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政大機構典藏 > 商學院 > 會計學系 > 學位論文 > Item 140.119/84412

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/84412

Title:	商業銀行資本適足率資訊內涵與資本調控問題之研究
Authors:	陳育成
Contributors:	郭弘卿林修葳陳育成
Keywords:	capital adequacy ratios BIS ratios liquidity and credit risks tier 1 capital tier 2 capital excess return loan loss provisions securities gains and losses accruals management simultaneous equations
Date:	1997
Issue Date:	2016-04-14 13:57:40 (UTC+8)
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。本研究先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。此外，本研究亦針對壞帳費用與票券買賣損益兩項富裁量空間之科目，分析國內商業銀行策略性操縱帳面盈餘與資本問題。最後，就現行我國資本適足率規定之缺失，作進一步之檢討，並檢測調整部份風險性資產之風險權數後，對資本適足率解釋投資人所要求必要報酬間關係之影響。 This thesis 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. Findings indicate the followings: (1) ceteris paribus, long-windowed bank returns negatively correlate with each and every measure of BIS ratio in this study. 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 BIS 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 BIS ratio.
Description:	博士國立政治大學會計學系
Source URI:	http://thesis.lib.nccu.edu.tw/record/#A2002000643
Data Type:	thesis
Appears in Collections:	[會計學系] 學位論文

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