Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/31214
|
| Title: | 銀行業的競爭程度及會計盈餘的時效性、穩健性之分析 |
| Authors: | 呂美慧
LU, MEI-HUI |
| Contributors: | 沈中華
戚務君
呂美慧
LU, MEI-HUI |
| Keywords: | 銀行競爭
極端值
分量迴歸
盈餘時效性
盈餘穩健性
盈餘與股價關聯性 |
| Date: | 2005 |
| Issue Date: | 2009-09-14 09:32:50 (UTC+8) |
| Abstract: | 本文內容主要可分為三大部分，第一部份是「本國銀行業逐年的競爭程度及其變化之分析」，主要是以Panzer-Rosse模型評估銀行業的競爭程度，實證結果顯示1996至2000年每年的金融市場處於壟斷性競爭或完全競爭，在考慮銀行業務差距頗大及極端值存在的可能之下，2001和2002年的銀行業為壟斷性競爭。相較於1996至2000年，2001至2002年銀行業的競爭程度有降低的現象。
第二部分是「銀行業的競爭程度與利息收入佔總資產比率之關聯性分析」，本文延伸Panzer-Rosse模型，以分量迴歸法取代傳統最小平方法，發現排除規模效果的影響下，位於利息收入的條件分配愈左端（即利息收入佔總資產比率較低）的銀行，其所處之金融環境競爭程度愈高。此外，亞洲金融危機受創最嚴重的五個東南亞國家，自金融風暴發生至2004年，位於經資產標準化的利息收入分配左端、或右端、或中間的銀行在各個國家雖遭遇不同的競爭環境變化，不過，平均而言，所有銀行面臨的競爭程度皆獲得改善。
第三部分是「以分量迴歸法分析會計盈餘的時效性與穩健性」，實證結果顯示會計盈餘對好消息認列的時效性和對壞消息認列的穩健性會受企業當期的盈餘水準所影響。若企業當期的盈餘水準愈差，則會降低其盈餘的時效性，但是會提高其盈餘的穩健性。相反地，若當期的盈餘水準愈高，則會提高其盈餘的時效性，但是會降低其盈餘的穩健性。
There are three issues in this dissertation. The first one is to analyze the yearly degree of competition and its variation in Taiwan’s banking industry with the Panzer-Rosse model. We find that the markets over the period 1996-2000 were characterized with monopolistic competition or perfect competition, while the system was characterized by monopolistic competition in 2001 and 2002 after we take into consideration the possibility of outliers. Furthermore, the results also suggest that the competition has declined in Taiwan’s banking industry.
The second topic is to investigate the relationship between banking competition and the ratio of banks’ interest revenues to total assets. The results show that while the ratio of bank’s interest revenues to total assets is lower, the bank faces a more competitive market. Moreover, competitive pressures have been improved for banks with different levels of interest revenues over total assets in East Asia after the financial crisis occurred in 1997.
About the final issue, we try to find whether firms’ contemporaneous earnings affect the timeliness and conservatism of accounting earnings and their relationship. Our results show that the degree of timeliness and conservatism of accounting earnings are relevant to the level of earnings. Specifically, firms with poor earnings will decrease their earnings in recognizing good news but increase the level of conservative accounting. On the other hand, the level of conservative accounting is a decreasing function of earnings while the timeliness in recognizing good is increasing in earnings. |
| Reference: | 丁俊元(1996)，「台灣證券業市場績效及可競爭性之研究」，台灣工業技術學院管理技術研究碩士論文。
白婉鈴(2003)，「台灣銀行產業市場壟斷力之估計」，台灣科技大學企業管理研究所碩士論文。
沈中華(2001)，「台灣金融業真正的難處：不在過多的銀行 而是過剩的產能」，工商時報，民國90年3月25日。
沈中華(2002)，「貨幣銀行學--全球的觀點」，新陸書局。
沈中華(2005)，「第二次金融改革是金融建築的問題」，台灣綜合研究院。
沈中華和呂美慧(2005)，「本國銀行業逐年的競爭程度及其變化之分析」，證券市場發展季刊，預計十月刊出。
吳聰宏(1995)，「完全可競爭市場理論之金融市場研究」，東吳大學經濟研究所碩士論文
戚務君、廖益均和王貞靜(2005a)，「博達案對會計盈餘穩健程度之研究」，手稿。
戚務君、廖益均和林嬋娟(2005b)，「我國企業盈餘穩健特性之研究」，手稿。
黃介良(1998)，「台灣銀行業競爭程度之實證研究—加碼檢定法」，基層金融，36期，第1-25頁。
張文育(2001)，「台灣銀行業開放設立前後之市場結構分析」，台北大學經濟系碩士論文。
Abrevaya, J. (2001), “The effects of demographics and maternal behavior on the distribution of birth outcomes,” Empirical Economics, March, 26:1, pp. 247–257.
