公允價值三級資料與資訊不對稱之關聯性

Fair Value Hierarchy and Information Asymmetry

翁宏達(Weng, Hong-Da)

指導教授 ： 陳維慈

國立臺北大學/商學院/會計學系/碩士(2013年)

摘要

在美國No.157公報實施之後，公司必須將資產和負債依公允價值的資料來源區分為三級，此規定實施後，報表使用者得以了解公司資產與負債之公允價值衡量是否來自管理者之估計數。本研究主要探討目的在了解，當資產或負債價值之衡量來自估計資訊愈多者，是否影響投資人的投資行為而產生較多之資訊不對稱。過去針對公允價值三級資料進行之相關研究，主要著重與股價或系統風險的關係，而投資人的投資意願，亦隨公司提供較為可靠的公允價值衡量資訊而提高。有關資訊不對稱的相關文獻亦發現，來自公司的可靠資訊可以有效地降低資訊不對稱程度。因此，本研究根據過去文獻的發現並提出假設：當公司資產或負債以不同等級的公允價值輸入資料衡量時，因資料隱含之可靠性不同，將對資訊不對稱程度產生不同影響。本研究以美國銀行控股公司為樣本，研究期間為2007至2011年，並以交易週轉率為資訊不對稱的衡量，公允價值三等級資產與負債為主要實驗變數，迴歸估計結果發現，以第三等級公允價值資料衡量的資產或負債與交易週轉率呈現顯著的正向關係，而此正向關係與第一與第二等級公允價值資料衡量的資產與負債相較，強度與顯著性上皆較低，換句話說，公司的資產或負債以愈高等級公允價值輸入資料為衡量者，投資人間或與企業間的資訊不對稱程度愈高。在額外測試中，當以買賣價差為資訊不對稱的替代變數時，亦具有類似發現。

關鍵字

公允價值三級資料 ； 資訊不對稱

並列摘要

After the implementation of Statement of Financial Accounting Standards No. 157, Fair Value Accounting, companies have to disclose the fair value hierarchy of assets and liabilities measured at fair value. The disclosure enables the financial statements’ users to understand whether companies report assets and liabilities measured at fair value based on managers’ estimate. The purpose of this paper is to explore whether the extent of information asymmetry between companies and investors or among investors varies with fair value hierarchy. Prior literature on the fair value hierarchy mainly addresses the association between fair value data and stock price or systematic risk. Previous evidence supports that investors are willing to invest more in companies reporting their assets and liabilities at fair value based on more reliable data. Some information asymmetry studies also indicate that more reliable fair value information can effectively reduce information asymmetry. Thus, I rely on prior literature and expect that assets or liabilities measured at fair value hierarchy will affect the extent of information asymmetry. In this paper, I choose the U.S. bank holding companies over the period of 2007 to 2011 as the research sample. By regressing information asymmetry defined as share turnover on the three levels of fair value inputs and control variables, this paper finds that the higher the level of fair value inputs, the larger the extent of information asymmetry. The empirical result, however, is consistent with this paper’s expectation as the three levels of fair value inputs are proxied by dummy variables. In additional tests, I use bid-ask spreads as the proxy of information asymmetry, the main result remains similar.

並列關鍵字

fair value hierarchy ； information asymmetry

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