上市商业银行表外项目的风险与价值相关性研究:基于信用承诺业务  

THE VALUE-RELEVANCE AND RISK OF OFF-BALANCE SHEET ITEMS IN CHINESE LISTED COMMERCIAL BANKS——Based on Credit Commitment

作　　者：曾雪云[1] 韩丽萍[1] 陆正飞[2] 

机构地区：[1]北京邮电大学经济管理学院,邮政编码100876 [2]北京大学光华管理学院

出　　处：《经济理论与经济管理》2017年第12期59-72,共14页Economic Theory and Business Management

基　　金：国家自然科学基金项目(71402008)的资助

摘　　要：本文建立了资产负债表模型和净收益模型对中国上市商业银行表外承诺项目的价值相关性进行检验。研究证实表外项目在总体层面和分项目层面均与银行业股票价格显著负向相关,进一步研究证实该负向关系在国有商业银行和非国有商业银行均显著存在。以上结果表明,信用承诺的风险内涵大于收益内涵,具有负债属性。该结论提示投资者将表外项目作为风险因子,建议企业改进表外项目信息披露透明度,在年报中增设表外项目风险自评报告,加强表外项目风险监管。本文对信用承诺价值相关性的研究为理解不同金融发展水平下的表外业务风险提供了经验证据。This paper analyzes the off-balance sheet items of Chinese listed commercial banks, estab- lishing the balance sheet model and the income model to test value-relevance. The results demonstrate that there is a significant negative correlation between the off-balance sheet items and the banks stock price both at the overall level and at the project level. Further research shows that the negative relationship exists in both state-owned banks and non-state-owned banks. The conclusions mean that the off-balance sheet items have liability attribute and expand the risk of banks. The conclusions also suggest that investors should consider off-balance sheet items as a risk factor at the time of pricing. In the supervision of risk of off-balance sheet items, this paper proposes to improve the transparency of information disclosure and add the risk assessment report of off-balance sheet items in the annual report. This paper provides the initial empirical evidence for understanding the risk of credit commitment.

关 键 词：表外项目 信用承诺 商业银行 价值相关性 

分 类 号：F832.33[经济管理—金融学]