觀察S&P500公司之指定公平價值與資訊不對稱關係:以分析師預測分歧分析

Using S&P500 Companies to test the Usefulness of the Fair Value Option to Reduce information Asymmetry -Analysts' Forecast Dispersion

程于恬(Yi-Taen Cherng)

指導教授 ： 劉啟群

國立臺灣大學/管理學院/會計學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.00534

摘要

本論文針對美國財務會計準則研究委員會(FASB)於2007年2月發佈之財務會計準則第159號公報研究指定公平價值是否能降低資訊不對稱性。指定公平價值允許企業能自行指定合於規範之金融性資產或負債以公平價值評價，其變動列入損益表。因此，財務報表上相關的金融性資產和負債即能藉由彼此公平價值的變動相互抵消，使財務報表能產生經濟避險之效果。另外，第159號公報也詳細規範了揭露的要求，有助於降低資訊不對稱性。本論文採用S&P500公司為樣本，以分析師預測分歧做為資訊不對稱之代理變數來研究採用指定公平價值是否可降低資訊不對稱性。然而，根據實證結果，採用指定公平價值對於降低分析師預期的影響不甚明確，可能的解釋原因在於自2007年開始之次貸風暴及接連發生之金融危機，造成金融界的動盪，很多數據無法反應正常情況下的結果。

關鍵字

美國第159號公報 ； 指定公平價值 ； 資訊不對稱 ； 分析師預測 ； 分析師預測分歧 ； S&P500公司

並列摘要

Using S&P500 companies as a sample, this paper investigates the effectiveness of fair value option in reducing information asymmetry. In February 2007, FASB announced statement 159, ’’ The Fair Value Option for Financial Assets and Liabilities ‘’ (SFAS No.159). This statement provides companies the option to measure financial assets and liabilities by fair value (i.e. Fair Value Option). The FASB believes that the adoption of SFAS No.159 would benefit from mitigating volatility in reported earnings caused by accounting mismatch. Moreover, resulting from hedge accounting simplification and more disclosure requirements, lower forecast dispersion is expected. Therefore, the hypothesis of whether adopting fair value option is negatively related to information asymmetry is tested. Results of the study are inconsistent with the hypotheses. This empirical result could come to the explanation that the U.S. subprime mortgage crisis and the following financial crisis might affect the data period of FVO due to this special period. Hence, the empirical results of this study do not support the hypotheses that adopting the FVO leads to decreased information asymmetry.

並列關鍵字

SFAS No.159 ； fair value option ； information asymmetry ； analysts’ forecast dispersion ； S&P500 companies

參考文獻

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