有效预警上市公司违规的递延所得税异动指标和人工智能模型  

Fraud Detection Using Deferred Income Tax:A Machine Learning Perspective

作　　者：郦金梁[1] 吴谣 雷曜[2] 黄燕婷 LI Jinliang;WU Yao;LEI Yao;HUANG Yanting(School of Economics and Management,Tsinghua University;Research Institute,the People's Bank of China;PBC School of Finance,Tsinghua University)

机构地区：[1]清华大学经济管理学院,北京100084 [2]中国人民银行金融研究所,北京100080 [3]清华大学五道口金融学院,北京100084

出　　处：《金融研究》2020年第8期149-168,共20页Journal of Financial Research

基　　金：国家自然科学基金(71273150)资助。

摘　　要：2000-2017年,3434家A股上市公司样本中的47.79%至少有一次违规记录,每年平均有17%的公司违规,而监管机构平均需要2.7年查证并通告违规行为。我们用当年数据构建递延所得税异动指标,可有效预判违规,并发现监管机构未能识别这一指标的警示作用,实际激励了违规公司通过操纵递延所得税提高财务指标以规避稽查。进一步构建决策树模型,对违规事件实现样本外精准判别。本文揭示了A股公司大面积违规而稽查过程冗长迟缓这一重要现象,并分析了违规机制,指出了所得税数据在稽查违规中可以发挥的预警作用,为监管者和投资者提供有效预警上市公司违规行为的新指标和方法。Information disclosure significantly affects listed companies'market value and investors'decisions.After years of practice,regulators have recognized that the public listing system should focus on information disclosure,rather than evaluating issuance quality,which should be left for the market to assess.Furthermore,the deferred income tax data associated with corporate profit and management flexibility has become an arena for gaming between regulators and listed companies.This paper highlights the important role of deferred income tax in the early alerting of fraudulent activities.It reveals what motivates companies to abuse their deferred income tax data,both theoretically and empirically.A sample of A-share companies from 2000 to 2017 is analyzed,controlling for partial observability and endogeneity problems.The deferred income tax indicator is significantly positively correlated with the tendency of listed companies to commit fraud and significantly negatively correlated with the probability of fraud detection.This result implies that regulators focus on monitoring the financial indicators of A-share companies,but fail to recognize the relationship between deferred income tax data and corporate disclosure fraud.Such oversight may incentivize listed companies to manipulate deferred income tax data to boost their financial performance.According to Spence's signaling theory,listed companies transmit information about their corporate value to the market through signals,such as financial performance.Thus far,deferred income tax adjustment has served as a convenient tool for listed companies in managing earnings at low costs.It constitutes a“soft signal”,which bears a low threshold to mimic but conveys less reliable information on companies'fundamental value.Three factors motivate financial fraud:financial distress,avoidance of negative performance reporting and excessive valuation upon corporate growth.The first two reflect competitive pressures and the third reflects the rewarding effect of the capital market

关 键 词：违规预警 市场有效性 递延所得税 决策树模型 

分 类 号：F832.51[经济管理—金融学] F275[自动化与计算机技术—控制理论与控制工程] TP18[自动化与计算机技术—控制科学与工程]