证券公司自营绩效评价与分类监管规则有效性的实证研究.docVIP

证券公司自营绩效评价与分类监管规则有效性的实证研究 张怡 （中国人民大学会计系，北京 100872） 摘要：本文使用DEA模型对中国39家证券公司2003-2006年自营业务绩效和证券行业分类监管规则有效性进行了实证研究。结果显示，弱市中创新类券商的自营绩效不如规范类券商，原因在于市场投资机会缺乏和券商应变能力不足，同时创新类券商在过度筹资上存在失误。常规监管阶段证券公司分类监管规则的有效性比综合治理阶段大大提高。但仍需从弱化净资本指标，强化盈利性指标两方面进行改进。鉴于过度筹资是券商的普遍问题，监管者应根据市场状况调整监管措施，弱市中限制各类券商的负债规模。 关键词：证券公司；自营绩效；分类监管；DEA模型 作者简介：张怡，女，高级会计师，中国人民大学商学院会计学博士生，研究方向：金融风险管理。 中图分类号: F830.591 文献标识码：A An Empirical Study of Securities companies self-investment performance Evaluation and the effectiveness of classification regulatory rules zhangyi ( School of business，Renmin university of china, Beijing 100872) Abstract：The paper used DEA model to research the self-investment business performance of China 39 securities companies and the validity of the securities industry classification supervision rules. The empirical results show that innovation companies performance poorer than the self-regulating category, the reasons maybe lacking of investment opportunities in the market and the inadequate of their resilience. At the same time the excessive financing of the innovation company is inappropriate. In conventional monitoring stage, the validity of the classification regulation rules of securities companies enhance over that of the comprehensive management stage. But the rules are still need to be improved in two aspects that weakening to the net capital indicators and strengthen to the profitability indicators. Given the excessive financing is a common problem of securities firms, the regulator should adjusted regulatory measures according to market conditions, to restrict the size of the liabilities of various brokerage firms in bear market. 引言 证券行业由综合治理阶段转入常规监管阶段，证券公司的分类方法也由综合治理阶段的规范类、创新类、其他类三类划分，转向常规监管阶段的“以证券公司风险管理能力为基础，结合公司市场影响力”的 5大类11个级别的划分。分类的目的是通过综合评定识别出风险管理能力、创新能力强的证券公司，根据综合实力赋予其开展直接股权投资、融资融券业务、期权期货业务、做市商制度下的交易业务、发行注册制下的承销配售业务等创新业务的权力。可见分类是证券行业市场准入的基础。那么，现行的分类方法、分类规则是否公平合理？稀缺的牌照资源是否赋予了真正有风险管理能力的证券公司？监管制度是否存在“妨碍竞争、保护垄断”的情况？ 证券公司各项业务中最能体现其风险管理能力的是自营业务，所以融入风险测度的自营业务投资绩效评价是识别其风险管理能力