衍生品复杂性影响商业银行盈余管理决策吗?
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摘要
本文以我国上市商业银行为样本,首次实证检验了衍生品使用及其经济复杂性、计量复杂性对盈余管理决策的影响。研究结果表明,衍生品的使用影响了操纵性贷款损失准备的大小,而且随着衍生品经济和计量复杂性的增强,商业银行会减少计提操纵性贷款损失准备。本文还发现了衍生品投资收益和其他综合收益是盈余管理的主要路径。本文创新了衍生品复杂性的衡量方法,拓展了衍生品使用经济后果的文献。该研究有助于投资者加强对衍生品业务的理解,同时为加强商业银行衍生品交易监管提供了政策支持。
Based on data from the listed commercial banks in China, this paper investigates the impact of derivatives and their economic and accounting complexity on earnings management choice. The results show that the fair value of derivatives affect the discretionary loan loss provision(DLLP), and when economic and accounting complexity of derivatives increase, managers will use the derivatives as an alternative method of loan loss provision(LLP) to manage earnings therefore reducing the use of DLLP. This paper also finds that investment gains and other comprehensive income are the main channels to manipulate earnings. This paper innovates the measurement of derivatives complexity, and enriches the literature of the economic consequences of derivatives. In practice, this study contributes to investors' understanding of derivatives used by commercial banks and lends support to policymakers to strengthen the supervision of derivatives.
Based on data from the listed commercial banks in China, this paper investigates the impact of derivatives and their economic and accounting complexity on earnings management choice. The results show that the fair value of derivatives affect the discretionary loan loss provision(DLLP), and when economic and accounting complexity of derivatives increase, managers will use the derivatives as an alternative method of loan loss provision(LLP) to manage earnings therefore reducing the use of DLLP. This paper also finds that investment gains and other comprehensive income are the main channels to manipulate earnings. This paper innovates the measurement of derivatives complexity, and enriches the literature of the economic consequences of derivatives. In practice, this study contributes to investors' understanding of derivatives used by commercial banks and lends support to policymakers to strengthen the supervision of derivatives.
引文
[1]艾林,曹国华.商业银行盈余管理与经营绩效[J].管理世界, 2013(11):174-175
[2]陈超,魏静宜,曹利.中国商业银行通过贷款损失准备计提进行盈余平滑吗?[J].金融研究, 2015(12):46-63
[3]邓永勤,康丽丽.中国金融业公允价值层次信息价值相关性的经验证据[J].会计研究, 2015(4):3-10
[4]方蕾,粟芳.全球银行业系统性风险的成因:内忧还是外患?——基于74个国家的比较分析[J].国际金融研究, 2017(8):65-74
[5]郭斌,张帆.新会计准则影响我国商业银行盈余管理的实证研究——基于金融工具的公允价值计量[J].西南金融, 2012(8):61-63
[6]郭飞,郭慧敏,张桂玲.利润波动性与衍生工具使用:基于国有上市公司的实证研究[J].会计研究, 2017(3):22-29
[7]郭伟,刘扬.后危机时代欧盟与法国金融监管的新变化及启示[J].国际金融研究, 2013(12):45-54
[8]胡欢欢,吕国柄.我国商业银行盈余管理行为研究——基于盈余分布模型[J].经营管理者, 2010(6):32-32
