IFRS 9 對公司的債務成本與信用風險影響：以台灣為例

The effect of IFRS 9 on cost of debts and credit risks: Evidence from Taiwan

王藝靜(Yi-Jing Wang)

指導教授 ： 許文馨

共同指導教授 ： 劉心才(Hsin-Tsai Liu)

國立臺灣大學/管理學院/會計學研究所/碩士(2021年)

https://doi.org/10.6342/NTU202101808

摘要

本文使用2016年至2019年臺灣上市及上櫃公司的銀行貸款作為樣本，並以difference-in-difference研究模型，研究了採用International Financial Reporting Standard 9 Financial Instruments (IFRS 9)對銀行貸款成本的影響。IFRS 9最主要的改變是金融工具的分類與衡量以及對公允價值的要求。過去很多企業持有非上市上櫃公司作為股權投資。由於該等金融資產並無存在活絡市場或可觀察輸入值，故得以成本衡量。但在 IFRS 9 下，所有股權投資，包括以前在International accounting standard 39 Financial Instruments: Recognition and Measurement (IAS 39)下，非上市上櫃公司作為股權投資可使用成本法，都必須以公允價值衡量。上述股權投資因不存在活絡市場報價且無可靠的公允價值估計，使得使用不可觀察公允價值評價技術的金融資產占整體以公允價值衡量之金融資產比率提升。研究結果發現，在採用IFRS 9後，受IFRS 9影響較大之公司，債務資金成本降低，信用風險降低，信評機構給予公司較低(佳)的信用等級，顯示IFRS 9有助於提升資訊報導揭露的品質。額外的測試發現受IFRS 9影響較大的公司中，使用不可觀察公允價值評價技術的金融資產占整體以公允價值衡量之金融資產比率越高的公司，債務資金成本下降越多，顯示公允價值仍然比歷史成本更具攸關性以及及時性。

關鍵字

商業模式 ； 國際財務報導準則第9號 ； 債務成本 ； 銀行借款 ； 公允價值 ； 公允價值層級

並列摘要

Using the sample of listed companies in Taiwan over the years 2016 to 2019 and a difference-in-difference research design, this study investigates the effect of International Financial Reporting Standard 9 Financial Instruments (IFRS 9) adoption on the cost of debts. The main changes of IFRS 9 are classification and measurement for financial instruments and its requirement for fair value. Many firms held unlisted companies as equity investments and under International accounting standard 39 Financial Instruments: Recognition and Measurement (IAS 39), these financial assets were measured at cost since there were no active markets or observable inputs for fair value measurement. Under IFRS 9, all equity investments are required to be measured at fair value and thus, the proportion of financial assets measured via less reliable measurement of fair value to total financial assets increases. The results show that after adoption of IFRS 9, the cost of debts and credit risk decrease for firms that are more affected by IFRS 9 (i.e. more affected firms), and that rating agencies give better credit ratings to those firms, suggesting that IFRS 9 enhances the quality of financial reporting information. In the additional test, I examine whether the effect of IFRS 9 on decreasing the cost of debts are more pronounced for more affected firms with a higher proportion of financial assets measured via less reliable measurement of fair value to total financial assets measured at fair value. The results suggest that from the perspectives of creditors, fair value is more relevant and informative than historical cost.

並列關鍵字

Business model ； IFRS 9 ； Cost of debts ； Bank loans ； Fair value ； Fair value hierarchy

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