Ahmed, A. S., B. K. Billings, R. M. Morton, and M. Stanford-Harris (2002), “The role of accounting conservatism in mitigating bondholder-shareholder conflicts over dividend policy and in reducing debt costs,” The Accounting Review, 77, 867-890.
Amstrong, R. D., E.L. Frome, and D. S. Kung (1979), “Algorithm 79-01: A revised simplex algorithm for the absolute deviation curve fitting problem,” In Communication in Statistics, Simulation and Computation, B8 (2), 175-190. New York: Marcel Dekker.
Angelini, P. and N. Cetorelli (1998), “Assessing competition in the Italian banking industry,” Federal Reserve Bank of Chicago, mimeo.
Arias, Omar, K. Hallock and W. S. Escudero (2001), “Individual heterogeneity in the returns to schooling: Instrumental variables quantile regression Using Twins Data,” Empirical Economics. March, 26:1, pp. 7–40.
Ball, R. and P. Brown (1968), “An empirical evaluation of accounting income numbers,” Journal of Accounting Research, 6, 159-178.
Ball, R., S. P. Kothari, and A. Robin (2000), “The effect of international institutional factors on properties of accounting earnings,” Journal of Accounting and Economics, 29, 1-51.
Ball, R., A. Robin, and J. S. Wu (2003), “Incentives versus standards: Properties of accounting income in four East Asian countries,” Journal of Accounting and Economics, 36, 235-270.
Ball, R. and L. Shivakumar (2005) “Earnings quality in UK private firms: comparative loss recognition timeliness,” Journal of Accounting and Economics, 39, 83-128.
Basu, S. B (1997), “The conservatism principle and asymmetric timeliness of earnings,” Journal of Accounting and Economics, 24, 3-37.
Baumol W. J., J. C. Panzar and R. D. Willing. (1982), “Contestable market and the theory of industry structure.”, San Diego : Harcourt Brace Jovanovic.
Beaver, W. H., R. Lambert and D. Morse (1980), “The information content of securities prices,” Journal of Accounting and Economics, 2, 2-38.
Beaver, W. H. and S. Ryan (2000), “Biases and lags in book value and their effects on the ability of the book-to-market to predict book return on equity,” Journal of Accounting Research, 38 (1), 127-148.
Beck T., A. Demirgüc-Kunt, and R. Levine (2005), “Bank concentration, competition and crises: First results,” Working Paper.
Berger, A. N. (1991), “The profit-concentration relationship in banking,” Finance and Economics Discussion Series No. 176, Federal Reserve Board of Governors.
Berger, A. N. and T. H. Hannan (1989), “The profit-concentration relationship in banking,” Review of Economics and Statistics, p291-299.
Bikker, J. A. (2003), “Testing for Imperct Competition on EU Deposit and Loan Markers with Bresnahan’s Market Power Model,” De Nederlandsche Bank Research Series Supervision, 52.
Bikker, J. A. and J. M. Groeneveld (2000), “Competition and Concentration in the EU Banking Industry,” Kredit und Kapital, 33, 62-98.
Bikker, J. A. and K. Haaf (2002), “Competition, Concentration and Their Relationship: An Empirical Analysis of the Banking Industry,” Journal of Banking and Finance, 26, 2191-2214.
Bresnahan, T. F. (1982), “The Oligopoly Solution is Identified,” Economics Letters, 10, 87-92.
Buchinsky, M. (1994), “Changes in U.S. Wage Structure 1963–1987: An Application of Quantile Regression,” Econometrica, March, 62:2, pp. 405–458.
Buchinsky, M. (1995), “Estimating the asymptotic covariance matrix for quantile regression models a monte carlo study,” Journal of Econometrics, 68, pp.303–338.
Buchinsky, M. (1997), “The Dynamics of Changes in the Female Wage Distribution in the USA: A Quantile Regression Approach,” Journal of Applied Econometrics. January/February, 13:1, pp. 1–30.
Buchinsky, M. (1998), “Recent advances in quantile regression: A practical guide for empirical research,” Journal of Human Resources, 33, pp.88–126.
Bushman R., Q. Chen, E. Engel and A. Smith (2004), “Financial accounting information, organizational complexity and corporate governance systems,” Journal of Accounting and Economics, 37, 167-201.
Calem, P. and G., Carlino (1991), “The concentration / conduct relationship in bank deposit markets,” Review of Economics and Statistics, p1011-1057.
