衍生性金融商品資訊內涵之檢測--兼論第34號財務會計準則公報之效果

龔文彬

doi:10.6846/TKU.2011.00533

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衍生性金融商品資訊內涵之檢測--兼論第34號財務會計準則公報之效果

Earnings Persistence and Valuation Implication for Listed Firms with Financial Derivatives Usage under SFAS No.34

龔文彬 , Masters　　Advisor：張寶光;陳慶隆　　

繁體中文 DOI： 10.6846/TKU.2011.00533

衍生性金融商品；盈餘反應係數； Mishkin ； Financial Derivatives ； Earnings Response Coefficients ； Mishkin

Abstract │ Reference (55) │ Altmetrics

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This research examines the possible impact on firms’ earnings and stock return after implementing SFAS No.34 which directly imposes effect on financial derivatives usage. Furthermore, this research also analyzes post SFAS No.34’s effect on market investors’ rational response of financial derivatives usage. This research adopts empirical analyzing method and studis Taiwan listed firms for year 2004 to 2008, and meanwhile, excludes financial firms and firms with missing data. In order to analyze the alteration in relationship between earnings and stock returns, this study examines both pre adoption and post adoption period of SFAS No.34 using multiple regressions. Moreover, by using the Mishkin’s rational expectation model (1983), this study discusses if market has overreacted or underreacted to firms’ application of financial derivatives. Empirical results indicate that implementing SFAS No.34 will significantly enhance corporate financial statement transparency as well as improve financial derivatives usage to enhance the relationship between firms’ earnings and stock returns. On the other hand, the test of market rational expectations suggests that although SFAS No.34 helps to enhance corporate financial statement transparency, however, market investors’ rational on interpreting corporate financial derivatives usage and earnings persistency relationship remains. Therefore, interpretation ability has not been affected by adopting SFAS No.34.

Reference ( 55 ) 〈TOP〉

王萬成、高祥恒，2005，裁決性應計項目、衍生性金融商品與損益平穩化，中華會計學刊，第5卷第2期：143-168。
連結：
王蘭芬、薛敏正、顏莉萍，2009，銀行業衍生性金融商品與裁決性壞帳之關聯性研究，當代會計，第10卷第1期：1-28。
連結：
林有志、曾乾豪，2007，財務透明度對盈餘資訊性之影響，當代會計，第8卷第2期：155-180。
連結：
林美花、黃祥宇，2006，衍生性金融商品數量性資訊揭露與外匯風險暴露之關聯性研究，會計評論，第43期：63-93。
連結：
林維珩、盧鎮瑋，2005，股價對強制性財務預測反應之效率性研究，會計評論，第41期：53-75。
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