[9]斯文.衍生品使用与企业价值——来自我国制造业上市公司的经验证据[J].投资研究, 2013(7):126-138
[10]孙天琦,杨岚.有关银行贷款损失准备制度的调查报告——以我国五家上市银行为例的分析[J].金融研究,2005(6):116-130
[11]武恒光,张龙平.经济依赖度、盈余管理水平与审计独立性——来自上市商业银行的经验证据[J].财经理论与实践, 2012, 33(4):74-79
[12]谢露,王欣,张敏.区域竞争与商业银行的盈余质量——基于我国商业银行的经验证据[J].金融研究, 2016(7):134-149
[13]许友传,刘庆富,王智鑫.基于动态和前瞻性的贷款损失拨备适度性研究[J].金融研究, 2011(12):100-114
[14]于凤芹,邢天才.衍生品交易会提升企业价值吗?——基于场外与场内衍生品的比较研究[J].投资研究, 2017(5):92-102
[15]张敏,谢露,马黎珺.金融生态环境与商业银行的盈余质量——基于我国商业银行的经验证据[J].金融研究,2015(5):117-131
[16]左晓慧,袁千惠.我国上市商业银行盈余管理的实证研究[J].山西大学学报(哲学社会科学版), 2012, 35(1):126-130
[17] Barton J. Does the Use of Financial Derivatives Affect Earnings Management Decisions?[J]. Accounting Review,2001, 76(1):1-26
[18] Brown G W. Managing Foreign Exchange Risk with Derivatives[J]. Journal of Financial Economics, 2001, 60(2):401-448
[19] Bushman R, Chen Q, Engel E, Smith A J. Financial Accounting Information, Organizational Complexity and Corporate Governance Systems[J]. Journal of Accounting&Economics, 2004, 37(2):167-201
[20] Campbell J L, Cao S, Chang H S, et al. The Effects of Risk Management on Management Forecast Behavior[J]. Social Science Electronic Publishing, 2017
[21] Chang H S, Donohoe M, Sougiannis T. Do Analysts Understand the Economic and Reporting Complexities of Derivatives?[J]. Journal of Accounting&Economics, 2016, 61(2-3):584-604
[22] Choi J J, Mao C X, Upadhyay A. Earnings Management and Derivative Hedging with Fair Valuation:Evidence from the Effects of FAS 133[J]. Accounting Review, 2015, 90(4):1437-1467
[23] Deyoung R, Rice T. Noninterest Income and Financial Performance at U.S. Commercial Banks[J]. Financial Review,2004, 39(1):101-127
[24] Lobo G J. Accounting Research in Banking-A Review[J]. China Journal of Accounting Research, 2017, 10(1):1-7
[25] Kanagaretnam K, Lim C Y, Lobo G J. Auditor Reputation and Earnings Management:International Evidence from the Banking Industry[J]. Journal of Banking&Finance, 2010, 34(10):2318-2327
[26] Kanagaretnam K, Lobo G J, Mathieu R. Earnings Management to Reduce Earnings Variability:Evidence from Bank Loan Loss Provisions[J]. Review of Accounting&Finance, 2004, 3(1):128-148
[27] Kilic E, Lobo G J and Ranasinghe T. The Impact of SFAS 133 on Income Smoothing by Banks through Loan Loss Provisions[J].Accounting Review, 2013, 88(1):233-260
[28] Koonce L, Lipe M G, Mcanally M L. Judging the Risk of Financial Instruments:Problems and Potential Remedies[J]. Accounting Review, 2005, 80(3):871-895
[29] Manconi A, Massa M, Zhang L, et al. The Informational Role of Corporate Hedging[J]. Management Science,2017
[30] Peterson K. Accounting Complexity and Misreporting:Manipulation or Mistake?[D]. Dissertations&Theses-Gradworks,2008
