تأثیر دارایی های مولد و غیر مولد بر شاخص های ریسک و عملکرد بانک های پذیرفته شده بورس اوراق بهادار تهران (مقاله علمی وزارت علوم)
درجه علمی: نشریه علمی (وزارت علوم)
آرشیو
چکیده
هدف : هدف از این پژوهش، بررسی تأثیر دارایی های مولد و غیر مولد بر شاخص های ریسک و عملکرد بانک های پذیرفته شده در بورس اوراق بهادار تهران است. روش : جامعۀ آماری این پژوهش، شامل 11 بانک پذیرفته شده در بورس اوراق بهادار تهران برای دورۀ 1390 تا 1399 است. برای آزمون فرضیه های پژوهش از داده ای نامتوازن و مدل رگرسیون چند متغیره، برای اندازه گیری دارایی مولد از مطالبات بانکی طبقۀ تسهیلات جاری و برای اندازه گیری دارایی های غیر مولد از مطالبات بانکی شامل: طبقۀ تسهیلات سررسید گذشته، معوق و مشکوک الوصول استفاده شده است. نتایج : اثرگذاری طبقۀ جاری بر ریسک خلاف انتظار و عملکرد بانک ها مطابق نظریه و انتظارات تأیید می شود؛ بنابراین در رابطه با طبقات سررسید گذشته و معوق اثرگذاری تأیید نشده است و اثرگذاری طبقۀ مشکوک الوصول بر عملکرد در جهت موردانتظار نیست.Impacts of Productive and Non-Productive Assets on Risk Indicators and Performance of Banks Listed on Tehran Stock Exchange
The purpose of this study was to investigate the effects of 4 classes of banking receivables, including the current class and the 3 classes of arrear, overdue, delinquent, and suspicious, separately on the risk and performance of the banks listed on Tehran Stock Exchange. The statistical population of this research included 11 banks listed on Tehran Stock Exchange for the period of 2011-2020. To test the research hypotheses, the unbalanced data and multivariate regression model were used. To measure the productive and non-productive assets, bank receivables of the category of current facility and its receivables of the past due and delinquent and doubtful facilities were utilized, respectively. The effect of the current class on risks was contrary to the expectations and its impacts on the performance of the banks were confirmed according to the theory and expectations. However, in the classes of expired and deferred costs, the effect was not corroborated and the impact of the class of doubtful incomes on performance was not in the expected direction. Introduction The earning model for banks is to provide facilities. Facilities Are the largest asset for banks. This asset is in the form of the two current and non-current classes. The current class is related to the income-generating assets at legal rates. Given that the facilities are granted or bank receivables are the assets that are given to others, there is a risk called credit risk for banks. The probability of non-repayment of facilities granted by the borrowers is called credit risk. To maximize the shareholders’ wealth and increase a company's quality of assets, the risks and returns created by bank facilities must be considered together. This means that if the current class of bank claims as a productive asset imposes a risk on the bank, the corresponding return will be made for the bank. The non-current category of bank receivables is divided into 3 classes: overdue receivables (from 3 to 6 moths delay in payment of installments), the arrears class (from 7 to 18 months delay in payment of installments), and the class of suspicious (more than 18 months delay in payment of installments). In general, in the banking literature, non-current receivables, including all the 3 categories of overdue, suspicious, and arrears. Due to the fact that the maturity of non-current facilities is expired and the borrower has not taken action to repay it, its credit risk is higher. Obviously, the credit risk created by the suspicious receivables is the highest and then, the classes of arrears and overdue follow, respectively. On the other hand, according to the regulations, the bank is forced to save on facilities at exponential rates (1.5, 10, 20, and 50% for the current class and the classes of overdue, arrears, and suspicious, respectively) at the same time as paying the facilities, which would cause unproductive assets and be thus costly. Examination of credit records and financial statements of banks shows that obtaining valid documents and legal leverage ultimately lead to the receipt of the bulk of bank arrears and the bank receives a significant non-shared income since the rate of fines equivalent to the bank interest plus 6% is deducted from it. Therefore, the purpose of this research was to investigate the effects of the 4 categories of bank receivables on bank risks and returns. Method and Data The statistical population of this study included 11 banks listed on Tehran Stock Exchange for the period of 2011-2020. To test the research hypotheses, the unbalanced panel and multivariate regression model were utilized. Findings The results indicated that the effects of the current class of bank receivables on the beta and non-systematic risk criteria were significantly negative, while its effect on the return on assets was positively corroborated. The impacts of this class on Sharpe ratio performance and stock returns were not confirmed. The effects of the class of overdue receivables were significantly positive for the beta and Sharpe ratios and not for the non-systematic risk, return on assets, and stock returns. Out of the 5 selected criteria, the effect of the class of arrears was only positively corroborated on the Sharpe ratio. Finally, the research findings showed that the category of suspicious class of receivables had positive effects on the non-systematic risks and stock returns, while its effects on the Sharpe ratio and beta, as well as the return on assets, were not confirmed. Conclusion and discussion According to the results of the previous research and the banking and economic experts’ opinions, bank arrears were expected to have negative and positive impacts on the return ratios and risk criteria, respectively. When the arrears were considered as separate classes next to the current class, different results from what were expected were obtained. The current class as a productive and income-generating asset had a positive effect on the return on assets and, contrary to expectations, had a negative effect on risk criteria. This revealed that the creation of current receivables and payment of facilities would ultimately have a positive impact on the bank performance. Failure to confirm the effect of the current class on stock returns was contrary to expectations and showed that 11 stocks were more affected by the external factors. Failure to corroborate the effects of the classes of past due and overdue receivables on the selected criteria or the presence of very low impacts could be the result of the small sizes (about 10% of the total bank claims) of these two classes. According to the expectations of the suspicious class and the related characteristics, it should have had a positive effect on the bank risks and a negative effect on the returns. The documentation of this study indicated that the effect of the class of suspicious on non-systematic risks was confirmed, but not on beta ratio. In terms of returns, its effect on the return on assets was not corroborated, while it directly affected the Sharpe ratio and stock returns. This could be the result of a delay penalty that would eventually increase the bank's revenue after receiving this category.
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