衍生性金融商品之使用對盈餘屬性及盈餘資訊性之影響

The Impact of Financial Derivative Usage on Earnings Attributes and Earnings Informativeness

劉志諒(Chih-Liang Liu) ； 賴淑妙(Shu-Miao Lai)

《管理評論》 28卷2期 (2009/04) Pp. 77-100

https://doi.org/10.6656/MR.2009.28.2.CHI.77

摘要

本文以台灣上市公司爲研究對象，探討公司使用衍生性金融商品避險對於盈餘屬性及盈餘資訊性的影響。首先，本文探討不同面向的盈餘屬性（盈餘持續性、盈餘可預測性、盈餘平穩化程度以及應計項目品質）與避險比率之關聯性。當控制影響盈餘屬性的重要因素後，實證結果顯示避險比率愈高的公司，其盈餘屬性相對較好，隱含避險活動有助強化公司的盈餘品質特性。其次，本文以未來盈餘反應係數(FERC)捕捉不同避險程度之公司的盈餘資訊性。實證顯示避險比率愈高的公司FERC 顯著爲正，代表公司高度使用衍生性金融商品避險有助於提高盈餘資訊性，因此投資人以當期盈餘數字用來預測未來盈餘表現的能力較好。最後，不論控制自我選擇偏誤、使用其它盈餘屬性衡量變數或者在盈餘資訊性模型中控制了遺漏變數以及獲利性的影響等敏感性測試後，本文皆獲致與前述一致之實證結果。

關鍵字

衍生性金融商品 ； 避險 ； 盈餘屬性 ； 盈餘資訊性

並列摘要

This study investigates the impact of financial derivatives usage on earnings attributes and earnings informativeness. First, we examine the relation between the derivatives usage and several attributes of earnings: accrual quality, persistence, predictability, and smoothness. After controlling for innate determinants of the earnings attributes, empirical results indicate that firms hedged with derivatives can smooth earnings volatility, enhance earnings predictability and persistence, and improve accrual quality. This suggests that firms hedged with derivatives can improve earnings attributes. Second, we use future earnings response coefficient, denoted by FERC, to capture hedge firms' earnings informativeness. We find that firms with higher hedge ratio have high FERC, suggesting that derivatives usage for hedging can improve current earnings informative about future earnings. These findings are robust to controlling for self-selection bias in earnings attribute model, to using alternative proxies for the earnings attributes, and to controlling for potentially omitted correlated variables in earnings informativeness model.

並列關鍵字

Derivatives ； Hedge ； Earnings attributes ； Earnings informativeness

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