盈餘平穩誘因下證券化金融資產與壞帳之使用

Evidence of Income Smoothing from Securitized Loans and Loan Loss Provisions: Real Transactions vs. Accruals

本研究主旨係探究證券化放款與壞帳之關係。隨著金融資產證券化（簡稱證券化）於銀行業的快速發展，美國財務會計準則第140號（FASB 2000）以控制權觀念與財務要素法（control-and-financial-components approach）規範證券化資產除列的會計處理，成為企業管理者從事盈餘平穩化的管道。然而，考量以證券化活動進行盈餘管理的負面經濟後果，銀行業的最大應計項目－壞帳，則為管理者採行的另一項策略性工具。本研究提供證券化活動與壞帳間可能存在互補關係的證據，其中，證券化的實質交易可為企業管理者於壞帳之外進行盈餘平穩的工具。同時，本研究亦針對公允價值會計之財務資訊品質提供初步驗證的發現：當公允價值成為金融資產與負債的衡量依據，企業管理者以證券化數量及資產除列利得進行盈餘管理的行為將對會計盈餘品質產生不利影響，此不利影響可能經由金融商品公允價值的估計而發生。

The purpose of this study is to investigate the relationship between the use of securitized loans and loan loss provisions. As the development of financial asset securitizations (securitizations) is increasing in banking industry, loan transfers under control-and-financial-components approach prescribed by Statement of Financial Accounting Standards (SFAS) No. 140 (FASB 2000) have become available for mangers to smooth income. However, banks have to face negative consequences from real transactions of securitizations. To achieve smoothing objective, loan loss provisions, as the largest accruals in banking industry, may have been used by managers strategically with securitizations. This study provides evidence on the complementary relationship between securitizations and loan loss provisions and contributes to the line of earnings management research in identifying a specific real transaction, securitizations, available for banks to manage earnings. In addition, findings of this study have implications for the quality of financial reporting under fair value accounting. The use of real transactions to meet earnings target through volume and gains of securitizations raises issues on the quality of accounting earnings as financial instruments are measured at fair value. Attention should be called to unreliable estimates arising from fair value measurements.