金融工具未實現損益之資訊內涵：併論外溢效果與投資人特性之影響

國際財務報導準則(IFRS)對金融工具採用公允價值評價，因此綜合損益表出現公允價值變動之為實現損益，本文探討此項未實現損益之資訊內涵，以及是否對具有財報其他資訊之具外溢效果，此外，也分析法人持股高低與前述兩議題之關係。本文根據2013-2017年金融工具未實現損益數佔本期淨利與其他綜合損益數均達1%以上之893個樣本進行研究，迴歸分析結果發現，綜合損益表之金融工具公允價值未實現損益佔比高低對其價值攸關性沒有影響。而在外溢效果方面，金融工具未實現損益佔比愈高均會降低不包含未實現損益之本期淨利及其他綜合損益之價值攸關性。本文亦發現專業與非專業投資人對本期淨利及其他綜合損益之未實現損益之攸關性判斷均呈顯著差異，專業投資人認為本期淨利之未實現損益較不具價值攸關性，其反而更重視其他綜合損益中的未實現損益數。另外，專業投資人較非專業投資人更重視本期淨利中非金融工具未實現損益之其他資訊。　　透過股票報酬率模型做額外分析，發現當其他綜合損益之未實現損益數佔比愈高時，其未實現損益之評價攸關性愈低。而本期淨利之金融工具未實現損益對其他淨利變動數具有外溢效果。在投資人特性方面，當法人持股比率愈高時，對本期淨利之未實現損益之評價攸關性愈低，但對不包含金融工具未實現損益之其他淨利及其他綜合損益變動數之評價攸關性愈高。　　此外，本文以股價評價模型對2017年與2018年之472筆樣本進行額外分析，比較準則公報之變動(IAS 39改為IFRS 9)對本研究之可能影響。實證結果發現IFRS 9對於本期淨利之相關假說均具顯著增額效果，而對其他綜合損益之相關假說，僅對法人持股比例高低對未實現損益之評價攸關性具顯著增額效果。經Wald test聯合檢測結果發現在IFRS 9之規範下，當本期淨利之未實現損益佔比愈高時，會降低未實現損益之價值攸關性，亦會對非金融工具未實現損益之本期淨利產生外溢效果，專業投資人亦較非專業投資人更重視金融工具未實現損益以外之本期淨利。而當其他綜合損益之未實現損益佔比愈高時，其之價值攸關性會愈低。法人持股比例愈高並未對未實現損益之評價攸關性有顯著差異。

關鍵字

價值攸關性；未實現損益；公允價值；外溢效果；投資人特性

並列摘要

IFRS uses fair value evaluation as the basis for financial instruments. Those unrealized gains and losses are shown in the statement of comprehensive income.This paper examines the value relevance of unrealized gain and loss on financial instruments (URGL) and examines whether the higher ratio of URGL affects the value relevance of information in statement of comprehensive income (i.e., spillover effect of URGL) in Taiwan from 2013 to 2017. Furthermore, we also examine whether the value relevance of URGL is different between proficient investors and non-proficient investors. According to 893 samples, the results indicate that URGL both in net income (NI) and other comprehensive income (OCI) do not have value relevance. Moreover, URGL in NI and in OCI have the spillover effect (i.e. the higher of the ratio of URGL in NI/OCI, the lower of the value relevance of URGL in NI/OCI). Regarding the investor characteristics, the results indicate that proficient investors place less importance on the information of URGL in NI than non-proficient investors. On the contrary, they place more important on the information of URGL in OCI and non-URGL in NI than non-proficient investors. On the other hand, using return model for analysis finds that URGL in OCI has value relevance. URGL in NI has spillover effect to changes in NI without URGL. Furthermore, the result showed that the higher of institutional investors’ holding rate, the lower of the value relevance of URGL in NI. However, when the institutional investors’ holding rate is higher, the value relevance of non-URGL in NI and the changes of URGL in OCI are also higher. Since IFRS 9 has been used in 2018, this paper also examines whether the different rules would affect the results above. According to 472 samples from 2017 to 2018, the results indicate that all hypotheses about NI have incremental effect, but only the value relevance of URGL in OCI under institutional investors’ holding rate has incremental effect. Using Wald test finds that under IFRS 9, the higher ratio of URGL in NI would lower the value relevance of URGL and non-URGL in NI. Proficient investors place more important on the information of non-URGL in NI than non-proficient investors. Besides, the value relevance of URGL in OCI would lower when the ratio of URGL in OCI is getting higher. However, proficient and non-proficient investors do not have difference in the value relevance of URGL in OCI.