حسابداری و ریسک اقدامات بازار سرمایه: شواهدی از بانک های آسیایی در 1998-2003

This study examines the relation between accounting and capital market risk measures for a sample of 46 listed Asian banks during the period 1998–2003. By applying a panel data analysis that includes a control for country-specific factors, the results show that the standard deviation of the return-on-assets and loan-loss-reserves-to-gross-loans are significantly related to total risk. Also gross-loans-to-total-assets and loan-loss-reserves-to-gross-loans are significantly related to non-systematic risk. These results indicate that in these Asian countries, firm-specific risk is more important than systematic risk and the results are robust even though significant differences exist across Asian countries in banking activities, capital adequacy requirements, and deposit insurance protection.

Banks are evaluated using both market risk measures and accounting information. The appropriate measure for assessment depends on its purpose and the conditions within which it is applied. For example, if a well-diversified investor is considering adding a bank stock to the portfolio, the bank’s beta will be used as the appropriate measure of risk. On the other hand, if a bank regulator is assessing the financial health of a bank, a CAMEL rating, made up of accounting variables, is preferred. However, these measures may be differentially impacted by the economic environment and their relative importance may change over time. Jahankhani and Lynge, 1980, Lee and Brewer, 1985, Brewer and Lee, 1986 and Mansur et al., 1993 find significant relations between accounting ratios and capital market measures of risk in US banks. Elyasiani and Mansur (2005) examine the same issue, but use Japanese banks. While most prior studies are country-specific, the Asian crisis and its associated contagion effects highlights the need for a set of accounting and market risk measures that are applicable across countries. Research on Asian banks is important because they are the predominant source of finance for businesses in the private sector1. Because alternative sources of funds are not available, when corporations encounter financial difficulties, the impact on the banks’ balance sheet may be greater than in countries with more developed financial markets. Hence, using accounting measures of risk may be problematic. Banks in this region experienced the banking crisis of 1997/1998, and bank restructuring programs continue in several of the Asian countries2. Indonesia, Malaysia, South Korea and Thailand were seriously impacted by the banking crisis, while Hong Kong, Pakistan, Philippines, Singapore, Sri Lanka and Taiwan were less affected. The banking structures, regulatory environments, capital adequacy requirements and market sophistication are not homogenous across these countries. Table 1 shows the regulations for engaging in non-traditional commercial banking activities such as trading in securities, and participation in insurance and real estate. Each country follows the Basel Accord, but Hong Kong, Singapore, Philippines and Sri Lanka require a higher minimum capital standard. Indonesia, Malaysia, Philippines, South Korea, Sri Lanka, Taiwan and Thailand have explicit deposit insurance but only Taiwan uses risk-based premiums3. Table 1. Banking structure and regulatory environment of the sample countries Items Hong Kong, China Indonesia Malaysia Pakistan Philippines Singapore South Korea Sri Lanka Taiwan Thailand A. Banking structure (2003) Commercial banksa 134 138 25 43 24 115 54 22 86 31 a. Locally incorporated 23 127 25 23 13 5 14 11 36 13 b. Non-locally incorporated 111 11 – 20 11 110 40 11 50 18 Total assets (USD million) 806,963 137,967 165,783 64,975 11,155 213,151 663,771 10,278 765,839 172,294 Total loans (USD million) 246,379 51,736 93,582 17,280 6294 100,802 360,317 5318 397,783 119,940 Total deposits (USD million) 453,938 106,595 113,949 32,045 6937 114,200 409,366 7241 448,807 136,273 Loans-to-asset ratio 30.53 37.50 56.45 26.59 56.43 47.29 54.28 51.74 51.94 69.61 Deposit-to-asset ratio 56.25 77.26 68.73 49.32 62.19 53.58 61.67 70.46 58.60 79.09 Loans-to-deposit ratio 54.28 48.53 82.13 53.92 90.73 88.27 88.02 73.44 88.63 88.01 B. Bank activities Securities U Pr P P U U P P P R Insurance P R R R P P R R Pr R Real estate U Pr R Pr P R Pr Pr Pr R Bank owning non-financial firms P R R R P Pr R R R R C. Capital requirement Minimum capital-asset ratio 10% 8% 8% 8% 10% 12% 8% 10% 8% 8.50% Consistent with the Basel Yes Yes Yes Yes Yes Yes Yes Yes Yes Yes Is CAR a function of credit risk? Yes No No No Yes Yes No No No No Is CAR a function of market risk? Yes No No No Yes Yes No No No No D. Depositor protection schemes Explicit deposit insurance No BGS BGS No Yes No Yes Yes Yes BGS Risk-based deposit insurance No No No No No Yes No Definitions of permitted activities (panel B): Unrestricted (U) = a full range of activities can be conducted by the bank. Permitted (P) = a full range of activities can be conducted, but all or some must be conducted in subsidiaries. Restricted (R) = less than a full range of activities can be conducted in the bank or subsidiaries. Prohibited (Pr) = the activity cannot be conducted in either the bank or subsidiaries. The definitions are based on Barth et al. (1997). Deposit Insurance (BGS) denotes Blanket Guarantee Scheme. a For Hong Kong, commercial banks refer to licensed banks; for Taiwan commercial banks refer to domestic banks, medium business banks and foreign banks. Table options In addition, in developing countries managerial control is highly concentrated. Claessens et al. (2000) examine the separation of ownership and control within financial and non-financial publicly traded East-Asian corporations. More than two-thirds of the firms are controlled by a single shareholder, and separation of management from ownership control is rare. Overall, these differences may affect bank risk management in the respective country, and in turn, may affect the link between accounting and capital market measures of risk. The present study pools 46 listed banks operating in ten Asian countries during the 1998–2003 period. Panel data methodology takes into account individual bank heterogeneity, and we find that several accounting and market risk measures are significantly related. In particular, after controlling for country-specific factors, the random-effects model is preferred. The standard deviation of the before-tax return-on-assets (SDROA) and the loan-loss-reserves-to-gross-loans ratio (LLRGL) are significantly related to total return risk. Moreover, the loan-loss-reserves-to-gross-loans ratio (LLRGL) and the gross-loans-to-total-assets ratio (GLTA) exhibit the expected significant relation with non-systematic risk. These selected accounting and capital market measures of risk can be useful in the analysis and supervision of different Asian banking systems.

The relations between accounting and capital market measures of risk are examined for a sample of 46 listed banks from 10 countries in Asia during the period 1998–2003. Using panel data analysis, the random-effects model indicates that the standard-deviation-of-the-pretax-return-on-assets (SDROA) and the loan-loss-reserves-to-gross-loans ratio (LLRGL) are significantly related with total return risk. Moreover, LLRGL and the gross-loans-to-total-assets ratio (GLTA) exhibit a significant relation with non-systematic risk. However, none of the coefficients are significant when systematic risk is used as the dependent variable. The results indicate that in these Asian countries firm-specific risk is more important than systematic risk. It appears that concentrated managerial control and specific country dummy variables subsume systematic risk. Also, because banks are the primary source of financing, other firms in the market index are impacted by the behavior of banks. Similar to previous studies, the accounting ratios explain a substantial portion of capital market risk. Surprisingly, the results are robust, even though significant differences exist across Asian countries in banking activities, capital adequacy requirements, and deposit insurance protection.