻者	沈中華<br>朱浩民黃玉麗
關鍵詞	信用評等財務比率國家特定變數盈餘管理訊息不對稱
日期	2009
上傳時間	14-Sep-2009 09:29:09 (UTC+8)
摘要	本論文包含兩個主題，分別是信用評等的不一致性與盈餘管理是否影響銀行的信用評等。首先，本文以標準普爾信評機構之長期信用評等資料，試圖了解為何相同財務比率的銀行在不同的國家卻獲得不同的信用評等，我們提出『品質增進假說』，預期高所得、高度發展及政府治理較佳的國家，其銀行財務報表的可信度較高，財務資訊更能反映銀行的內在價值，此時信評機構與銀行間存在較少資訊不對稱的問題，使信評機構更信任財務報表的品質，因而提高財務比率對信用評等的解釋能力。相反地，在較低度發展或政府治理較差的國家，由於信評機構與銀行間存在較嚴重的訊息不對稱問題，使信評機構減低財務比率對信用評等的解釋能力。實證結果與我們的假說一致。此外，本文也發現信評機構將較低度發展國家之較高的資本適足率視為有利於評等的財務比率，且給予較大的權數，表示較低度發展國家可以經由提高資本適足率以獲得較佳的信用評等。本文的第二主旨仍為全球銀行業信用評等的決定，但與過去文獻不同，本文將檢視信評機構是否能辨識企業的盈餘管理的行為。本文以全球85國的資料探討銀行的盈餘管理是否對信用評等造成影響。由於企業進行盈餘管理將造成內部人與外部人間的訊息不對稱的問題，我們提出一 “較佳治理效果”，認為符合較佳治理的銀行可以降低訊息不對稱的程度，而較佳治理指的是一銀行位於高所得國家、債權人保護程度較佳的國家、或當一銀行的財務報表係由全球前五大會計師簽證時，我們認為在這些情況下，信評機構相信其報表盈餘是可信的，使得盈餘管理對信用評等不會造成影響，也因此不影響銀行的債務資金成本。相反地，在一個不符合較佳治理情況的銀行，訊息不對稱的情況較為嚴重，當信評機構發現銀行進行盈餘管理，認為此舉會使銀行真實的經濟表現受到隱匿，進而調降該銀行之信用評等，也因此將增加該銀行的債務資金成本。實證結果發現當未考慮治理變數時，我們發現兩個盈餘管理的代理變數，即盈餘平滑與盈餘操縱都對信用評等造成 “不利效果”。也就是說，當銀行進行盈餘管理時，信評機構會調降其評等，繼而使債務資本成本增加。當考慮治理變數且以盈餘平滑當作盈餘管理的代理變數時，我們的較佳治理效果獲得強烈支持，在高所得國家，債權人保護程度較佳的國家，或財務報表是由前五大會計師簽證的銀行，均可以有效地降低訊息不對稱的問題，且發現，當一銀行位於高所得國家或一銀行的財報是由前五大會計師簽證，則盈餘平滑對信用評等的影響接近 “中立效果”，亦即不會影響銀行的債務資金成本。然而，當一銀行是來自於中所得國家、東歐及中亞及東亞及太平洋地區，因為存在較嚴重的訊息不對稱問題，均加重盈餘平滑對信用評等的不利效果，繼而使得銀行的債務資金成本提高。最後，當考慮治理變數且以盈餘操縱當作盈餘管理的代理變數時，在高所得國家，盈餘操縱對信用評等的影響不顯著，中所得國家則顯著地減緩了盈餘操縱對信用評等的不利影響。此結果與過去研究一致，中所得及較低度發展國家的銀行會提列較高的可裁量的呆帳費用，藉以傳遞有利的內部訊息予外部投資人；但高所得國家，訊息不對稱的現象並不明顯，故不需要透過可裁量的呆帳費用來傳遞訊息，且較高的可裁量的呆帳費用反而使得盈餘被低估。在債權人保護程度較高的國家也減緩了盈餘操縱的不利效果。
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描述	博士國立政治大學金融研究所 93352508 98
資料來源	http://thesis.lib.nccu.edu.tw/record/#G0093352508
資料類型	thesis

dc.contributor.advisor	沈中華<br>朱浩民	zh_TW
dc.contributor.author (Authors)	黃玉麗	zh_TW
dc.creator (作者)	黃玉麗	zh_TW
dc.date (日期)	2009	en_US
dc.date.accessioned	14-Sep-2009 09:29:09 (UTC+8)	-
dc.date.available	14-Sep-2009 09:29:09 (UTC+8)	-
dc.date.issued (上傳時間)	14-Sep-2009 09:29:09 (UTC+8)	-
dc.identifier (Other Identifiers)	G0093352508	en_US
dc.identifier.uri (URI)	https://nccur.lib.nccu.edu.tw/handle/140.119/31180	-
dc.description (描述)	博士	zh_TW
dc.description (描述)	國立政治大學	zh_TW
dc.description (描述)	金融研究所	zh_TW
dc.description (描述)	93352508	zh_TW
dc.description (描述)	98	zh_TW
