公平價值選擇權與資訊不對稱關係之實證研究：以分析師預測分歧分析

The Usefulness of the Fair Value Option to Reduce Information Asymmetry - Using Analysts’ Forecast Dispersion

邱嘉慧(Jia-Huei Chiou)

指導教授 ： 劉啟群

國立臺灣大學/管理學院/會計學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.10037

摘要

本論文研究美國財務會計準則委員會（FASB）於2007年2月間發佈之財務會計準則159號公報公平價值選擇權對降低資訊不對稱之有用性。公平價值選擇權允許企業選擇將其所符合公報規範之金融資產、負債以公平價值衡量，如此，相關資產負債之公平價值變動所產生之損益即時相互抵消，企業的財務報表可清楚呈現經濟避險之效果，此外159號公報規範之表達與揭露要求也提供使用者較多資訊，有助於降低企業與使用者間之資訊不對稱情形。本論文之研究設計係以分析師預測分歧作為研究資訊不對稱的代理變數，蒐集美國380家金融控股公司2006年至2007年的資料，研究公平價值選擇權的採用是否可降低分析師間之預測分歧。然而，依據實證結果，公平價值選擇權的採用對於降低分析師預測分歧之影響不甚明確，推估由於研究期間僅含公報適用首年度，可能受到美國爆發次級房貸危機以及管理階層首年度適用公平價值選擇權存在盈餘管理動機兩項因素，而未產生符合預期之實證結果。

關鍵字

美國第159號公報 ； 公平價值選擇權 ； 資訊不對稱 ； 分析師預測 ； 分析師預測分歧 ； 金融控股公司

並列摘要

A sample of 380 U.S. bank holding companies from 2006 to 2007 is collected to study the usefulness of the fair value option to reduce information asymmetry. In February 2007, the Financial Accounting Standards Boards (FASB) released Statement 159,“The Fair Value Option for Financial Assets and Financial Liabilities. The statement provides companies the option of reporting selected financial assets and liabilities at fair value. Under the assumption that the fair value option adoption may achieve economic hedge effect and provide more available disclosures to users, I investigate whether the fair value option adoption is associated inversely with information asymmetry by focusing on analysts’ forecast dispersion. Results of the present study are inconsistent with the hypotheses. Two alternative explanations for the empirical results are that the U.S subprime mortgage crisis event might affect the FVO data period due to the short time span of research. Also, earnings management incentive might be one of the adoption reasons for the managers at the first adoption year because the remeasurement of the eligible item existing at effective date to fair value is recorded as a cumulative-effect adjustment to the opening balance of retained earnings. Hence, this paper does not find consistent empirical support for decreased information asymmetry while the bank holding companies adopt the FVO.

並列關鍵字

SFAS No.159 ； fair value option ； information asymmetry ； analysts’ earnings forecasts ； analysts’ forecasts dispersion ； bank holding companies

參考文獻

American Accounting Association (AAA), Financial Accounting Standards Committee (FASC). 2007. Response to FASB exposure draft, "The Fair Value Option for Financial Assets and Financial Liabilities, Including an Amendment of FASB Statement No. 115". Accounting Horizons 21(2): 189-200

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