吳琮璠Chung-Fern, Wu臺灣大學:會計學研究所顏嘉亮Yen, Chia-LiangChia-LiangYen2010-05-052018-06-292010-05-052018-06-292009U0001-0906200914290100http://ntur.lib.ntu.edu.tw//handle/246246/179960本研究旨在探討銀行從事金融資產移轉之行為，包括出售不良債權及金融資產證券化，與法定資本管理及盈餘平滑之關聯性。由於銀行出售不良債權能更專注於本業效率，並紓解逾放壓力；金融資產證券化則可改善資產負債管理，並增加籌資管道，因此銀行進行金融資產移轉，可能肇因於法定資本管理、盈餘管理、風險管理與募集資金等動機。論文參考Karaoglu（2005）之研究方法與架構，以我國2003年至2007年之本國銀行為研究對象，實證結果顯示，金融資產移轉損益與本期認列移轉損益前之資本適足率呈現顯著負相關，調整移轉損益之資產報酬率變動亦與金融資產移轉損益呈現顯著負向變動，代表認列金融資產損益前之資本適足率越高之銀行，或調整金融資產移轉損益之資產報酬率變動越大之銀行，其金融資產移轉之交易越少。另外，金融資產移轉損益與負向變動之調整移轉損益後資產報酬率變動呈現顯著負相關，顯示銀行使用金融資產移轉以遞延損失。故研究結果支持，銀行有使用金融資產移轉以管理法定資本或平滑盈餘之行為。The purpose of this study is to explore the relationship between loan transfers, including loan sales and securitizations, regulatory capital management and earning smoothing in the banking industry. Banks can focus on their core competencies and release the pressures by selling non-performing loans to AMC. Securitizing their loans can banks improve the structures of their assets and liabilities, as well as increase the methods of funding. Therefore, banks may transfer loans in the motivation of regulatory capital management, earning management, risk management, and funding.eferring to the method mentioned in Karaoglu (2005), this study conducts a research in the banking industry of Taiwan from 2003 to 2007. The empirical research shows that the gains or losses from loan transfers are significantly negatively associated with the regulatory capital ratio before the effect of gains or losses. Also, the gains or losses from loan transfers are significantly negatively associated with the change of return on assets ratios. These conditions represent that the more the regulatory capital ratios or the change of return on assets (before the effect of gains or losses) ratios are, the less the loan transfers gains or losses are. In addition, the shortfalls from last year’s income are significantly negatively associated with gains or losses from loan transfers. Consequently, it is supported that banks use gains or losses from loan transfers to manage regulatory capital and to smooth earnings.謝辭…………………………………………………………………… i文摘要………………………………………………………………iii文摘要………………………………………………………………iv一章 緒論………………………………………………………… 1一節 研究背景與動機…………………………………………… 1二節 研究目的…………………………………………………… 4二章 文獻探討…………………………………………………… 6一節 金融資產移轉之概念……………………………………… 6二節 我國金融資產移轉之發展歷程……………………………16三節 金融資產移轉之相關文獻…………………………………22四節 金融資產移轉之裁量………………………………………25三章 研究方法……………………………………………………31一節 研究假說……………………………………………………31二節 衡量變數……………………………………………………34三節 樣本選擇……………………………………………………39四章 實證結果與分析……………………………………………50一節 敘述性統計…………………………………………………50二節 迴歸分析……………………………………………………54五章 結論、限制與建議…………………………………………66一節 研究結論……………………………………………………66二節 研究限制……………………………………………………68三節 研究建議……………………………………………………69考文獻………………………………………………………………70application/pdf776869 bytesapplication/pdfen-US金融資產移轉不良債權證券化法定資本管理盈餘平滑loan transfersNon-performing loansSecuritizationRegulatory Capital ManagementEarnings Smoothing.http://ntur.lib.ntu.edu.tw/bitstream/246246/179960/1/ntu-98-R96722024-1.pdf