[31] Petersen M A, Thiagarajan S R. Risk Measurement and Hedging:With and without Derivatives[J]. Financial Management, 2000, 29(4):5-29
[32] Pincus M, Rajgopal S. The Interaction between Accrual Management and Hedging:Evidence from Oil and Gas Firms[J]. Accounting Review, 2002, 77(1):127-160
[33] Roychowdhury S. Earnings Management through Real Activities Manipulation[J]. Journal of Accounting&Economics,2003, 42(3):335-370
[34] Stulz R M. Should We Fear Derivatives?[J]. Journal of Economic Perspectives, 2004, 18(3):173-192
(1)复杂的金融衍生品导致大量银行等金融机构倒闭,引发2008年金融危机和之后美国政府的救助行为。
(1)2008年,中信泰富、中国国航和东方航空等企业都是由于使用累计期权(Accumulator)而造成巨额亏损。
(2)与衍生品相关的会计准则主要包括:《企业会计准则第22号---金融工具确认和计量》《企业会计准则第37号---金融工具列报》《企业会计准则第39号---公允价值计量》《企业会计准则第24号---套期保值》。
(3)本文样本的年报中并未详细披露2004年分类标准下的使用目的,仅披露了2011年分类标准中会计意义下的套期与非套期。
(1)SFAS133是指《财务会计准则委员会133号---衍生工具和套期保值会计准则》,由美国财务会计准则委员会(FASB)于1998年6月发布。它确立了衍生工具的计量和报告标准,包括嵌入衍生工具和套期工具。SFAS133要求在资产负债表中确认所有的衍生工具。
(1)非上市银行基本不涉及衍生品业务,故没有纳入样本。
(1)由于篇幅限制,大部分的稳健性检验结果没有列示,感兴趣的读者可向通讯作者索取。
(2)与衍生品计量相关的关键报表项目主要包括:非套期衍生品、公允价值套期净损益、被套期项目、其他综合收益(现金流量套期的有效部分)、现金流量套期的无效部分。计入该指标的关键报表项目均有对应的金额信息,不包括会计政策中与衍生品相关的描述性内容。
(1)本文还将IV、FV、OCI的绝对值两两相加放入方程中回归,结果均与该表保持一致。
[2]陈超,魏静宜,曹利.中国商业银行通过贷款损失准备计提进行盈余平滑吗?[J].金融研究, 2015(12):46-63
[3]邓永勤,康丽丽.中国金融业公允价值层次信息价值相关性的经验证据[J].会计研究, 2015(4):3-10
[4]方蕾,粟芳.全球银行业系统性风险的成因:内忧还是外患?——基于74个国家的比较分析[J].国际金融研究, 2017(8):65-74
[5]郭斌,张帆.新会计准则影响我国商业银行盈余管理的实证研究——基于金融工具的公允价值计量[J].西南金融, 2012(8):61-63
[6]郭飞,郭慧敏,张桂玲.利润波动性与衍生工具使用:基于国有上市公司的实证研究[J].会计研究, 2017(3):22-29
[7]郭伟,刘扬.后危机时代欧盟与法国金融监管的新变化及启示[J].国际金融研究, 2013(12):45-54
[8]胡欢欢,吕国柄.我国商业银行盈余管理行为研究——基于盈余分布模型[J].经营管理者, 2010(6):32-32
[9]斯文.衍生品使用与企业价值——来自我国制造业上市公司的经验证据[J].投资研究, 2013(7):126-138
[10]孙天琦,杨岚.有关银行贷款损失准备制度的调查报告——以我国五家上市银行为例的分析[J].金融研究,2005(6):116-130
[11]武恒光,张龙平.经济依赖度、盈余管理水平与审计独立性——来自上市商业银行的经验证据[J].财经理论与实践, 2012, 33(4):74-79
[12]谢露,王欣,张敏.区域竞争与商业银行的盈余质量——基于我国商业银行的经验证据[J].金融研究, 2016(7):134-149
[13]许友传,刘庆富,王智鑫.基于动态和前瞻性的贷款损失拨备适度性研究[J].金融研究, 2011(12):100-114
[14]于凤芹,邢天才.衍生品交易会提升企业价值吗?——基于场外与场内衍生品的比较研究[J].投资研究, 2017(5):92-102
[15]张敏,谢露,马黎珺.金融生态环境与商业银行的盈余质量——基于我国商业银行的经验证据[J].金融研究,2015(5):117-131
[16]左晓慧,袁千惠.我国上市商业银行盈余管理的实证研究[J].山西大学学报(哲学社会科学版), 2012, 35(1):126-130
[17] Barton J. Does the Use of Financial Derivatives Affect Earnings Management Decisions?[J]. Accounting Review,2001, 76(1):1-26
[18] Brown G W. Managing Foreign Exchange Risk with Derivatives[J]. Journal of Financial Economics, 2001, 60(2):401-448
[19] Bushman R, Chen Q, Engel E, Smith A J. Financial Accounting Information, Organizational Complexity and Corporate Governance Systems[J]. Journal of Accounting&Economics, 2004, 37(2):167-201
[20] Campbell J L, Cao S, Chang H S, et al. The Effects of Risk Management on Management Forecast Behavior[J]. Social Science Electronic Publishing, 2017
