我国上市商业银行盈余管理与市场约束——基于投资收益及风险管理的视角

EARNINGS MANAGEMENT OF LISTED COMMERCIAL BANKS AND MARKET CONSTRAINTS——Based on Investment Income and Risk Management

本文论述了银行盈余管理与市场约束的内涵、意义及相互关系。分析了银行进行盈余管理的方法和我国银行市场约束存在的途径。实证部分用固定效应和随机效应模型分析了基于贷款损失准备与投资收益为工具的盈余管理;用GMM动态面板分析了基于股票交易的对银行风险的市场约束。实证结果显示,股票市场交易的非系统性波动对银行的风险管理构成了市场约束。银行没有进行以提高资本充足率为目的的盈余管理,也没有通过投资收益进行平滑利润的盈余管理,但是用贷款损失准备进行了平滑利润的盈余管理。本文的结论表明,我国银行的市场化程度正得到逐步加强,并为银行监管的市场监督角度提出了相关建议。

This paper discussed the correlation between earnings management and market disciplines,and analyzed earnings management methods of commercial banks and market discipline approach.Based on loan loss provisions and investment income,this paper provided the analysis of earnings management by using a fixed effects model,and analyzed stock-based transactions of commercial banks,market discipline of risk by using GMM dynamic panel.The empirical results showed that non-systematic fluctuations in stock market formed market constraints for risk management.China＇s commercial banks neither increased their capital adequacy ratio for earnings management,nor smoothed their profits through earnings management.They only managed their surplus profits through a loan loss provision.This paper suggested developing market-oriented commercial banks and strengthening market supervision gradually.