本研究採關聯性之資本市場實證研究,探討台灣財務會計準則第34號金融商品的會計處理準則公報實施後,金融商品財務報導對公司股票報酬之影響,以Hayn(1995)與其衍生之相關模型進行迴歸分析,從2006年第1季至2007年第4季共8季之台灣上市公司為研究對象。結果發現採用財務會計準則第34號公報金融商品會計處理準則實施後,損益表之金融商品評價損益與股東權益項下之未實現損益變動數,對股票報酬具有解釋能力,且對投資人而言金融商品之財務報導有參考價值。
This research adopts empirical research and association analysis methodologies to investigate capital market in Taiwan. I explore the value relevance of financial instruments in the financial reports after Statements of Financial Account Standard (SFAS) No.34 has taken effect. To perform a regression analysis, I use Hayn (1995) model and derive the model. The scope of this research covers the overall influence of SFAS No.34 on the value relevance of financial reports. The samples are the first seasonal data in 2006 to the fourth seasonal data in 2007 about listed firms in Taiwan. Empirical result shows that financial instruments are significant factors to explain the stocks returns by SFAS No.34. The accounting information such as firms’ net income is a better factor to jointly explain the stocks returns after the SFAS No. 34 has taken effect. When evaluating the company value, investors will take the accounting information as an important source of reference.