[21] Chang H S, Donohoe M, Sougiannis T. Do Analysts Understand the Economic and Reporting Complexities of Derivatives?[J]. Journal of Accounting&Economics, 2016, 61(2-3):584-604
[22] Choi J J, Mao C X, Upadhyay A. Earnings Management and Derivative Hedging with Fair Valuation:Evidence from the Effects of FAS 133[J]. Accounting Review, 2015, 90(4):1437-1467
[23] Deyoung R, Rice T. Noninterest Income and Financial Performance at U.S. Commercial Banks[J]. Financial Review,2004, 39(1):101-127
[24] Lobo G J. Accounting Research in Banking-A Review[J]. China Journal of Accounting Research, 2017, 10(1):1-7
[25] Kanagaretnam K, Lim C Y, Lobo G J. Auditor Reputation and Earnings Management:International Evidence from the Banking Industry[J]. Journal of Banking&Finance, 2010, 34(10):2318-2327
[26] Kanagaretnam K, Lobo G J, Mathieu R. Earnings Management to Reduce Earnings Variability:Evidence from Bank Loan Loss Provisions[J]. Review of Accounting&Finance, 2004, 3(1):128-148
[27] Kilic E, Lobo G J and Ranasinghe T. The Impact of SFAS 133 on Income Smoothing by Banks through Loan Loss Provisions[J].Accounting Review, 2013, 88(1):233-260
[28] Koonce L, Lipe M G, Mcanally M L. Judging the Risk of Financial Instruments:Problems and Potential Remedies[J]. Accounting Review, 2005, 80(3):871-895
[29] Manconi A, Massa M, Zhang L, et al. The Informational Role of Corporate Hedging[J]. Management Science,2017
[30] Peterson K. Accounting Complexity and Misreporting:Manipulation or Mistake?[D]. Dissertations&Theses-Gradworks,2008
[31] Petersen M A, Thiagarajan S R. Risk Measurement and Hedging:With and without Derivatives[J]. Financial Management, 2000, 29(4):5-29
[32] Pincus M, Rajgopal S. The Interaction between Accrual Management and Hedging:Evidence from Oil and Gas Firms[J]. Accounting Review, 2002, 77(1):127-160
[33] Roychowdhury S. Earnings Management through Real Activities Manipulation[J]. Journal of Accounting&Economics,2003, 42(3):335-370
[34] Stulz R M. Should We Fear Derivatives?[J]. Journal of Economic Perspectives, 2004, 18(3):173-192
(1)复杂的金融衍生品导致大量银行等金融机构倒闭,引发2008年金融危机和之后美国政府的救助行为。
(1)2008年,中信泰富、中国国航和东方航空等企业都是由于使用累计期权(Accumulator)而造成巨额亏损。
(2)与衍生品相关的会计准则主要包括:《企业会计准则第22号---金融工具确认和计量》《企业会计准则第37号---金融工具列报》《企业会计准则第39号---公允价值计量》《企业会计准则第24号---套期保值》。
(3)本文样本的年报中并未详细披露2004年分类标准下的使用目的,仅披露了2011年分类标准中会计意义下的套期与非套期。
(1)SFAS133是指《财务会计准则委员会133号---衍生工具和套期保值会计准则》,由美国财务会计准则委员会(FASB)于1998年6月发布。它确立了衍生工具的计量和报告标准,包括嵌入衍生工具和套期工具。SFAS133要求在资产负债表中确认所有的衍生工具。
(1)非上市银行基本不涉及衍生品业务,故没有纳入样本。
(1)由于篇幅限制,大部分的稳健性检验结果没有列示,感兴趣的读者可向通讯作者索取。
(2)与衍生品计量相关的关键报表项目主要包括:非套期衍生品、公允价值套期净损益、被套期项目、其他综合收益(现金流量套期的有效部分)、现金流量套期的无效部分。计入该指标的关键报表项目均有对应的金额信息,不包括会计政策中与衍生品相关的描述性内容。
(1)本文还将IV、FV、OCI的绝对值两两相加放入方程中回归,结果均与该表保持一致。