企业资产证券化与盈余管理的相关性研究

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浙江财经学院硕士学位论文

摘要

企业资产证券化是对企业现有存量资产的优化配置，在不增加企业负债或资

产的前提下实现融资。其特有的交易结构和技术实现了企业与投资者之间的破产

隔离，在更大的范围内满足融资和投资需求。企业资产证券化产品是衍生证券技

术和金融工程技术相结合的产物，其运作程序复杂、涉及面较广，并进行表外信

息披露。由于我国的资产证券化业务起步较晚，市场还不成熟，发行产品的数量

比较有限，同时资本市场蕴含着丰富的盈余管理动机，就容易涉及一些隐含的风

险。盈余管理，从某种程度上来说是一种“合法”的利润操纵行为，存在一定的

正面效应。因此，研究企业资产证券化过程中盈余管理的问题尤为重要，使其能

够发挥积极效应，在为企业带来效益的同时也保护投资者的利益，同时加快企业

资产证券化的进程，推动资本市场的发展。

本文首先在对资产证券化的概念进行界定后，阐述了资产证券化的特征及其

运作机理。再通过对企业资产证券化与盈余管理相关性的理论研究后，运用实证

方法进一步具体分析。借鉴前人的研究，将可操纵性流动应计利润从流动性应计

利润中分离出来，作为企业盈余管理的替代变量。利用 2008-2010 年间进行资产

证券化的上市公司的财务报告数据，运用对比的方式，实证检验上市公司在进行

资产证券化当年的盈余管理程度是否比前后一年都要高。本文选取了 44 家上市公

司当年、前一年、后一年的数据，通过回归结果显示，并没有发现上市公司在进

行资产证券化当年的盈余管理程度比前后一年要高。

通过实证结果得出了如下结论：1．在正确的使用资产证券化这一融资工具的

条件下，资产证券化提高了企业资产的流动性，降低了资产负债率，也为企业提

供了一种长期的资产流动性补偿机制，可改善企业资本结构，减少企业盈余操作

的可能性。2．资产证券化为企业开辟了有别于股票和债券发行等融资方式融资成

本较低的资本市场。它的证券化资产表外化，使得企业的既能够低成本获得资金，

又能够不分散企业自身的控制权，降低了企业盈余管理的空间。3．企业资产证券

化特有的风险隔离机制和信用增级技术，保证了企业融资与企业整体信用风险相

分离，降低了企业融资风险，保证了企业盈余质量。同时也指出了本文的研究不

浙江财经学院硕士学位论文

足与展望。

最后本文在上述实证研究的基础上，提出了几点建议：加强资产证券化相关

会计信息披露的立法；完善会计准则，约束盈余管理；依据资产证券化的法规体

系，规范我国信用评级制度；在实体企业中建立规范的标准的资产证券化模式。

关键词：资产证券化；盈余管理；可控性应计利润

浙江财经学院硕士学位论文

III

ABSTRACT

The securitization of asset in enterprises is the optimal allocation of asset to realize

financing without enlarging liability or asset. Its unique transaction structure and

technology leads to protect investors from bankruptcy on a larger scale to meet the

demand of financing and investing. The securitization of asset is the result of derivative

security technology and financial engineering technology with a complex procedure in

operation, a wide involvement and the extra requirement for off-balance-sheet

disclosure. On the other hand, the securitization of asset is rare in China, existing in a

growing market and without the support of a significant amount of products, which

results in the invisible risk. At the same time, the capital market contains rich

motivation of earnings management. To some degree, earnings management is a kind of

legal behavior, which has some positive effects. Therefore, it is particularly important to

analyze the problem of earnings management occurring in the securitization of asset,

which aims to avoid the earnings management in the process, bring the benefit for the

enterprise and protect the interests of investors, speeds up the process of asset

securitization and promotes the development of capital market.

After defining the concept of asset securitization, this paper expounds its

characteristics and operational mechanism and dose the theoretical research of asset

securitization and earnings management followed by a further analysis in the empirical

method. According to previous research, this article treats discretionary accruals as

proxy for earnings management and uses the financial reporting data of China’s listed

companies in the year 2008-2010 to make an empirical analysis about whether or not

firms issuing asset securities are engaged in more earnings management. The result

shows that companies are not engaged in more earnings management when issuing its

asset securities.

1. Given the correct use of asset securitization in financing, asset securitization

improves the liquidity of asset, reduces the asset-liability ratio and also provides a

long-term compensation mechanism for asset’s liquidity, which improves the capital

structure, reduces the possibility of earnings management. 2. Asset securitization

provides a different way for financing from stock and bond, such as financing at a lower

cost without a dispersal of control over the enterprise which makes it less likely to affect

浙江财经学院硕士学位论文

earnings.3.The asset securitization’s role as a shield to risk and an assistant to credit

helps to isolate the finance from credit risk, to reduce the risk in financing and to ensure

the quality of earnings.

Finally, based on the empirical research, we put forward some suggestions:

enhancing the legislation of the disclosure of asset securitization; perfecting accounting

standard to control earnings management; standardizing the rating system for credit

based on the laws and regulations; setting up a model of asset securitization for

enterprises.

Keywords: Asset securitization; Earnings management; Discretionary accruals

浙江财经学院硕士学位论文

第一章绪论 ................................................................................................................... 1

第一节研究背景及意义.......................................................................................... 1

第二节研究内容...................................................................................................... 2

第三节本文可能的创新点...................................................................................... 2

第二章文献综述及理论基础 ..................................................................................... 3

第一节国内外关于资产证券化的理论研究.......................................................... 3

第二节企业资产证券化基本理论.......................................................................... 9

第三节国内外关于盈余管理的理论研究............................................................ 13

第三章企业资产证券化与盈余管理相关性理论分析 ........................................... 19

第四章企业资产证券化与盈余管理相关性实证分析 ........................................... 22

第一节研究假设.................................................................................................... 22

第二节模型设计与相关变量的选取.................................................................... 22

第三节数据来源与样本选择................................................................................ 26

第四节实证结果.................................................................................................... 26

第五章研究结论、不足和政策建议 ....................................................................... 34

第一节研究结论与不足........................................................................................ 34

第二节政策建议.................................................................................................... 35

参考文献 ..................................................................................................................... 37

附录 ............................................................................................................................. 42

致谢 ............................................................................................................................. 43

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摘要：

浙江财经学院硕士学位论文I摘要企业资产证券化是对企业现有存量资产的优化配置，在不增加企业负债或资产的前提下实现融资。其特有的交易结构和技术实现了企业与投资者之间的破产隔离，在更大的范围内满足融资和投资需求。企业资产证券化产品是衍生证券技术和金融工程技术相结合的产物，其运作程序复杂、涉及面较广，并进行表外信息披露。由于我国的资产证券化业务起步较晚，市场还不成熟，发行产品的数量比较有限，同时资本市场蕴含着丰富的盈余管理动机，就容易涉及一些隐含的风险。盈余管理，从某种程度上来说是一种“合法”的利润操纵行为，存在一定的正面效应。因此，研究企业资产证券化过程中盈余管理的问题尤为重要，使其能够发挥积极效应...

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