強制性合併與股價崩盤風險：美國控股銀行的證據

Mandatory Consolidation and Stock Price Crash Risk: Evidence from the U.S. Bank Holding Companies

本文探討銀行資產證券化活動是否產生資訊不透明度，因而與未來股價暴跌風險相關；並且根據SFAS 166/167強制規定美國符合資格的特殊目的實體（以下簡稱QSPEs）必須要與主體公司合併，此強制要求財報合併與資訊披露是否影響銀行的不透明度和未來股價暴跌風險。本研究發現在美國的銀行控股公司中，參與證券化活動較為普遍的公司與未來股價暴跌風險較高有關，此發現支持複雜的表外證券化交易增加銀行不透明度並為銀行高管囤積壞消息提供更多空間的觀點。此外，本文主張在SFAS 166/167規定下對QSPEs進行的合併，因此揭露了先前表外隱藏的資產、負債、收入等，使證券化活動更加透明。本文總結，SFAS 166/167的監管變革，強化資訊披露和合併先前表外資產證券化活動，進而有效降低了股價暴跌風險。

We investigate whether bank securitization activities are associated with opacity and, thus, future stock price crash risk and whether the mandatory changes in consolidation and disclosure requirements for qualifying special purpose entities (QSPEs hereafter) in accordance with SFAS 166/167 in the U.S. are associated with banks’opacity and future stock price crash risk. Consistent with the notion that complex off-balance-sheet securitizing transactions increase bank opacity and provide more room for bank executives to hoard bad news, we find that U.S. bank holding companies with a higher prevalence of securitization engagement are associated with higher future stock price crash risks. Moreover, we argue that the consolidation of QSPEs required under SFAS 166/167 reveals previously hidden assets, liabilities, revenues, etc., making securitizing activities more transparent. We document that the regulatory changes of SFAS 166/167 in enhanced disclosure and the consolidation of previous off-balance-sheet activities effectively decrease stock price crash risk.