Caprio, G. and D. Klingebiel (2002), “Episodes of Systemic and Borderline Financial Crises,” World Bank, Mimeo.
Carlton, D. and J. Perloff (1989), Modern Industrial Organization, Glenview, IL: Scott Foresman/Little, Brown.
Chamberlain, G. (1994), “Quantile Regression, Censoring and the Structure of Wages,” in Advances in Econometrics. Christopher Sims, ed. New York: Elsevier, pp. 171–209.
Chernozhukov, V. and L. Umantsev. (2001), “Conditional Value-at-Risk: Aspects of Modeling and Estimation.” Empirical Economics. March, 26:1, pp. 271–92.
Chen, Q (2005), “What determines residual income?” The Accounting Review, 80 (1), p85-112.
Claessens, S. and L. Laeven (2003), “What Drives Bank Competition? Some International Eviedence,” Policy Research Working Paper Series 3113, The World Bank.
De Bandt, O. and E. P. Davis (2000), “Competition, Contestability and Market Structure in European Banking Sectors on the Eve of EMU,” Journal of Banking and Finance, 24, 1045-1066.
Demsetz, H.(1973), “Industry structure, market rivalry and public policy,” Journal of Law and Economics, 16, p1-10.
Demirgüc-Kunt A. and H. Huizinga (1997),“Determinants of commercial bank interest margins and profitability: Some international evidence,” The World Bank working Paper.
Easton, P. and J. Pae (2004), “Accounting conservatism and the relation between returns and accounting data,” Review of Accounting Studies, 9, 495-521.
Efron, B. (1979), “Bootsrtap methods: Another look at the jack-knife,” The Annals of Statistics, 9, pp.1218–1228.
Engle, R. and S. Manganelli. (1999), “CaViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.” University of California, San Diego, Department of Economics Working Paper 99/20. October.
Evanoff, D. D. and D. L. Fortier (1988), “Reevaluation of the structure conduct performance paradigm in banking,” Journal of Financial Services Research, 1,277-294.
Fattouh, B., P. Scaramozzino, and L. Harris (2005), “Capital structure in South Korea: a quantile regression approach,” Journal of Development and Economics, 76, 231-250.
Francis, J., R. LaFond, P. Olsson, and K. Schipper (2004), “Cost of equity and earnings attributes,” The Accounting Review, 79, 967-1010.
Gelos, R. G. and J. Roldόs (2002), “Consolidation and Market Structure in Emerging Market Banking Systems,” IMF Working Paper, No. WP/02/186.
Giner, B. and W. Rees (2001), “On the asymmetric recognition of good and bad news in France, Germany, and the United Kingdom,” Journal of Business Finance and Accounting, 28, 1285-1331.
Gould, W. W (1992), sg11.1: “Quantile regression with bootstrapped standard errors,” Stata Technical Bulletin Reprints, 2, 137-139.
Gould, W. W (1997), sg70: “Interquantile regression and simultaneous-quantile regression,” Stata Technical Bulletin Reprints, 7, 167-176.
Gruben W. C. and R. P. McComb (2003), “Privatization, Competition and Supercompetition in the Mexican Commercial Banking System,” Journal of Banking and Finance, 27, 229-249.
Hannan, T. H. (1991), “Fundation of the structure conduct performance paradigm in banking,”, Journal of Money, Credit and Banking, 23, 68-84.
Heggested A. A. (1977), ,“Market structure, risk, and profitability in commercial banking,” Journal of Finance, 32:4, 1207-1216
Holthausen, R. and R. L. Watts (2001), “The relevance of the value- relevance literature for financial accounting standard setting,” Journal of Accounting and Economics, 31(September), 3-75
Iwata, G. (1974), “Measurement of Conjectural Variations in Oligopoly,” Econometrica, 42, 947-966.
Jackson, W. III (1997), “Market Structure and the Speed of Adjustment: Evidence of Non-monotonicity,” Review of Industrial Organization, 12, 37-57.
Koenker, R. and G. Bassett (1978), “Regression quantiles,” Econometrica, 46, 33-50.
Koenker, R. and K. F. Hallock (2001), “Quantile regression: an introduction,” Journal of Economic Perspectives, 15, 143-156.
Kothari, S. P. and R. Sloan (1992), “Information in prices about future earnings: Implications for earnings response coefficients,” Journal of Accounting and Economics, 15, 143-172.
Krishnan, G. V. (2005a), “Did Houston clients of Arthur Andersen recognize publicly available bad news in a timely fashion?” Contemporary Accounting Research, 22, 93-165.
Krishnan, G. V. (2005b), “The association between Big 6 auditor industry expertise and the asymmetric timeliness of earnings,” Journal of Accounting, Auditing, and Finance, forthcoming.
