[[alternative]]Investigating financial statement information to risk indexes for Taiwan's banking industry

碩士[[abstract]]經建會建議政府應根據2001年1月公布的新版巴塞爾資本協定，鼓勵銀行建置信用風險內部評等計量模型，以確實計算、了解銀行的暴險部位，提高金融機構風險測量與管理能力。本研究之研究動機為透過財務報表之揭露，試圖選擇以財務比率為分析工具，從財務報表中，找出影響風險的主要因子並且冀望利用投資人最易取得的資訊—財務報表評估金融業風險，提供投資大眾或決策者一條快捷、便利的評估管道，進行最佳投資決策則為重要課題。 是以本研究主要係探討銀行財報資訊是否能反映銀行風險情形並觀察三年度資料是否有其差異性存在，以民國91年1月1日至93年12月31日期間證交所上市之29家金融類股公司作為分析對象來進行實證研究，其重要發現如下： 一、高資本適足率的金融機構，將有助於幫助該機構財務風險的下降，此與有關單位要求金融機構提升資本適足率的要求，得到實證研究上的支持，亦為低資本適足率的金融機構，將使該金融機構瀕臨極大的財務風險。 二、金融機構有高的稅前盈餘及屬穩定收益之手續費的提升，則可以使該公司之營運槓桿可以為之下降，亦為降低該公司之營運風險，此與目前銀行以提高服務品質增加手續費收入比重成為銀行收入主要來源之概念有相似之處。 三、以槓桿程度為風險指標時，營運槓桿及財務槓桿與稅前盈餘具相關性。營運槓桿與稅前盈餘為負相關，表示當稅前盈餘增加時，公司營業利益增加營運槓桿下降，營運風險亦隨之降低；財務槓桿則與稅前盈餘為正相關，表示當公司稅前盈餘增加時，應為公司財務槓桿作用表現，所以公司財務風險增加。 四、由於系統風險乃衡量個股報酬率與大盤報酬率波動性之關聯性指標，且股價乃是反應著未來可能的變化，然而財報資料為歷史資料，就市場效率性而言影響應該不大，所以實證結果並無顯著的相關性。[[abstract]]The Council for Economic Planning and Development suggests that the government should act according to the agreement of Basel II which announced in January, 2001 to encourage banks establish the internal quantitative model of credit risk ranking system to calculate and understand the exposure risk of bank’s assets. By the model, financial institutions can enhance their risk measurement and management ability. The motivation of this research is to find main factors which influence the risk by selecting financial ratios as analysis tools in disclosed financial statements. Moreover, it hopes that the research can provides investor and decision maker a fast and convenient measure to evaluate the risk of financial institutions by the public information. This research mainly discusses the financial statement whether reflect the risk of bank and observes three-year material whether has its difference. This empirical study uses the data of 29 listed financial companies from January 1, 2002 to December 31, 2004 to be analyzed. There are main points discovered as follows: First, high Capital Adequacy Ratio (CAR) lowers the risk of financial institution. Practically, this conclusion support that the government require financial institutions to improve their CARs. It means that the financial institution with low CAR has a critical risk in finance. Second, the financial institution that has high pre-tax earning and increases stable income from handling charges will lower its operating risk by decreasing degree of operating leverage. This concept is similar to the current trend that banks enhance their service quality to increase the income proportion from handling charge. Third, when it takes the degree of leverage to become a risk index, the operating leverage and financial leverage related to the pre-tax earning. Operating leverage and pre-tax earning exhibit a negative relationship. It means that when a company increases its pre-tax earning, its operating leverage decreases and operating risk also reduces along with it. On the other hand, there is a positive correlation between operating leverage and pre-tax earning. The finance risk of company increases by leverage when its earning raises. Fourth, There is no significant correlation between systematic risk and the indicators of financial statement. Systematic risk is a measurement of volatility between individual stock return and market return. Further, stock price reflects the possibility of value change in the futures. Oppositely, the information of financial statement presents the historical data. In market efficiency, it assumes that those two factors will not reveal relevance. This empirical result illustrates this assumption.[[tableofcontents]]目 次 第壹章 緒論 第一節 研究背景與動機.................................................................................. 1 第二節 研究目的.............................................................................................. 2 第三節 研究流程.............................................................................................. 3 第貳章 文獻探討 第一節 風險值簡介及相關文獻探討.............................................................. 5 第二節 其餘風險指標相關文獻探討.............................................................. 9 第三節 財務報表與風險之相關文獻............................................................ 12 第四節 本論文研究之方向............................................................................ 13 第參章 研究方法 第一節 研究假設............................................................................................ 20 第二節 研究分析............................................................................................ 24 第三節 研究資料說明及設計........................................................................ 27 第肆章 實證結果與分析 第一節 股價報酬風險值與財務報表之關係................................................ 34 第二節 股價報酬相對風險值與財務報表之關係........................................ 38 第三節 營運槓桿、財務槓桿與財務報表之關係........................................ 42 第四節 系統風險與財務報表之關係............................................................ 45 第五節 變異係數與財務報表之關係............................................................ 48 第伍章 結論與建議 第一節 結論.................................................................................................... 53 第二節 研究限制與建議................................................................................ 55 參考文獻................................................................................................................. 56 表 目 錄 表 2-1 文獻結果整理............................................................................................ 14 表 3-1 本研究自變數整理.................................................................................... 31 表 3-2 敘述統計量................................................................................................ 32 表 4-1 股票報酬風險值與財務報表之多元迴歸分析........................................ 34 表 4-2 股票報酬風險值實證結果彙整表............................................................ 35 表 4-3 股價報酬風險值三年資料實證結果........................................................ 37 表 4-4 股票報酬相對風險值與財務報表之多元迴歸分析................................ 38 表 4-5 股票報酬相對風險值實證結果彙整表.................................................... 39 表 4-6 股價報酬相對風險值三年資料實證結果................................................ 40 表 4-7 DOL與財務報表之Logit實證結果......................................................... 43 表 4-8 DFL與財務報表之Logit實證結果......................................................... 44 表 4-9 系統風險與財務報表之多元迴歸分析.................................................... 45 表 4-10 系統風險Beta實證結果彙整表............................................................. 46 表 4-11 系統風險三年資料實證結果................................................................... 47 表 4-12 變異係數與財務報表之多元迴歸分析................................................... 48 表 4-13 變異係數CV值實證結果彙整表............................................................. 48 表 4-14 變異係數三年資料實證結果................................................................... 50 表 4-15 三年度加入虛擬變數實證結果彙整表…............................................... 52 圖 目 錄 圖 1-1 本研究流程圖.............................................................................................. 4 圖 2-1 風險值…………………….......................................................................... 5 附 錄 附錄一 本研究之上市金融業統計表（以股票代號排序）................................ 59 附錄二 銀行風險之分類........................................................................................ 60 附錄三 三年資料合併之實證分析........................................................................ 62[[note]]學號: 792590431, 學年度: 9