銀行企業放款信用風險管理決策影響盈餘操縱之研究－以國內某大商業銀行為例; Study on the Impacts of Corporate Credit Risk Management Decisions Pertaining to Bank Corporate Loans on Earnings Manipulation- Case Study on A Major Commercial Bank in Taiwan

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/12290

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/12290

Title:	銀行企業放款信用風險管理決策影響盈餘操縱之研究－以國內某大商業銀行為例;Study on the Impacts of Corporate Credit Risk Management Decisions Pertaining to Bank Corporate Loans on Earnings Manipulation- Case Study on A Major Commercial Bank in Taiwan
Authors:	許重祿;Chung-Lu Hsu
Contributors:	財務金融學系碩士在職專班
Keywords:	新巴塞爾資本協定;盈餘操縱;信用風險管理;Credit Risk Management;Earnings Manipulation;Basle II Accord
Date:	2004-07-08
Issue Date:	2009-09-22 14:44:21 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	本研究隨機抽出之樣本，自1984年6月至2004年3月間491家企業放款客戶，該行庫之企業放款客戶約一萬二千戶，所取得資料包括放款客戶之授信申請書、授信企業信用評等表、財團法人金融聯合徵信中心企業授信餘額資訊、會計師財務簽證之資產負債表、損益表及現金流量表、新發生逾期放款調查報告表、催討記錄等有效樣本。利用t檢定與順序符號檢定（Signed Rank Test）檢視在不同分析構面下，借款公司在授信申請之前是否存在盈餘操縱行為。以t檢定檢視正常公司與問題放款公司間，在銀行信用風險管理決策上，營業內、外裁決性項目之平均數是否有顯著差異，另外以Wilcoxon Rank Sum檢定方法檢視兩者之中位數是否有顯著差異。利用t檢定與Wilcoxon Rank Sum檢定方法（又稱卡方近似檢定），分析各研究變數在正常公司與問題放款公司之間是否存在顯著差異。以Modify Jones Model衡量盈餘操縱工具，並以迴歸模型Logit Model與OLS Model模型設計，進行實證研究，採用統計模型選擇法中之「向後逐步選擇法」（Backward Stepwise）來篩選變數，以求得精簡而有顯著解釋能力之模型。「向後逐步選擇法」篩選變數之步驟是先將所有變數投入模型中，然後檢視個別變數之顯著性，然後逐步將最不顯著之變數一一剔除，本研究將篩選變數之準則訂為：將顯著水準小於等於0.1之解釋變數納入模型，反之則剔除。借款公司在授信申請之前是否存在盈餘操縱行為，首先由全體授信案件進行盈餘操縱行為分析，發現放款客戶在申請授信案件時有利用營業內、外裁決性項目從事盈餘操縱行為；進一步分析正常公司與問題放款公司在授信申請前之盈餘操縱行為，發現即使是經營體質正常放款客戶，在申請授信案件時，為取得授信銀行較佳之申貸條件，也會利用營業內裁決性項目作為工具從事盈餘操縱；更進一步以放款客戶所屬產業為構面，分析放款客戶在授信申請前之盈餘操縱行為，發現不論是傳統製造產業或是電子資訊產業，為順利取得銀行融資或優惠之融資條件，會使用營業內裁決性項目為工具從事盈餘操縱；最後以放款客戶規模大小為構面，分析放款客戶在授信申請前之盈餘操縱行為，發現不論企業之規模大小，為取得授信銀行融資或較佳之申貸條件，均會利用營業內裁決性項目作為工具從事盈餘操縱。比較正常公司與問題放款公司間之營業內、外裁決性項目是否存在顯著差異，首先以盈餘操縱工具為分析構面，發現問題放款公司在逾期放款前顯著異於正常公司，有利用營業外裁決性工具作為盈餘操縱之動機；進一步以放款客戶所屬產業為分析構面，發現傳統製造產業之問題放款公司，在逾期放款前顯著異於正常公司，有利用營業內裁決性工具作為盈餘操縱之動機；不論是傳統製造產業、電子資訊產業或建築工程產業之問題放款公司，在逾期放款前顯著異於正常公司，有利用營業外裁決性工具作為盈餘操縱之動機；最後以放款客戶規模為分析構面，發現中小企業之問題放款公司，在逾期放款前顯著異於正常公司，有利用營業內裁決性工具作為盈餘操縱之動機；不論是大小規模之問題放款公司，在逾期放款前顯著異於正常公司，有利用營業外裁決性工具作為盈餘操縱之動機。整體而言，足以影響正常公司與問題放款公司盈餘操縱行為之借款公司監督治理機制變數有「會計資訊品質指數」、「經營者保證效力指數」及「資訊落差指數」；足以影響正常公司與問題放款公司盈餘操縱行為之借款公司財務資訊變數有「集團企業借款佔本行淨值之比例」、「連續虧損指數」、「整體金融機構借款總額度佔總負債之比例」及「整體金融機構借款總餘額佔營收之比例」；足以影響正常公司與問題放款公司盈餘操縱行為之借款公司客戶信用政策變數有「應收帳款週轉次數」及「存貨週轉次數」；足以影響正常公司與問題放款公司盈餘操縱行為之借款公司信用能力變數有「信用紀錄指數」、「是否有擔保品」及「授信企業之信用評等分數」。 In this study, a random sample consisting of 491 corporate loan customers for the period between June 1984 and March 2004 was selected. The Bank has approximately 12,000 corporate loan customers in total. The information collected included valid samples of the credit application forms, reports of credit evaluations on the loan applicants, the corporate customers’ credit limit balance obtained from the Joint Financial Information Center, the corporate customers’ audited Balance Sheets, Statements of Income and Statements of Cash Flows, reports of investigation on new overdue loans and records of credit collections. The t-test and Singed Rank test were used to examine whether the loan applicants have engaged in any act of earnings manipulation under different analytical perspectives. The t-test examined that between normal corporate borrowers and problem corporate borrowers, whether the average value of discretionary operating and non-operating events pertaining to bank credit risk management decisions differed significantly. In addition, the Wilcoxon Rank test was used to examine whether the medium of the two variables differed significantly. The t-test and Wilcoxon Rank Sum (also called the Chi-Square test) were used to analyze that between normal corporate borrowers and problem corporate borrowers, whether the various variables display significant variances. A modified Jones Model was used to evaluate the tools used for earnings manipulation. The regression models- Logit Model and OLS Model- were used for empirical validation. Variables were selected using the “Backward Stepwise Method” in statistical study with the aim of establishing a concise model that carries significant explanatory power. The first step of the “Backward Stepwise Method” involves feeding of all variables into the model, of which their individual significance is then examined. Variables are excluded from the model according to their order of significance, that is, the least significant variable is excluded first. This study sets the variable selection criteria as follows: any variable with a significance level less than or equal to 0.1 is incorporated into the model and those that are over the limit are excluded. We conducted