Levine, R.(2000), “Bank concentration: Chile and international comparisons,” Central Bank of Chile Working Papers.
Levine, R. and S. Zervos (1998), “Stock Markets, Banks and Economic Growth,” The World Bank Working Paper, No. 1690.
Mata, J. and J. A. F. Machado (1996), “Firm set-up size: a conditional quantile approach,” European Economic Review, 40, 1305-1323.
Mester, L. J. (1987), “Multiple market contact between savings and loans,” Journal of Money, Credit and Banking, 19, 538-549.
Mester, L. J. (1992), “Perpetual signaling with imperfectly correlated costs,” The Rand Journal of Economics, 23, 548-563.
Molyneux, P. (2003), ““Does Size Matter?” Financial Restructuring under EMU,” Working Paper, 03-30, University of Wales.
Molyneux, P., D. M. Lloyd-Williams, and J. Thornton (1994), “Competitive Conditions in European Banking,” Journal of Banking and Finance, 18, 445-459.
Molyneux, P., J. Thornton, and D. M. Lloyd-Williams, (1996), “Competition and Market Contestability in Japanese Commercial Banking,” Journal of Economics and Business, 48, 33-45.
Nathan, A. and H. Neave (1989), “Competition and Contestability in Canada’s Financial System: Empirical Results,” Canadian Journal of Economics, 22, 576-594.
Noy, I. (2005), “Liberalization and Banking Crises in East Asis,” Working Paper, University of Hawaii.
Panzar, J. C. and J. N. Rosse (1987), “Testing for ‘Monopoly’ Equilibrium,” Journal of Industrial Economics, 35 (4), 443-456.
Peltzmzn, S. (1977), ”The gains and losses from industrial concentration,” Journal of Law and Economics, 229-263.
Pope, P. F. and M. Walker (1999), “International differences in the timeliness, conservatism, and classification of earnings,” Journal of Accounting Research, 37, Supplement, 53-87.
Rousseeuw, P. J. and A.M. Leroy (1987), Robust Regression and Outlier Detection, John Wiley & Sons, Inc.
Ryan, S. (1995), “A model of accrual measurement with implications for the evaluation of the book-to-market ratio,” Journal of Accounting Research, 33 (1), 95-112.
Shaffer, S. (1982), “A nonstructural test for competition in financial markets,” in Proceedings of a conference on Bank Structure and Competition, Federal Reserve Bank of Chicago, 225-243.
Shaffer, S. (1989), “Competition in the U.S. banking industry,” Economics Letters, 29 (4), 321-323.
Shaffer, S. (1993), “A test of competition in Canadian banking,” Journal of Money, Credit, and Banking, 25 (1), 49-61.
Shaffer, S. (1994), “ Bank Competition in concentrated markets,” Business Review, 29 (3), 3-16.
Shaffer, S. (2002), “Conduct in a Banking Monopoly,” Review of Industrial Organization, 20, 221-238.
Shaffer, S. and J. DiSalvo (1994), “Conduct in a Banking Duopoly,” Journal of Banking and Finance, 18, 1063-1082.
Shepherd, W. G. (1985), The Economics of Industrial Organization, 2nd Edition, Prentice-Hall, Inc., Englewood Cliffs, NJ.
Short, B. K. (1979), “The relation between commercial bank profit rates and banking concentration in Canada, Western Europe, and Japan,” Journal of Banking and Finance, 69-83.
Smirlock, M. (1985), “Evidence on the (non) relationship between concentration and profitability in banking,” Journal of Money, Credit, and Banking, 17 (2), 69-83.
Taylor, J. (1999), “A Quantile Regression Approach to Estimating the Distribution of Multiperiod Returns.” Journal of Derivatives. 7:1, pp. 64–78.
Toolsema, L. A. (2002), “Competition in the Dutch consumer credit market”, Journal of Banking and Finance, 26, 2215-2229.
Vesala, J. (1995), “Testing Competition in Banking: Behavioral Evidence from Finland,” Bank of Finland Studies Working Paper, No. E:1.
Watts, R. L. (2003a), “Conservatism in accounting part I: explanations and implications,” Accounting Horizons, 17, 207-221.
Watts, R. L. (2003b), “Conservatism in accounting part II: evidence and research opportunities,” Accounting Horizons, 17, 287-301.
Zhu, A., M. Ash, and R. Pollin (2002), “Stock Market Liquidity and Economic growth: A Critical Appraisal of the Levine/Zervos Model,” Political Economy Research Institute Working Papers, No. 47. |
| Description: | 博士
國立政治大學
金融研究所
9035203
94 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0903525031 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| index.html | 0Kb | HTML2 | 264 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
