臺灣股票上市櫃公司資產流動性折扣之研究

Investigate the Liquidity Discount on the Assets of Taiwan's Listed Firms

葉仕國(Shih-Kuo Yeh) ； 陳仁遶(Ren-Raw Chen) ； 葉宗穎(Chung-Ying Yeh)林丙輝(Bing-Huei Lin)

《證券市場發展季刊》 27卷1期 (2015/03) Pp. 1-32

https://doi.org/10.6529/RSFM.2015.27(1).1

摘要

2008年全球金融危機發生後，導致各國許多金融機構或企業因流動性不足而遭遇嚴重財務危機或面臨倒閉，公司資產也因為流動性問題出現大幅度的折價，因應金融危機的發生，新的Basel III金融監理架構特別強調金融機構流動性風險管理的重要性。新的國際財務報導準則（IFRS）也要求企業財報須增列金融資產公允價值衡量及流動性風險揭露，這些舉措皆顯示出流動性風險衡量的重要性，也顯示出主管當局對流動性風險的重視。由於客觀的流動性風險衡量並不容易，因此如何對企業資產進行合理的流動性風險衡量變成了一個重要研究課題。本研究援用Chen（2011）之流動性折扣模型，並以台灣金融業以外的上市櫃公司做為探討標的，研究結果發現，應用此一模型，不僅能具體衡量出上市櫃公司之資產在不同期間的流動性折扣，且能對這些上市櫃公司之流動性風險做出合理的檢驗和適當的預測。本研究並進一步探討影響上市櫃公司資產之流動性折扣的變數為何，進而掌握上市櫃公司的流動性風險之變化。

關鍵字

流動性風險 ； 國際財務報導準則 ； 全球金融危機 ； 流動性折扣

並列摘要

Many financial institutions or corporations around the world suffered severe financial crisis or on the verge of bankruptcy due to lack of liquidity since the global financial crisis happened in 2008. Their assets also experienced huge discounts because of liquidity problems. New Basel III regulatory framework highlights the importance of liquidity risk management implemented by financial institutions. In addition, updated International Financial Reporting Standards (IFRS) require the improvements about fair value measurements and reinforce existing principles for disclosures about the liquidity risk associated with financial instruments. Since liquidity risk cannot be measured objectively, it will become an important research topic about how to evaluate and disclose the assets with liquidity risk. This study employs the liquidity discount model developed by Chen (2011) to investigate the liquidity risks embedded on Taiwan's listed non-financial firms. The results show that we can substantially measure the liquidity discounts on the assets of those firms across different periods. Also, this model can provide a significant explanatory power of a firm’s liquidity healthiness as well as a predictive framework for a firm's liquidity risk. This study conducts a further investigation about what factors really affect the liquidity discounts on the assets of those listed firms, then we can capture the variations of liquidity risks on them.

並列關鍵字

Liquidity Risk ； International Financial Reporting Standard (IFRS) ； Global Financial Crisis ； Liquidity Discount

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