金融商品公平價值資訊報導方式改變對企業價值攸關性之影響—以銀行業為例

The Effects for The Change of Reporting Regimes for Fair Value Information of Financial Instruments to Firm’s Value-Revelance—A Case of Banking Industry

蔡雅琪(Ya-Chi Tsai)

指導教授 ： 薛敏正

國立臺北大學/商學院/會計學系/碩士(2009年)

摘要

由美國次貸風波引發的金融風暴對全球金融、經濟的衝擊，至今仍方興未艾。公平價值會計曾被指責為惡化金融危機，造成全球金融動亂之罪魁禍首，甚至傳出要求修改，乃至暫停使用公平價值會計的聲浪。面對現今特殊經濟情勢，國際間會計準則制訂者紛紛妥協，FASB與IASB皆針對現行公平價值會計修訂公報內容，我國財務會計準則委員會亦順勢跟進，促使本研究企圖探討金融商品公平價值資訊報導方式改變，對企業價值攸關性之影響。
本研究參考Ahmed et al.(2006)之研究，建立複迴歸模型，以民國93年到96年臺灣上市上櫃銀行與金融控股公司旗下之銀行為對象，檢視我國財務會計準則三十四號公報實施前後，金融商品（含衍生性金融商品）之公平價值表達方式對樣本銀行權益市值之解釋能力。
根據本研究之實證結果並未發現，三十四號公報強制金融商品公平價值認列入帳，較公報實施前以附註揭露方式表達具價值攸關性。但無論是三十四號公報實施以前或實施後，銀行業之衍生性金融商品及部份非衍生性金融商品之公平價值資訊對權益市值皆有顯著解釋能力，表示對投資人而言，金融商品公平價值具有價值攸關性，故公平價值法係金融商品較適當之會計處理。

關鍵字

金融商品 ； 衍生性金融商品 ； 公平價值 ； 附註揭露 ； 價值攸關性 ； 三十四號公報

並列摘要

Up to now, global finance and economy have still been attacked by financial crisis caused by the Subprime Mortage Storm in the US. Fair vale accounting is criticized as the main reason that worsened financial crisis and caused global financial chaos, and a trend is presented that fair vale accounting is required to be modified or to be suspended. Facing present special economic atmosphere, standard setters of accounting principles in the world compromised. FASB and IASB modified several important report contents on present fair value accounting. The Financial Accounting Standards Board in Taiwan also followed this trend, which prompted the study to discuss the change of financial instruments fair value information report mode and the impact on enterprise value relevance.
This study referred to the research of Ahmed et al. (2006), and established multiple regression models to test our conjectures. Listed banks from 2004 to 2007 and the banks owned by financial holding companies were used as our samples to examine the relation between the fair value expression mode of financial instruments (including financial derivatives) and equity market values before and after the implementation of SFAS No. 34 in Taiwan.
According to the results of the study, it was not suggested that SFAS No. 34 forced financial instruments fair value to be recognized, which has more value relevance than disclosed before the implementation of the statement. But no matter before or after SFAS No. 34, the fair value information of derivative financial instruments and parts of non-derivative financial instruments of banking still has significant explanation ability for equity market value, which shows that for investors, financial instruments fair value has value relevance, so fair value approach is a quite appropriate accounting treatment for financial instruments.

並列關鍵字

financial instruments ； derivative financial instruments ； fair value ； footnote disclosure ； value-revelance

參考文獻

財務會計準則委員會，財務會計準則公報第34號「金融商品之會計處理」，財團法人中華民國會計研究發展基金會，民國92年。

陳紫雲，2008，「全球公平價值會計大戰」，會計研究月刊，第276期，第58-63頁。

黃金澤，2009，「34號公報第三次修訂重點解析(一)」，會計研究月刊，第278期，第108-115頁。

黃金澤，2004，「談財會公報34號下之公平價值衡量(上)(下)」，會計研究月刊，第220-221期，第110-117頁，第78-82頁。

戚務君、曾郁芬與蔡彥卿，2002，「我國銀行業金融商品公平價值與特有揭露之價值攸關性研究」，證券市場發展季刊，第十四卷，第三期，79-112。