【毕业学位论文】(Word原稿)银行规模及学习效果对风险值的评估与预测能力之影响-会计学

1 国立台湾大学会计学研究所硕士论文 指导教授：刘启群博士 银行规模及学习效果 对风险值的评估与预测能力之影响 研究生：谭宏撰 中华民国九十一年十一月 2 AR y 谭宏 ) 刘启群 ) 002 3 .I： . . .: .I： .AR .V： AR . . . . . . . .V： .1: AR .2: of AR in .3: of AR in . . .4 2002) 以 8家世界知名的大银行作为样本，证明公开揭露的风险值 (于预测银行未来金融交易收入 (之波动，具有资讯内涵。本论文以更多的银行样本研究以下的课题： (1)季平均风险值 (是否与当季金融交易收入之波动相关； (2)季末风险值 (是否可有效地预测下一季的金融交易收入之波动。实证的结果显示季平均(季末 )风险值之揭露，对于评估 (预测 )当季 (下一季 )金融交易收入之波动，提供增额的资讯价值。除此之外， 因为风险值计算模型牵涉到多种风险衡量方法及假设，本论文主张规模较大的银行因拥有较丰富的资源，如专业人才及预算，在风险值模型的计算上较为准确，而且随着时间的演进，银行风险值模型的计算也应日趋精进。易言之，本论文假设银行规模及学习效果显著的影响风险值揭露之预测及评估能力，而实证的结果也符合原先的假设：近期的风险值揭露之预测及评估能力远优于早期的风险值揭露；较大规模银行的风险值揭露也比小规模银行更具预测及评估能力。 5 2002) AR to in a 1) AR of or AR 2) AR to of of AR we to of to AR In we of AR we of AR in AR of at in in 6 I： 993 in to to a of on a on 993 by by a by S 994, a by 994, by s, s, a of to on to to as 998). at a It is an it in of a to a of To we to a a a AR of 1 at 9 In of 1 on a to to in of a a 7 AR as a of it to as a .S to in o. 48, 1997). 1) of to by 2) in or in 3) at in or a of a of of of A a of AR is in of In is to AR is a s by 8 By to to 2002) AR to in a 1) AR of or AR 2) AR to of of AR we to of to AR In we of AR we of AR in AR of of is as I II to AR V in of A 9 2002) of AR As 2002), we AR to of In we of on AR 1997) o. 48 to a &o. 48 be to 2000) of o. 119, by to of to 1999) in a 2002) a of AR in of &L AR in is to to et (2002) 10-K o. 48, of a of to on of 10 in a 2002) is to AR of He AR in of It is to AR in to AR in AR in AR of a we AR of we AR to of AR by to AR AR by to AR AR by to of AR of AR by to of AR 11 of As a is of s in be on of of in in of s AR do in in in of We to or of to AR we AR We by of by As by be by of AR AR of We AR as a be by AR of AR on of of We AR of It is in et 1994) of 1 in an to b to 12 of AR in of AR of in of AR of AR of of of : or a if is AR be as W, R , r . 13 AR in 0*)( b s o l u t (1) we we AR is if is r , AR to 00*)( e l a t i v R (2) By is a to c . if c is to 5 if c 9 is we in of a , us of , in of of . *R (3) we 00)( b s o l u t R (4) 0)( la R (5) In of we tt (6) 2 P. (2002) AR in (3 P. (2002) AR in (4 AR is to it we , a In if we a be So we as AR is 14 of (7) of is