1990年代美國銀行業壞帳沖銷動機及市場解讀
Other Title
Income Smoothing over the Business Cycle:
Changes in Banks’ Coordinated Management of Provisions for Loan Losses
and Loan Charge-offs from the Pre-1990 Bust to the 1990s Boom
Changes in Banks’ Coordinated Management of Provisions for Loan Losses
and Loan Charge-offs from the Pre-1990 Bust to the 1990s Boom
Date Issued
2003
Date
2003
Author(s)
DOI
912416H002028
Abstract
We provide evidence that banks smooth income by managing provisions for loan
losses and loan charge-offs in a coordinated fashion that varies across the bust and boom phases
of the business cycle and across homogeneous and heterogeneous loan types. In particular,
during the 1990s boom, we predict and find that banks accelerated provisioning for loan losses
and made this less obvious by accelerating loan charge-offs, especially for homogenous loans for
which charge-offs are determined using number-of-days-past-due rules. We also provide
evidence that the valuation implications of banks’ provisions for loan losses and loan charge-offs
vary across the phases of the business cycle and loan types reflecting the effect of these factors
on banks’ income smoothing. In particular, during the 1990s boom, we predict and find that
charge-offs of homogenous loans have a positive association with current returns and future cash
flows, because these charge-offs are recorded primarily by healthy banks with good future
prospects reducing over-stated allowances for loan losses. We also predict and find that these
charge-offs have a positive association with future returns that is explained by their positive
association with future net income and recoveries. Our results are consistent with the market
only partially appreciating healthy banks’ overstatement of charge-offs of homogeneous loans
based on number-of-days-past-due rules during the 1990s boom, because of the perceived non-discretionary
nature of these charge-offs.
Subjects
Income smoothing
business cycle
banks
provisions for loan losses
loan charge-offs
Publisher
臺北市：國立臺灣大學會計學系暨研究所
Type
report
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