銀行風險-報酬關係的困惑一直是銀行研究領域長久存在的問題。本論文使用2005年到2011年兩岸三地的銀行資料，因傳統的OLS迴歸只能抓住中心行為，容易錯誤定義銀行風險與獲利績效間的關係，包含大小、顯著性及正負號，故本論文跳脫風險-報酬迴歸的傳統研究模型，採用一種新的方法-條件分量迴歸(quantile regression，以下簡稱QR)模型，以探討台灣、香港及中國銀行業風險-報酬關係的變動情形。

本論文以ROE做為銀行業報酬之代理變數，並以放款佔資產比率LO作為銀行業風險之代理變數，分別對兩岸三地銀行業風險與報酬關係進行OLS迴歸與分量迴歸。因為研究期間涵蓋金融海嘯時期(subprime crisis)，為區別金融海嘯可能造成的影響，及為區別銀行業在不同曝險程度可能的影響，故除對資料全期間進行分析外，並將資料區分為金融海嘯前、金融海嘯後、低LO、中LO及高LO等群組進行分析。

實證結果顯示台灣銀行業風險與報酬關係，以OLS迴歸分析結果，在全期間、金融海嘯前、低LO群組及中LO群組均呈現負向關係，此結果顯示一家銀行承受較大的風險，卻賺得較少的利潤。此外，我們的實證結果顯示在三個LO群組及金融海嘯前後，不同的銀行獲利分量，在風險-報酬關係上便會有所不同。此外，銀行獲利高低不同隱含所採取的經營策略不同，我們可進一步指出，忽略經營策略對獲利的衝擊而將採取不同經營策略銀行資料放在一起探討，是以往對銀行風險-報酬關係的實證研究呈現不一致結論的原因之一。

就中國及香港銀行業報酬及風險關係的實證結果而言，OLS迴歸結果顯著為正向關係，分量迴歸的結果，除香港銀行業的中LO群組之高分量部分及高LO群組的低分量部分外，其餘各分量風險及報酬大致均呈現正向關係，此結果支持風險與報酬呈正向關係的理論，並與台灣銀行業風險與報酬呈負向關係的實證結果不同。進一步以台灣及香港銀行業BDTI與LO的關係進行兩地銀行業的放款品質比較驗證，推斷台灣銀行業風險與報酬呈負向關係應係放款品質不佳所致。因此，台灣銀行業雖須提高放款以追求較高的ROE，但卻也普遍存在放款品質欠佳的問題，如不能提升放款品質，終將使台灣銀行業一昧追求擴大放款而承受較高的經營風險，卻不能提高ROE。

The enigma of risk-return relationships has long posed problems in the field of banking research. This study employed data related to cross-strait banking to investigate the risk-return relationship between 2005 and 2011.Traditional OLS optimization techniques capture only central behaviors, and misidentify the relationship between bank risk and profitability, including the amount, significance, and even sign; therefore, this study departs from conventional research in the modeling of parameters related to risk-return regression and proposes a novel, conditional quantile regression method (hereafter QR), to survey the dynamics of the relationship between risk and return among banks in Taiwan, Hong Kong, and China.
This study employed ROE as a proxy variable for bank returns, using loan/total assets (LO) as a proxy variable for bank risk. Risk-return relationships for banks were analyzed using OLS regression and QR. The study period covered the period of the subprime lending crisis; therefore, data was categorized into two groups: a pre-subprime crisis group and a post-subprime crisis group. Data was also classified into three groups according to LO level: low LO group, middle LO group and high LO group. This enabled the effects of the subprime crisis and the impact of risk exposure to be clearly differentiated.
Analysis of OLS regression demonstrated that risk and return among banks in Taiwan were negatively related over the entire study period, the pre-subprime crisis group, the low and the middle LO group. This means that increasing the risk assumed by banks would result in reduced profits for these banks. In addition, our empirical findings demonstrate that the risk-return relationship varied across the quantiles of bank profitability in the three LO ranges, both before and after the subprime crisis. Furthermore, variations in profitability were often the result of the business strategies employed. This indicates that grouping banks with different business strategies to facilitate analysis disregards the impact of business strategy on returns and may be one of the reasons for previous inconsistencies in empirical results.
While OLS regression results showed a positive risk-return relationship associated with banks in China and Hong Kong, QR results indicate a positive risk-return relationship in all quantile groups, with the exception of banks of Hong Kong in the upper-quantile of the middle LO group and in the lower-quantile of the high LO group. These results support the theory of a positive risk-return relationship; however, it deviates from the negative risk-return relationship observed in Taiwanese banks. In a comparison of loan quality between banks in Taiwan and those in Hong Kong, based on BDTI-LO relationships we discovered that the negative risk-return relationship in Taiwan could be attributed to poor loan quality. Thus, despite efforts of the banking industry in Taiwan to increase the loan ratio for higher ROE, the widespread issue of poor loan quality remains. If loan quality cannot be improved, the blind pursuit of loan expansion will leave the banking industry in Taiwan susceptible to higher operating risk without improving ROE.

Verification letter from the Oral Examination Committee i
Acknowledgements ii
List of Figures iv
List of Tables v
Chinese abstract vii
English abstract viii
Chapter 1: Introduction 1
1.1 Background 1
1.2 Objectives 4
1.3 Framework 5
Chapter 2: Literature review 6
2.1 Literature related to positive risk-return relationships 6
2.2 Literature related to negative risk-return relationships 7
2.3 Other literature related to risk-return relationships 8
Chapter 3:Research method 10
3.1 Quantile regression model 10
3.2 Data sources and sampling criteria 12
3.3 Model Construction and Variables Explanation 13
Chapter 4: Empirical Result Analysis and Discussion 14
4.1 Empirical analysis of risk-return of banking industry in Taiwan 14
4.2 Empirical analysis of risk-return of banking industry in China 22
4.3 Empirical analysis of risk-return of banking industry in Hong Kong 30
4.4Summary and comparison of risk-return relationship regression results of cross-strait banking industry 38
4.5 Verification of loan quality in the Taiwanese banking industry 42
Chapter 5: Conclusions and Suggestions 44
5.1 Conclusions 44
5.2 Suggestions 45
References 46
Appendix
Appendix A 48
Appendix B 49
Appendix C 51

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