dc.description.abstract (摘要)	本論文包含兩個主題，分別是信用評等的不一致性與盈餘管理是否影響銀行的信用評等。首先，本文以標準普爾信評機構之長期信用評等資料，試圖了解為何相同財務比率的銀行在不同的國家卻獲得不同的信用評等，我們提出『品質增進假說』，預期高所得、高度發展及政府治理較佳的國家，其銀行財務報表的可信度較高，財務資訊更能反映銀行的內在價值，此時信評機構與銀行間存在較少資訊不對稱的問題，使信評機構更信任財務報表的品質，因而提高財務比率對信用評等的解釋能力。相反地，在較低度發展或政府治理較差的國家，由於信評機構與銀行間存在較嚴重的訊息不對稱問題，使信評機構減低財務比率對信用評等的解釋能力。實證結果與我們的假說一致。此外，本文也發現信評機構將較低度發展國家之較高的資本適足率視為有利於評等的財務比率，且給予較大的權數，表示較低度發展國家可以經由提高資本適足率以獲得較佳的信用評等。本文的第二主旨仍為全球銀行業信用評等的決定，但與過去文獻不同，本文將檢視信評機構是否能辨識企業的盈餘管理的行為。本文以全球85國的資料探討銀行的盈餘管理是否對信用評等造成影響。由於企業進行盈餘管理將造成內部人與外部人間的訊息不對稱的問題，我們提出一 “較佳治理效果”，認為符合較佳治理的銀行可以降低訊息不對稱的程度，而較佳治理指的是一銀行位於高所得國家、債權人保護程度較佳的國家、或當一銀行的財務報表係由全球前五大會計師簽證時，我們認為在這些情況下，信評機構相信其報表盈餘是可信的，使得盈餘管理對信用評等不會造成影響，也因此不影響銀行的債務資金成本。相反地，在一個不符合較佳治理情況的銀行，訊息不對稱的情況較為嚴重，當信評機構發現銀行進行盈餘管理，認為此舉會使銀行真實的經濟表現受到隱匿，進而調降該銀行之信用評等，也因此將增加該銀行的債務資金成本。實證結果發現當未考慮治理變數時，我們發現兩個盈餘管理的代理變數，即盈餘平滑與盈餘操縱都對信用評等造成 “不利效果”。也就是說，當銀行進行盈餘管理時，信評機構會調降其評等，繼而使債務資本成本增加。當考慮治理變數且以盈餘平滑當作盈餘管理的代理變數時，我們的較佳治理效果獲得強烈支持，在高所得國家，債權人保護程度較佳的國家，或財務報表是由前五大會計師簽證的銀行，均可以有效地降低訊息不對稱的問題，且發現，當一銀行位於高所得國家或一銀行的財報是由前五大會計師簽證，則盈餘平滑對信用評等的影響接近 “中立效果”，亦即不會影響銀行的債務資金成本。然而，當一銀行是來自於中所得國家、東歐及中亞及東亞及太平洋地區，因為存在較嚴重的訊息不對稱問題，均加重盈餘平滑對信用評等的不利效果，繼而使得銀行的債務資金成本提高。最後，當考慮治理變數且以盈餘操縱當作盈餘管理的代理變數時，在高所得國家，盈餘操縱對信用評等的影響不顯著，中所得國家則顯著地減緩了盈餘操縱對信用評等的不利影響。此結果與過去研究一致，中所得及較低度發展國家的銀行會提列較高的可裁量的呆帳費用，藉以傳遞有利的內部訊息予外部投資人；但高所得國家，訊息不對稱的現象並不明顯，故不需要透過可裁量的呆帳費用來傳遞訊息，且較高的可裁量的呆帳費用反而使得盈餘被低估。在債權人保護程度較高的國家也減緩了盈餘操縱的不利效果。	zh_TW
dc.description.tableofcontents	第一章緒論…………………………………………………………………1 第二章文獻回顧…………………………………………………4 第一節發行體信用評等的決定……………………………………………4 第二節銀行業的盈餘管理與信用評等……………………………………...10 第三章研究方法……………………………………………………..18 第一節計量模型……………………………………………………………..18 第二節模型設定……………………………………………………………..20 第四章國家特定變數對財務比率與銀行評等關係之影響..………..21 第一節前言………………………………….………………………………..21 第二節研究假說與設計………………………………………..23 第三節可能影響財務比率品質的國家特定變數…………..……………….25 第四節計量模型……………………………………………..........27 第五節資料來源及敘述統計分析…………………………………………...33 第六節實證結果……………………………………………………..……….43 第七節小結…………………………………………………………………...52 第五章以評等檢視盈餘管理對銀行資金成本之影響……………..55 第一節前言…………………………………………………………………..55 第二節信用評等與盈餘管理………………………………………………..58 第三節盈餘管理的衡量……………………………………………………..60 第四節影響盈餘管理與信用評等關係之治理變數………………………..62 第五節計量模型……………………………………………………………..64 第六節資料來源與敘述統計分析…………………………………………..67 第七節實證結果……………………………………………………………..75 第八節小節…………………………………………………………………..89 第六章結論與建議……………………………….…………...……..91 第一節結論…………………………………………………………………..91 第二節建議…………………………………………………………………..93 參考文獻………………………………………….………………...…..95	zh_TW
dc.language.iso	en_US	-
dc.source.uri (資料來源)	http://thesis.lib.nccu.edu.tw/record/#G0093352508	en_US
dc.subject (關鍵詞)	信用評等	zh_TW
dc.subject (關鍵詞)	財務比率	zh_TW
dc.subject (關鍵詞)	國家特定變數	zh_TW
dc.subject (關鍵詞)	盈餘管理	zh_TW
dc.subject (關鍵詞)	訊息不對稱	zh_TW
dc.title (題名)	商業銀行信用評等之決定--國家特定變數與盈餘管理之影響	zh_TW
dc.type (資料類型)	thesis	en
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