公允價值選擇權之採用對盈餘波動性之影響

Effects of the Adoption of Fair Value Option on the Earnings Volatilities

蔡佩儒(PEI-JU TSAI)

指導教授 ： 陳維慈

國立臺北大學/商學院/會計學系/碩士(2016年)

摘要

由於金融資產及金融負債存在不同的衡量方式，損益無法反映經濟實質，因此，美國財務會計準則委員會於2007年發佈財務會計準則公報(SFAS)第159號公報「金融資產及金融負債之公允價值選擇權」，並且，國際會計準則理事會於2003年發佈國際會計準則公報第39號「金融工具：認列與評估」，兩公報的目的之一係為減少公司因會計處理不一致導致之盈餘波動性過大，以致無法反應實際經濟情況。
本文探討SFAS No.159公報發佈後，美國銀行控股公司之盈餘波動性變動情形，研究期間為2001至2014年共14年，以可適用公允價值選擇權(FVO)前後各七年之資料，以排除公允價值選擇權(FVO)採用後所認列之損益的盈餘以得出盈餘波動性，進而測試SFAS No.159對此波動性之影響。
本文得到如下三項發現：(1)SFAS No.159實施後，銀行盈餘較SFAS No.159實施前具有較大的波動性，(2)採用公允價值選擇權(FVO)之銀行，採用後之盈餘波動性相較採用前為大，(3)提前採用公允價值選擇權(FVO)之銀行，採用後之盈餘波動性較正常採用者為小。前兩項發現，均與公報實施的目的之一，即降低盈餘波動性，有所衝突。
本文相關結果可為主管機關與準則制定單位參考，是否公司於採用公允價值會計時，存在管理的動機。相關單位於日後監督與制定準則時，對於公司應給予進一步關切。

關鍵字

公允價值選擇權 ； 國際會計準則公報第39號 ； 美國財務會計準則第159號公報 ； 盈餘波動性

並列摘要

Due to the fact that accounting mismatch would not reflect the economic reality resulting from different measurements on financial assets or liabilities, the US Financial Accounting Standards Board (FASB) published the Statement of Financial Accounting Standards (SFAS) No. 159, Fair Value Option for Financial Assets and Financial Liabilities, in 2007. In addition, International Accounting Standards Board (IASB) published International Accounting Standards (IAS) No. 39, Financial Instruments: Recognition and Evaluation, in 2003. One of the purposes of above two Standards is to reduce the volatilities of corporate earnings because of accounting mismatch.
This study investigates whether the US bank holding companies over the period of year 2001 to 2014 result in earnings volatilities due to the release of SFAS No.159. Earnings volatilities are calculated by excluding the FVO profits or losses due to the FVO use to test the effects of SFAS No. 159 on the banks.
This study finds the following empirical results: (1) earnings volatilities increase after the implementation of SFAS No.159, (2) the FVO use increases earnings volatilities, and (3) banks with early adoption of FVO in 2007 decreases more earnings volatilities than banks with normal use of FVO. The previous two findings reveal that the FVO use does not reduce the accounting mismatch on corporate earnings. Reducing the earnings volatilities as one purpose of SFAS No. 159 is not met.
This study provides empirical results to the government authorities and accounting boards to consider whether fair value accounting for financial assets and liabilities is managed by firms. The authorities and boards need to monitor firms and revise standards more carefully.

並列關鍵字

Earnings Volatilities ； Fair Value Option ； IAS No.39 ； SFAS No.159

參考文獻

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