资本充足率、市值资产比例与银行风险

Capital Adequacy Ratio,the Ratio of Market Value to Assets and Bank Risk

基于风险和回报的基本关系,本文检验了以会计指标为主要计量尺度的资本充足率和以市场指标为计量手段的市值资产比例是否能够代表银行风险。研究发现,会计指标在没有被操控的情况下可以预测银行风险。虽然资本充足率也能够反映银行风险,但市值资产比例对银行股价回报的解释力更强,尤其在危机时期。本文建议,监管机构依然可以坚持选用资本充足率这样的会计指标监控银行风险,同时辅以市场指标,因为中国资本市场受到人为因素和政策因素干扰较多,股票价格不一定如实反映内涵价值,还应该坚持以会计指标为主。

Based on the fundamental relationship between risk and return,this paper examines whether or not capital adequacy ratio,measured by accounting indicators,and the ratio of market value to assets,measured by market indicators,can represent bank risk.The results show that accounting indicators can be used to predict bank risk on condition that accounting indicators are not manipulated.Although capital adequacy ratio can reflect the risks of bank,the ratio of market value to assets can better explain the returns of bank stock,especially during the period of financial crisis.The paper suggests that regulatory agencies can still use such accounting indicators as capital adequacy ratio to supervise and control the risks of bank and employ market indicators as supplements in the meanwhile.Because the Chinese capital market is interfered by human and policy factors and stock price does not certainly reflect the true value,it is necessary to use accounting indicators as main indicators.