衍生工具揭露規範與股價崩盤風險:以財務會計準則公報第161號為例

Derivatives disclosures and crash risk: Evidence from SFAS No. 161

許瑀希(Yu-Hsi Hsu)

指導教授 ： 許文馨

國立臺灣大學/管理學院/會計學研究所/碩士(2016年)

https://doi.org/10.6342/NTU201600376

摘要

美國財務會計準則委員會(FASB)於2008年發布財務會計準則公報第161號規範企業揭露衍生工具和避險活動的相關資訊。本研究主要探討財務會計準則公報第161號之實施與企業股價崩盤風險值(Stock Price Crash Risk)之關聯性。探討財務會計準則公報第161號之實施是否會提升企業財務報表的資訊透明度進而降低企業股價崩盤風險值。本研究以美國一般產業為樣本，將樣本區分為使用衍生工具的企業和未使用衍生工具的企業。研究結果發現使用衍生工具的企業在財務會計準則公報第161號之實施後，企業股價崩盤風險值會下降，顯示財務會計準則公報第161號之實施有助於企業財務報表資訊透明度的提升。此外，當企業的衍生工具重要性程度越高時，在財務會計準則公報第161號之實施後，企業股價崩盤風險值的下降程度越高。

關鍵字

衍生工具 ； 財務會計準則公報第161號 ； 股價崩盤風險

並列摘要

This study investigates whether the SFAS No. 161 adoption affects firm-level crash risk of derivative users based on a sample of non-financial firms in the USA. Using a difference-in-difference design, I find that, relative to the association with the control sample of non-users, the association between crash risk and derivative users is more negative after the adoption of SFAS No. 161. The results suggest that SFAS No. 161 has improved the financial reporting transparency, leading to the reduction in the future stock price crash risk. Moreover, I also find that the mitigating effect of SFAS No. 161 adoption is more pronounced for firms with high intensive usage of derivatives than low usage. Overall, the results are consistent with the notion that increased financial reporting transparency would reduce a firm’s stock price crash risk.

並列關鍵字

Derivatives ； SFAS No. 161 ； Crash risk

參考文獻

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