- 學位論文
IFRS 9 與股價資訊內涵：以臺灣為例
IFRS 9 and Stock price informativeness: Evidence from Taiwan
摘要
本研究以2016年至2019年臺灣非金融業的上市及上櫃公司為樣本，用差異中之差異法(difference in difference, DID) 模型，探討國際財務報告準則第9號「金融商品」(International Financial Reporting Standard 9 Financial Instruments) 對公司股價資訊內涵之影響。在採用IFRS 9之前，金融工具之會計處理使用國際會計準則第39號「金融工具：認列與衡量」(IAS 39)，IFRS 9簡化了IAS 39金融商品的類別與分類之依據，使公司能提供更具可比性的財務資訊；此外，過去於IAS 39下，由於非上市上櫃股票投資沒有無活絡市場存在或無評估公允價值的可觀察輸入值，故公司多以歷史成本衡量非上市上櫃公司股票投資，IFRS 9要求用公允價值衡量公司所有的股票投資，然因缺乏可靠衡量的公允價值，此類投資分類為公允價值第三層級，使持有該股權投資之公司第三層級之金融資產占整體以公允價值衡量之金融資產比率提高；本文以股價同步性來衡量股價資訊內涵，研究發現，在採用IFRS 9後，受IFRS 9影響的公司，其股價資訊內涵顯著提升，顯示IFRS 9改善了企業提供之財務資訊品質，投資人較能從財務報告中獲取更多企業特定資訊，促使股價資訊內涵提升；受IFRS 9影響的程度愈大，其股價資訊內涵顯著提升的幅度愈大。此外研究亦發現，IFRS 9實施後，對持有較多未上市上櫃股票的公司，過去在IAS 39 之下，以歷史成本衡量之股權投資在IFRS 9 下改以公允價值衡量，即使是公允價值第三層級，其股價資訊內涵仍有顯著提升。
並列摘要
Using the sample of listed non-financial companies in Taiwan over years 2016-2019, and a difference-in-difference research design, this study investigates whether IFRS 9 adoption prompts firm-specific information incorporated into the market and thus enhances the stock price informativeness, as measured by stock price synchronicity. IFRS 9 replaces existing accounting standard for financial instruments IAS 39. IFRS 9 improves the classification categories and the classification criteria for financial instruments in order to provide more comparability information. In addition, IFRS 9 applies the fair value model to all equity investment, including investment in unlisted companies, which is used to be measured at cost under IAS 39 due to lack of reliably determined fair value. After IFRS 9 adoption, investments in unlisted companies are often classified as level 3 assets, resulting in the increase in the portion of level 3 assets to total financial assets measured at fair value. This study finds that after IFRS 9 adoption, stock price becomes more informative for IFRS 9 affected firms, suggesting that the increased transparency from IAS 9 adoption facilitates firm-specific information flows into the stock market and therefore reduces synchronicity, making stock price more informative. The extent to which IFRS 9 adoption affects a firm’s financial reporting is positively associated with its incremental increase in stock price informativeness. This study further finds that after IFRS 9 adoption, stock price is more informative for firms with increase in the portion of level 3 assets to total financial assets measured at fair value, suggesting that investment in the unlisted companies which is used to be measure at cost now measured even at the level 3 fair value under IFRS 9 still prompts more firm-specific information into the stock market and thus, improves stock price informativeness.