衍生性金融商品與公司獲利能力關係之研究

本研究主要探討公司在國際財務報導準則第9號公報(International Financial Report Standards 9, IFRS9)實施前後，對於公司月股價報酬率是否具有異常的現象。因此，本研究透過事件研究法，以月資料分析，估計期為宣告日前60個月至前5個月，事件期則為宣告日前後5個月，用以檢驗新的資訊是否對獲利短期產生影響，並以t檢定來驗證異常報酬率是否具統計之顯著性。為探討台灣為與國際接軌，在2016年12月30後採用IFRS 9公報後，金融資產公允價值的揭露，公司治理品質改善，是否對經營績效具有顯著性的影響。另外，亦進一步觀察公司金融商品交易持有部位對經營績效是否有顯著影響。本研究資料以2008年至2018年期間，台灣上市公司共789家之年資料，並針對探討的變數進行資料統計、事件研究法與迴歸模型進行檢測。實證結果顯示以事件研究法顯示出企業在IFRS9發布後對於金融商品操作，在宣告日前2個月，平均異常報酬雖呈上升趨勢，但平均累積異常報酬卻呈下降，而至宣告後第個月開始，則皆呈下降走勢。長期而言，依隨機效果模式觀察結果來看，股價報酬在實施IFRS9後及大股東持股的影響皆呈現負向顯著結果，然股東權益報酬卻呈正向結果，顯示公司在揭露財報後，滅少了金融商品的操作而財報的透明化也使得董監及股東能落實公司的實務治理。

關鍵字

衍生性金融商品；公司治理；公司獲利；事件研究法

並列摘要

This study foucses on whether the company’s monthly stock price return rate is abnormal before and after the implementation of the International Financial Reporting Standards (IFRS) IFRS 9 by the Financial Management Association. Therefore, this study uses the event research method. According to the monthly data analysis, the estimation period is from 60 months to the first 5 months before the announcement date, and the event period is 5 months before and after the announcement date to test whether the new information has an impact on the short-term profit, and the abnormality is verified by t-test. Whether the rate of return is statistically significant. In order to explore Taiwan's integration with the international market, after the adoption of the IFRS 9 bulletin after December 30, 2016, the disclosure of the fair value of financial assets, the improvement of corporate governance quality, has a significant impact on business performance. In addition, it is further observed whether the position of the company's financial commodity trading has a significant impact on business performance. The data of this study were from 789 years of data of Taiwan listed companies from 2008 to 2018, and the data was analyzed for the statistical variables, event research methods and regression models. The empirical results show that the event research method shows that after the release of IFRS9 for financial products, the average abnormal return is increasing in the two months before the announcement, but the average cumulative abnormal return is decreasing, and the month after the announcement. At the beginning, they all showed a downward trend. In the long run, according to the results of the random effects model, the impact of stock price compensation after the implementation of IFRS9 and the shareholding of major shareholders showed a negative and significant result, while the return on shareholders' equity showed a positive result, indicating that the company was extinguished after exposing the earnings report. The lack of financial products and the transparency of financial reports also enable the directors and shareholders to implement the company's practical governance.