裁決性呆帳損失是加強還是削弱了銀行業的市場資訊效率？

Does Discretionary Loan Loss Provision Strengthen or Weaken Market Information Efficiency in The Banking Sector?

本文探討裁決性呆帳損失 (discretionary loan loss provision, DLLP) 是否以及如何影響銀行業的未來盈餘反應係數(future earnings response coefficient, FERC)。在銀行會計相關文獻中，對於裁決性呆帳損失是否有助於訊息傳遞或盈餘管理，存在長期的爭論與不同的研究結果。而迄今為止，該相關文獻尚未直接評估裁決性呆帳損失對於銀行業之股價預期未來盈餘績效的影響。本文實證結果顯示裁決性呆帳損失對於銀行目前股票報酬與未來盈餘之間關係的影響係與訊息傳遞效應一致而非盈餘管理效應。而進一步的分析顯示(1) 當銀行有更多動機向外部投資者傳達有利的未來願景時此影響更為強烈，以及(2) 此結果獨立於呆帳損失認列的及時性所造成之影響。本文之研究結果隱含備抵呆帳之認列從已發生損失模型轉換為預期損失模型可以加強銀行業的市場資訊效率。

We examine whether and how discretionary loan loss provision (DLLP) affects the future earnings response coefficient (FERC) of stock returns among banks. There are long standing debates and mixed findings in the bank accounting literature on whether the DLLP contributes to information signaling or earnings management. To date, however, this literature has not directly evaluated the impact of DLLP on the share price anticipation of banks’ future earnings performance. We provide evidence that DLLP influences the relationship between current stock returns and future earnings among banks in ways consistent with the signaling rather than the earnings management effect. Further analyses reveal this effect is (i) stronger among banks more incentivized to convey favorable future prospects to outside investors, and (ii) independent of the influence of timeliness in loan loss recognition. Our findings imply that the change from incurred to expected loss models could strengthen the market information efficiency among banks.