Do Managers Time Securitization Transactions to Obtain Accounting Benefits?
研究管理者是否通过将证券化交易安排在季度末来获得会计收益，发现41%的交易发生在季度第三个月，其中近一半集中在最后五天，且这些交易更可能帮助企业达到盈余阈值。
ABSTRACT: Relative to recording securitizations as collateralized borrowings, the “gain on sale” treatment has several accounting benefits such as reducing leverage, increasing earnings, and improving efficiency. We investigate whether managers engage in real transaction management to take advantages of these benefits. We predict that in order to maximize financial statement window-dressing, managers will engage in securitizations toward the end of the quarter. We find that 41 percent of the quarter's transactions occur in the third month of the quarter and almost half of these occur in the last five days of the quarter. In addition, we show that when firms report securitization gains sufficient to beat earnings thresholds, the securitization transactions are more likely to have occurred in the last five days of the quarter. We also document that the impact of securitizations on leverage is large and material for many firms. Our results suggest that window-dressing the financial statements appears to be a valuable side-benefit of engaging in securitization transactions.