Asset Securitizations and Stock Price Crash Risk: Evidence from Nonfinancial Firms
研究非金融企业资产证券化与未来股价崩盘风险的关系，发现表外证券化通过利得销售会计处理促使经理隐瞒坏消息，从而增加崩盘风险，且会计准则改革未能有效降低该风险。
SYNOPSIS This study examines the relation between asset-backed securitizations and future stock price crash risk in nonfinancial firms. We argue that the gain-on-sale accounting treatment for off-balance-sheet securitizations facilitates managers’ withholding of bad earnings news, leading to higher crash risk. Using a propensity score-matched sample of U.S. nonfinancial firms, we find that firms engaging in off-balance-sheet securitizations are associated with higher crash risk, especially for firms with gain on sales from securitizations. In 2010, the Financial Accounting Standards Board implemented SFAS 166/167 to tighten the criteria for securitization transactions to receive off-balance-sheet treatment. However, our difference-in-differences analysis shows no significant effect of SFAS 166/167 on reducing securitizing firms’ crash risk. Further analyses reveal that firms engaging in off-balance-sheet securitization before SFAS 166/167 conduct more real activity-based earnings management after SFAS 166/167. This evidence suggests that firms could continue to hide bad news through alternative channels as substitutes. Data availability: Data are available from the sources described in the paper.