操控性应计利润造成的收益假象之谜——基于我国城市商业银行的实证研究  

Earnings Puzzle of Discretionary Accruals:Based on City Commercial Banks

作　　者：张馨月[1] 武力超[1,2] 陈玉春 乔鑫皓 ZHANG Xin-yue;WU Li-chao;CHEN Yu-chun(Department of International Economics and Business,Xiamen University,~jian Xiamen 361005,China;collaborative Innovation Center for Peaceful Development of Cross-Strait Relations,Xiamen University,Fujian Xiamen 361005,China;The Hong Kong University of Science and Technology,Hong Kong,China)

机构地区：[1]厦门大学经济学院国际经济与贸易系,福建厦门361005 [2]厦门大学两岸关系和平发展协同创新中心,福建厦门361005 [3]香港科技大学

出　　处：《数理统计与管理》2018年第4期682-699,共18页Journal of Applied Statistics and Management

基　　金：国家社科基金青年项目阶段性成果(15CJL052);教育部人文社会科学重点研究基地重大项目(16JJD790036);中央高校基本科研业务费专项资金项目(20720171001);国家留学基金(201706315059)资助

摘　　要：本文使用中国60家城市商业银行2003-2014年的面板数据,运用面板门限的回归方法,选取贷款资产比、一级资本比率和不良贷款资产比作为门限变量,对我国城市商业银行操控性应计利润与收益之间的关系进行了细致研究.回归结果表明：（1）贷款损失准备是我国商业银行进行利润操控的主要资金来源,以贷款损失准备进行利润操控行为较为常见.（2）城市商业银行操控性应计利润与收益之间存在显著的非线性关系.（3）当贷款资产比、一级资本比率和不良贷款资产比分别处于特定区间水平时,城市商业银行利润操控的程度可以得到有效控制.本文的研究结论为城市商业银行操控性应计利润与收益之间的非线性关系提供了有力支持,为研究银行业的盈余管理问题提供了新的思路,同时也为银行监管机构更好地对银行业实施监管提供了有益参考.This paper studies the relation between discretionary accruals of city commercial banks and earnings through the panel threshold regression based on data of 60 city commercial banks in China during 2003 2014. Then by using Loans to Total Assets（LTA）, Tier 1 ratio of the bank（LTier 1） and Non-Performing Loans and Leases to Total Assets（NPLLTA） as threshold variables, the empirical results confirm that Chinese city commercial banks smooth their earnings through loan loss provisions. At the same time, we find that discretionary accruals and earnings adopt a characteristically nonlinear form.The income smoothing through loan loss provisions might be mitigated significantly when threshold variables（Loans to Total Assets, Tier 1 ratio of the bank and Non-Performing Loans and Leases to Total Assets） fall on a specific interval separately. Our study provides empirical support to the existence of nonlinear relationship between discretionary accruals and earnings. Moreover, this study contributes to the further study of earnings management in the banking industry and possesses great significance in how to supervise bank sector for the bank regulatory authority.

关 键 词：商业银行 操控性应计利润 盈余管理 面板门限模型 

分 类 号：F832.3[经济管理—金融学] O212[理学—概率论与数理统计]