Evidence on Manipulation of Discretionary Loan Loss Provisions in the Commercial Banking Industry

采用2002～2010年A股上市银行的半年度数据，实证分析了操纵性贷款减值准备在上半年和下半年存在的差异和决定操纵性半年度贷款减值准备的影响因素。研究发现：银行业上半年的操纵性贷款减值准备要大于下半年的操纵性贷款减值准备，而影响银行业半年度操纵性贷款减值准备的因素主要包括资本充足率的动机、对银行贷款质量（存贷比）信号传递和加权风险资产比率的动机。同时，实证研究还发现了在2007年新会计准则出台之后，银行的上半年和下半年的操纵性贷款减值准备差异减弱，说明2007年新会计准则对商业银行的半年度的盈余管理行为有约束。Using the semi-annual financial reports of 14 listed A-share commercial banks from 2002 to 2010，we examine the difference in discretionary loan loss provisions between the first-half and second-half of the year in the commercial banking industry and the determinants of semi-annual discretionary loan loss provisions．Empirical evidence indicates that discretionary loan loss provisions in the first-half of the year are larger than those in the second-half of the year．We also find that semi-annual discretionary loan loss provisions are positively correlated with capital reserve requirements，the signaling effect of loan’s quality based on deposit/loan liquidity risk，and risk-weighted assets ratios．Lastly，we find that the differences in semi-annual discretionary loan loss provisions are less pronounced after China’s accounting standards converge to the IFRS in 2007，suggesting that the IFRS reduces earnings management．作者单位：北京大学汇丰商学