an overall earnings manipulation analysis on the entire sample of credit applications to establish whether any corporate borrower has engaged in earnings manipulation prior to its credit application. We found that some corporate customers utilized discretionary operating and non-operating events to manipulate their earnings when applying for loan. Further analysis on the act of earnings manipulation of normal corporate borrowers and problem corporate borrowers revealed that corporate customers with normal operating practices would often attempt to manipulate earnings by using discretionary operating accounts as a tool to obtain more favorable credit terms. We took one step further and analyzed corporate borrowers’ earnings manipulation behavior prior to lodging their credit application from the perspective of the industry to which they belong. We found that for corporate customers either from the traditional manufacturing industry or the electronics & information technology industry, in order to successfully obtain the bank loan or favorable financing terms, they would manipulate their earnings by using discretionary operating accounts. At last, we analyzed corporate borrowers’ earnings manipulation behavior based on the scale of operation and found that large or small companies would attempt to manipulate their earnings to obtain the bank loan or more favorable financing terms. To compare whether the discretionary operating and non-operating items of a normal corporate borrower and a problem corporate borrower differ significantly, we first took the tools for earnings manipulation as the perspectives for the analysis. It was found that problem corporate borrowers act significantly differently from normal corporate borrowers prior to allowing the loans becoming overdue in that problem corporate borrowers have the motive of using discretionary non-operating accounts as the tools for earnings manipulation. Further, by comparing the industry to which the corporate borrowers belong, we found that problem corporate borrowers in the traditional manufacturing industry act significantly differently from normal corporate borrowers prior to allowing the loans becoming overdue in that they tend to use discretionary operating accounts as the tools for earnings manipulation. Problem corporate borrowers in the traditional manufacturing industry, electronics & IT industry or construction industry were found to act significantly differently from normal corporate borrowers prior to allowing the loans becoming overdue in that they tend to utilize discretionary non-operating tools to manipulate their earnings. On examining the issue from the scale-of-operation perspective, medium and small problem corporate borrowers act significantly differently from normal corporate borrowers prior to allowing the loans becoming overdue in that they tend to utilize discretionary operating tools to manipulate their earnings. Irrespective of the scale of operation, problem corporate borrowers act significantly differently from normal corporate borrowers in that they have the motive of using discretionary non-operating accounts to manipulate their earnings prior to allowing the loans becoming overdue. In general, corporate surveillance and governance variables of a corporate borrower that may significantly influence the earnings manipulation behavior of normal corporate borrowers and problem corporate borrowers include: “Accounting Information Quality Index”, “Management Guarantee Effectiveness Index” and “Information Gap Index”. Financial information variables of a corporate borrower that may significantly influence the earnings manipulation behavior of normal corporate borrowers and problem corporate borrowers include: “Group Corporate Loans As a Percentage of the Bank’s Net Worth”, “Accumulated Deficit Index”, “Total Credit Limit of Financial Institution Loans As a Percentage of Total Liabilities” and “Total Balance of Financial Institution Loans As a Percentage of Operating Revenue”. Credit policy related variables that may significantly influence the earnings manipulation behavior of normal corporate borrowers and problem corporate borrowers include: “Accounts Receivable Turnover” and “Inventory Turnover”. Credit-worthiness related variables that may significantly influence the earnings manipulation behavior of normal corporate borrowers and problem corporate borrowers include: “Credit History Index”, “Whether collateral has been provided” and “Credit Rating of the Borrower”.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

Files in This Item:

File	Size	Format

社群 sharing

Loading...