銀行放款品質不僅為金融監理機關所關切，亦為銀行財務報表分析之焦點，財務會計準則公報第三十四號 (SFAS No.34)「金融商品之會計處理準則」於2008年12月4日宣告第三次修訂，增訂原始產生之放款及應收款應納入公報規定範圍，希冀強化銀行授信資產品質，再者相對一般產業，透過高度保護管制之銀行業存有較高資訊不對稱程度。本文因此檢視銀行業的放款品質、經營績效與資訊不對稱程度之關聯性，並探討此次公報修訂，是否影響投資人的看法與股票報酬。利用2000第1季至2010年第4季的季別資料，實證放款品質對銀行經營績效與資訊不對稱程度之關聯，結果顯示：一、放款品質與銀行經營績效呈顯著的正向關聯性；二、銀行資訊不對稱程度越低，放款品質越好；三、放款品質良好且資訊不對稱相對較低之銀行，股票報酬受到公報修訂沖擊之影響較小。

Bank loan quality is not only concerned by the financial supervision authority, but also a focus of bank financial statements analysis. The third amendment to SFAS No.34 – Accounting for Financial Instruments that was announced on December 4, 2008 inducted initial loans and receivables into the regulatory scope hoped to strengthen credit and loan qualities of banks. Furthermore, there are high degrees of information asymmetry in the banking industry, which has been highly protected and regulated, rather than others. Thereby, this study tests the relationship between loan quality, performance, and level of information asymmetry in the banking industry; in addition we investigate whether or not the amendment affects investors’ opinion and stock returns. Using data spanning the first quarter of 2000 to the fourth quarter of 2010, we examine the influence of loan quality on bank performance and information asymmetry. The empirical results show that performance under the new amendment is positively related with both loan quality and information asymmetry in the banking industry. Second, the lower the degree of information asymmetry, better the loan quality. Finally, good loan quality and low degrees of information asymmetry in the banking industry, stock return is not affected seriously under the third amendment to SFAS No. 34.

第壹章	緒論	1
第一節	研究背景與研究動機	1
第二節	研究目的	4
第三節	研究流程與架構圖	5
第貳章	文獻探討	6
第一節	放款品質與銀行績效	6
第二節	銀行資訊不對稱與放款品質	9
第三節	三十四號公報第三次修訂對投資人之影響	13
第參章	研究設計	18
第一節	銀行經營績效與放款品質之模型	18
第二節	銀行放款品質與資訊不對稱之模型	22
第三節	檢視三十四號公報第三次修訂之模型	27
第四節	資料來源與樣本選取	31
第肆章	實證結果	33
第一節	敘述性統計量與相關係數矩陣	33
第二節	迴歸分析	36
第伍章	研究結論	53
第一節	研究結論與建議	53
第二節	管理意涵	54
第三節	研究限制	55
參考文獻	56
附錄	66
附錄一 銀行業資訊不對稱之衡量指標	66
附錄二 三十四號公報第三次修訂比較	71
附錄三 銀行沿革整理	74
表 目 錄
表 1 觀察值篩選過程 ............................................................................................... 31
表 2 銀行篩選表 ....................................................................................................... 32
表 3 敘述性統計量 (N=881) ................................................................................... 34
表 4 相關係數矩陣 (N=881) ................................................................................... 35
表 5 銀行經營績效分量平均值 (N=881) ............................................................... 36
表 6 銀行經營績效與放款品質迴歸分析 ............................................................... 38
表 7 銀行放款品質與資訊不對稱迴歸分析 ........................................................... 42
表 8 34 號公報第三次修訂事件之累積異常報酬敘述性統計 (N=24) ................ 44
表 9 34 號公報第三次修訂事件研究迴歸分析 (N=24) ........................................ 45
表 10 銀行放款品質及資訊不對稱分量平均值 (N=24) ....................................... 47
表 11 銀行放款品質與前一期資訊不對稱之迴歸分析 ......................................... 50
表 12 銀行放款品質與後一期資訊不對稱之迴歸分析 ......................................... 51
表 13 銀行產業專家變數－放款品質與資訊不對稱迴歸分析 ............................. 52
表 14 敘述性統計量 (N=943) ................................................................................. 68
表 15 相關係數矩陣 (N=943) ................................................................................. 69
表 16 資訊交易機率與解釋變數迴歸分析 (N=943) ............................................. 70
表 17 三十四號公報第三次修訂前後差異簡表 ..................................................... 72
表 18 銀行-金控（上市櫃及興櫃）之沿革整理表 ............................................... 74
表 19 銀行-非金控（上市櫃及興櫃）之沿革整理表 ........................................... 77
圖 目 錄
圖 1 研究架構圖 ......................................................................................................... 5
圖 2 CAR 分佈圖 ...................................................................................................... 44
圖 3 銀行放款品質及資訊不對稱分量之架構圖 ................................................... 47
圖 4 PIN 與PPIN 分佈圖 ........................................................................................ 71
圖 5 三十四號公報第三次修正-財團法人會計研究發展基金會參考方案 ......... 73

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