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題名：Market Valuation of Bank's Loan Securitizations Disclosures
書刊名：交大管理學報
作者：陳維慈 引用關係
作者(外文)：Chen, Weitzu
出版日期：2011
卷期：31:1
頁次：頁59-92
主題關鍵詞：證券化放款；資產負債表外資產；出售會計；擔保借款；Securitized loans；Off-balance sheet assets；Sale accounting；Secured borrowings
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:2
  • 點閱點閱:23
由於美國財務會計準則公報第140號以控制權移轉作為證券化資產之出售會計的處理依據，本研究旨在探討資本市場對於證券化資產之評價是否與企業遵循會計準則之表達一致。自銀行申報主管機關之合併報表揭露資訊中，本文實證結果發現：(1)不論從事證券化活動之銀行是否持有具高風險之保留權益，投資人對於銀行以出售會計而除列於資產負債表之證券化放款以表上資產予以相似評價；(2)當銀行從事證券化活動而持有高信用風險之係留權益時，市場將視銀行保有之風險程度而於股價部分反應之；(3)放款特性隱含之不同信用風險的外部可驗證性亦將影響投資人將證券化放款視為表上資產之評價程度。本研究除發現表外活動之訊息有用性外，為提供投資人透明與攸關資訊，準則單位應在原則式準則的修訂方向中審慎思考適當之會計處理以反映交易之經濟實質。
This study aims at investigating how the capital market prices securitized loans, as they are accounted for as off-balance sheet assets under Statement of Financial Accounting Standards No. 140. From the regulatory reports of bank holding companies, this study provides evidence in three aspects: (1) investors perceive banks' securitized loans with similar value to other on-balance sheet assets, (2) riskiness of contractual interests residing with the securitizing banks partially affects market pricing on transferred loans, and (3) characteristics of loans implying differential levels of external verification of credit risk have a great impact on investors' perception of loan securitizations as secured borrowings. Findings of this study address the usefulness of off-balance sheet activities disclosures. Moreover, how to properly account for transactions, such as securitizations, to reflect their economic reality is important as standard setters adopt the principle-based concept in revising accounting standards for providing transparent and relevant information to investors.
期刊論文
1.Morgan, Donald P.(2002)。Rating Banks: Risk and Uncertainty in an Opaque Industry。The American Economic Review，92(4)，874-888。  new window
2.Calomiris, C. W.、Mason, J. R.(2004)。Credit Card Securitization and Regulatory Arbitrage。Journal of Financial Services Research，26(1)，5-27。  new window
3.陳維慈、劉啟群(20110700)。The Informativeness of Financial Asset Securitization Activities on Predicting Bank Risk。中華會計學刊，7(2)，125-155。new window  new window
4.Landsman, W. R.(1986)。An Empirical Investigation of Pension Fund Property Rights。The Accounting Review，61(4)，662-691。  new window
5.Venkatachalam, Mohan(1996)。Value-relevance of Banks' Derivatives Disclosures。Journal of Accounting and Economics，22(1-3)，327-355。  new window
6.Feltham, Gerald A.、Ohlson, James A.(1995)。Valuation and clean surplus accounting for operating and financial activities。Contemporary Accounting Research，11(2)，689-731。  new window
7.Dechow, Patricia M.、Shakespeare, Catherine(2009)。Do managers time securitization transactions to obtain accounting benefits?。The Accounting Review，84(1)，99-132。  new window
8.Ohlson, James A.(1995)。Earnings, Book Values, and Dividends in Equity Valuation。Contemporary Accounting Research，11(2)，661-687。  new window
9.White, Halbert L. Jr.(1980)。A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity。Econometrica: Journal of the Econometric Society，48(4)，817-838。  new window
10.Chen, W.、Liu, C. C.、Ryan, S. G.(2008)。Characteristics of Securitizations that Determine Issuers' Retention of the Risks of the Securitized Assets。The Accounting Review，83(5)，1181-1215。  new window
11.Greenbaum, S. I.、Thakor, A. V.(1987)。Bank Funding Models: Securitization versus Deposits。Journal of Banking and Finance，11(3)，379-401。  new window
12.Chen, W.、Liu, C.、Ryan, S.(2011)。Motivations for Bank Dedcision on Financial Asset Securitizations。Review of Securities and Futures Markets，23(1)，159-200。  new window
13.Jones, D.(2000)。Emerging Problems with the Basel Capital Accord: Regulatory Capital Arbitrage and Related Issues。Journal of Banking & Finance，24(1)，35-58。  new window
14.Landsman, W. R.、Peasnell, K. V.、Shakespeare, C.(2008)。Are Asset Securitizations Sales or Loans?。The Accounting Review，83(5)，1251-1272。  new window
15.Morgan, D.、Stiroh, K.(2001)。Market Discipline of Banks: The Asset Test。Journal of Financial Services Research，20(2)，195-208。  new window
16.Niu, F. F.、Richardson, G. D.(2006)。Are Securitizations in Substance Sales or Secured Borrowings。Capital Market Evidence，23(4)，1105-1133。  new window
17.Ryan, Stephen G.(2008)。Accounting in and for the Subprime Crisis。The Accounting Review，83(6)，1605-1638。  new window
18.Schiper, K.、Yohn, T.(2007)。Standard-Setting Issues and Academic Research Related to the Accounting for Financial Asset Transfers。Accounting Horizons，21(1)，59-80。  new window
研究報告
1.Fitch(2009)。Off-Balance Sheet Accounting Changes: SFAS 166 and SFAS 167。  new window
學位論文
1.Chuang, C.(2008)。Value Relevance of Issuers' Securitized Financial Assets。  new window
圖書
1.Financial Acoounting Standards Board(1996)。Accounting for Transfers and Servicing of Financial Assets and Extinguishments of Liabilities。Statement of Financial Accounting Standards no. 125。Norwalk, CT。  new window
2.Financial Acoounting Standards Board(2000)。Accounting for Transfers and Servicing of Financial Assets and Extinguishments of Liabilities。Statement of Financial Accounting Standards no. 140。Norwalk, CT。  new window
3.Financial Acoounting Standards Board(2003)。Consolidaion of Variable Interest Entities (revised December 2003)--An Interpretation of ARB no. 51。FASB Interpretation no. 46(R)。Norwalk, CT。  new window
4.Financial Acoounting Standards Board(2009)。Accounting for Transfers of Financial Assets--An Amendment of FASB Statement no. 140。Statement of Financial Accounting Standards no. 166。Norwalk, CT。  new window
5.Financial Acoounting Standards Board(2009)。Amendments to FASB Interpretation no. 46(R)。Statement of Financial Accounting Standards no. 167。Norwalk, CT。  new window
6.Financial Acoounting Standards Board(2003)。Accounting for Transfers of Financial Assets and Extinguishments of Liabilities。Statement of Financial Accounting Standards no. 33。Norwalk, CT。  new window
其他
1.Dionne, G.，Harchaoui, T. M.(2003)。Banks' Capital, Securitization and Credit Risk: An Empirical Evidence for Canada，HEC Montreal and Statistics Canada。  new window
2.Keys, B.，Mukherjee, T.，Seru, A.，Vig, V.(2008)。Did Securitization Lead to Lax Screening? Evidence from Subprime Loans 2001-2006。  new window
 
 
 
 
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