基于EVA的我国上市商业银行绩效评价实证分析

发布时间：2018-03-30 02:19

  本文选题：商业银行　切入点：EVA绩效　出处：《云南财经大学》2017年硕士论文

【摘要】：在经历了全球经济形势巨变和我国金融市场不断发展之后,我国的商业银行面临着新一轮的转型和竞争。随着金融脱媒,互联网金融的发展和利率市场化的持续推进,我国商业银行原本依靠垄断地位和固定利差来获得利润的时代已经一去不复返。如何在新的银行发展时代确定商业银行的经营绩效,找到一个切实可行而又相对准确的评价经营绩效的指标就成为了一个迫切的问题。通过经营绩效指标去评价比较银行的经营状况,从而找出经营问题,提高绩效水平。本文尝试使用EVA绩效指标对我国上市商业银行进行实证研究分析和对比。本文通过简单梳理商业银行绩效评价体系相关理论,分析不同绩效判断方法的优劣,以及EVA价值增加值这种建立在价值基础上的绩效指标的优势所在。通过选择合适的基础财务数据调整得出我国上市商业银行适用的EVA模型,测算出我国16家上市商业银行的EVA及其相关指标,对取得的面板数据进行回归分析,判断出主要的EVA绩效驱动因素,并结合相关驱动因素提出提高我国商业银行绩效相应的对策。本文基于EVA的基本模型和银行业经营的特殊性,在考虑可行性和重要性等原则的基础上分别调整了公示中的三个变量:营业净利润、资本总额、资本成本率,得出适用于我国上市商业银行的绩效模型。通过2011年至2015年五年的我国目前全部16家上市商业银行披露的经审核的年度财务报告中搜集整理的财务数据为主要数据来源,同时结合中国人民银行等管理机构公布的权威数据,测算了我国上市商业银行2011年至2015年的EVA和REVA,并将EVA、REVA和传统绩效指标ROE进行比较。结果显示,国有商业银行绩效呈下降趋势,股份制商业银行保持稳定,城市商业银行绩效稳中有升;考虑资本成本后的股东回报率明显低于传统的指标;在剔除规模因素后,股份制商业银行和城市商业银行比五大国有银行具有更好的经营绩效,这也是股份制商业银行和城市商业银行具有较强竞争力的表现之一。其后,本文选取了8项商业银行有重要影响的指标,即资产总额、资本充足率、拨备覆盖率、营业费用率、存贷比、不良贷款比率、非利息收入占比、最大十家客户贷款比例,并选取了我国上市商业银行2011年至2015年的面板数据作为研究样本,通过面板数据平稳性分析、Hausman检验、面板数据回归,从而得出实证结果。结果显示只有资产总额、拨备覆盖率、存贷比和非利息收入占比对商业银行EVA经营绩效的影响是显著的。通过分析实证分析得出的结论,给出提高我国上市商业银行绩效的对策。
[Abstract]:After the great changes in the global economic situation and the continuous development of China's financial market, our commercial banks are facing a new round of transformation and competition. With the development of financial disintermediation, the development of Internet finance and the continued promotion of interest rate marketization, China's commercial banks are facing a new round of transformation and competition. The era when the commercial banks of our country originally relied on monopoly position and fixed interest margin to obtain profits has gone forever. How to determine the operating performance of commercial banks in the new era of bank development? It has become an urgent problem to find a feasible and relatively accurate index to evaluate the operating performance of the bank. This paper attempts to use EVA performance indicators to analyze and compare the performance of listed commercial banks in China. This paper analyzes the merits and demerits of different performance judgment methods by simply combing the relevant theories of performance evaluation system of commercial banks. And the advantage of EVA value added, which is established on the basis of value, through selecting appropriate basic financial data to adjust the suitable EVA model of China's listed commercial banks. The EVA and its related indexes of 16 listed commercial banks in China are calculated, and the main driving factors of EVA performance are judged by regression analysis of the obtained panel data. Combining with the relevant driving factors, this paper puts forward the corresponding countermeasures to improve the performance of commercial banks in China. Based on the basic model of EVA and the particularity of banking management, On the basis of considering the principles of feasibility and importance, the paper adjusts three variables in the public announcement: net operating profit, total capital, capital cost ratio, etc. Through the five years from 2011 to 2015, the financial data collected and collated in the audited annual financial reports disclosed by all 16 listed commercial banks in China are the main data sources. At the same time, combining with the authoritative data released by the people's Bank of China and other management organizations, this paper calculates the EVA and Reva of China's listed commercial banks from 2011 to 2015, and compares the EVAREVA with the traditional performance index (ROE). The performance of state-owned commercial banks shows a downward trend, the joint-stock commercial banks remain stable, and the performance of urban commercial banks is steadily rising; the return of shareholders after considering the cost of capital is obviously lower than that of the traditional indicators; after taking into account the factors of scale, the return of shareholders is obviously lower than that of the traditional indicators. The joint-stock commercial banks and the city commercial banks have better operating performance than the five state-owned banks, which is also one of the strong competitive performance of the joint-stock commercial banks and the city commercial banks. In this paper, we select 8 important indicators of commercial banks, that is, total assets, capital adequacy ratio, reserve coverage rate, operating expenses ratio, deposit to loan ratio, non-performing loan ratio, non-interest income ratio, and the largest ten customers' loan ratio. The panel data of China's listed commercial banks from 2011 to 2015 are selected as the research samples. Through the panel data smoothness analysis and panel data regression, the empirical results are obtained. The results show that only total assets and reserve coverage are available. The effect of deposit-loan ratio and non-interest income ratio on the EVA performance of commercial banks is significant. Through the analysis of the conclusions of empirical analysis, the countermeasures to improve the performance of listed commercial banks in China are put forward.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42

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本文编号：1683921