商业银行风险承担影响因素的实证分析——以我国上市银行为例.pdfVIP

摘要 为了阐明金融危机产生和银行业不 定的微观原因，本文分析了 影响银行业风险承担的主要原因。在理论分析的基础上，利用年报和 半年报数据，对我国五家上市银行的风险承担行为的影响因素进行实 证分析。论文选取了资本充足率、特许权价值、资产规模、财务杠杆、 贷款集中度、盈利能力、大股东控制力、董事会规模、独立董事比例、 管理者薪酬和管理层持股等 11 个影响因素作为解释变量，并且利用 不良贷款率及资本市场总风险等作为风险承担的替代变量分别进行 回归分析，结果表明，特许权价值、资产规模、大股东的控制力及管 理层持股这四个因素对银行的总体风险承担影响显著，前两者与银行 风险承担正相关，而后两者与银行风险承担负相关。 关键词：商业银行；风险承担；特许权价值；治理结构；银行监管 I Abstract To explicate the causes of the financial crisis and the instability of the banking system, we analyze the factors affecting the risk taking in the banking industry. Under theoretical analysis, we use data from the annual and semiannual reports of the five listed banks in China, to examine the determinants of risk taking in commercial banks. We use the following 11 factors －the capital adequacy ratio, the franchise value, the bank size, the concentration ratio of loans, return on equity, the controlling power of large shareholders, the board s size, the ratio of the independent directors in the board, the salary of the advanced managers and the managerial ownership －as the explanatory variables, and we take the ratio of the non-performing loans and the risks in the capital market as the proxy variables of bank risks and the explained variables. We find that franchise value, bank size, the controlling power of the large shareholders and the managerial ownership are affecting the risk taking in banks significantly. The decline of franchise value or bank size increases the bank risks and the increase of the controlling power of the large shareholders or the managerial ownership declines the bank risks. Keywords: Commercial Banks; Risk Taking; Franchise Value; Corporate Governance ；Bank Regulation II 目录 中文摘要