我國銀行業金融商品公平價值與風險資訊附註揭露之價值攸-關性研究

Value- Relevance of Bank's Fair Value and Risk Information Disclosures under SFAS No.27

曾郁芬(Yu-Fen Tseng)

指導教授 ： 戚務君 ； 蔡彥卿

中原大學/商學院/會計研究所/碩士(2001年)

https://doi.org/10.6840/cycu200100005

摘要

價值攸關是以準則制定動機而言特定會計數字與股票市場價值或價值改變的關係。本文以1998年與1999年為研究期間探討依據我國財務會計準則第27號公報金融商品之公平價值資訊是否具價值攸關性，即公平價值資訊能否解釋股票市場價值與帳面值之差異。以銀行業為研究對象之原因在於我國財務會計準則27號公報主要所規範為金融商品之揭露，而銀行業相對於其他產業揭露金融資產與金融負債之公平價值的機會較高。

在經過平減、排序及控制財務狀況與審計品質分別測試後，實證結果在27號公報所要求揭露的資訊中除了資產負債表外信用風險資訊外，我國27號公報金融商品公平價值之資訊在解釋股價時並未扮演重要的角色，進一步將樣本資料取其年度差分後排序之迴歸分析，結果發現在金融合併變數之金融負債其對於市場價值與帳面價值之差額具有解釋能力，即市場上會注意到金融負債之公平價值。

最後，除了我國27號公報所要求揭露資訊外，無形資產的代理變數即核心存款與違約風險的代理變數即逾放款等資訊對於股票市場價值具有增額解釋能力。

關鍵字

價值攸關 ； 金融商品 ； 違約風險 ； 無形資產 ； 審計品質 ； 財務狀況

並列摘要

The value-relevance is the empirical relation between stock market value (or changes in value) and particular accounting numbers for the purpose of assessing or providing a basis of assessing those numbers’ use or proposed use in an accounting standard. This study investigates the value-relevance of fair value disclosures under Statement of Financial Accounting Standards in Taiwan No.27 by examining whether differences between the market value and book values of common equity can be explained in a predictable way as a function of differences between fair value estimates disclosed under SFAS No. 27 and their related book values for both sample years, 1998 and 1999. The inquiry focuses on bank because SFAS No. 27 disclosures relate only to financial instruments and thus are more comprehensive for bank than for firms in other industries, in that the fair values of most major assets and obligations are disclosed.
After we testing the samples that are deflated, ranked and financial structure and audit-quality controlled respectively, the fair value of SFAS No. 27 variables are not found to have the significant explanatory power except the off-balance-sheet credit risk.
Our second set of tests examines whether the fair value of the financial instruments provide incremental information after controlling different year sample. The result that the fair value instruments liabilities variable are significant.
Finally, an important finding is that a proxy for default risk to nonperforming loans and a proxy for the intangible attributable to core deposit are significantly associated with bank share prices.

並列關鍵字

instruments ； value relevance ； financial structure audit-quality. ； intangible asset ； default risk

參考文獻

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