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研究生:鄭麗真
研究生(外文):Li-Chen Cheng
論文名稱:公平價值選擇權對資訊不對稱之影響-以買賣差價、股票週轉率及盈餘波動性分析
論文名稱(外文):The Impact of Fair Value Option on Information Asymmetry-Using Bid-Ask Spread, Share Turnvoer and Return Volatility
指導教授:劉啟群劉啟群引用關係
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:會計學研究所
學門:商業及管理學門
學類:會計學類
論文種類:學術論文
論文出版年:2008
畢業學年度:97
語文別:英文
論文頁數:60
中文關鍵詞:公平價值選擇權資訊不對稱金融控股公司買賣差價股票週轉率盈餘波動性
外文關鍵詞:Fair Value OptionInformation AsymmetryBank Holding CompanyBid-Ask SpreadTurnoverReturn Volatility
相關次數:
  • 被引用被引用:4
  • 點閱點閱:229
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0
美國財務會計準則委員會(FASB)於2007年2月間發布新的財務會計準則159號公報,規範有關公平價值選擇權的規定,該準則提供一個選擇權給企業,企業可據此對於公報所規範的合格項目選用公平價值作為衡量的依據,如此,不僅可簡化金融商品會計處理的複雜性,亦可提供企業一個管道將經濟避險關係表達於財務報表上,此外,亦能促成FASB對於金融商品全面以公平價值衡量的長期目標。
本研究係針對公報發布前後一年(2006~2007)美國380家金融控股公司為樣本,探討是否適用公平價值選擇權對於資料不對稱的影響,依據實證結果,公平價值選擇權的採用對於資訊不對稱代理變數(買賣差價、股票週轉率以及盈餘波動性)的影響不甚明確,推估可能解釋有三,一是觀察美國於樣本期間整體經濟受到次級房貸風暴的影響嚴重,其次可能管理階層係基於盈餘管理的動機而適用該公報,是以無法降低公司與報表使用者之間的資訊不對稱,最後亦可能係受限於樣本期間過短。
In February 2007, the Financial Accounting Standards Boards (FASB) issued SFAS No. 159, The Fair Value Option for Financial Assets and Financial Liabilities. The statement permits entities to employ a fair value option, which measures eligible items at fair value at specified election dates. According to the objectives of the statement, a decline in information asymmetry is expected after the implication of the SFAS No. 159.
The study investigates the effect of fair value option on banks’ information asymmetry. I collect the data of bank holding companies spanning the time period from 2006 to 2007. Using bid-ask spreads, share turnover and return volatility as proxies for information asymmetry, I find mixed evidence about the impact of information asymmetry on bank holding companies. There are several possible explanations. First, the US banking industry was severely impacted by the subprime crisis since 2007. Second, managers have incentives to place the re-measurement cumulative-effect adjustment in retained earnings to achieve earnings management. Finally, the sample period is too short to observe the effect of fair value option on bank holding companies’ information asymmetry.
I.Introduction....................................... 1
II.Overview of SFAS No. 159 and Literature Review..... 5
III.Hypotheses Development............................11
IV.Research Design ....................................17
V.Data................................................25
VI.Empirical Results..................................27
1. Descriptive Statistics............................27
2. Correlation.......................................28
3. Regression Results................................29
VII.Conclusions.......................................32
VIII.References.......................................34
1.Arlette C. W. and Beverly M. 2007. How the fair value option will simplify accounting for some hedging transactions. The CPA journal: 32-33
2.Barth, M., G. Clinch and T. Shibano. 2003. Market effects of recognition and disclosure. Journal of Accounting Research 41(4):581-609
3.Barth, M., Beaver,W., and Landsman, W. 1996. Value-relevance of banks’ fair value disclosures under SFAS No. 107. The Accounting Review 71(4):513-537
4.Bartov, E., and G. Bodnar. 1996. Alternative accounting methods, information asymmetry and liquidity: theory and evidence. The Accounting Review: 397-418
5.Bushee, B., and C. Noe. 2000. Corporate disclosure practices, institutional investors, and stock return volatility. Journal of Accounting Research 38 (Supplement): 171-202.
6.Charles T. Howard and Louis J. D’Antonio. 2005. Cost-effective hedges and accounting standards. Accounting Horizons (19):205-222
7.Cheng, M, Dan D., and Monica N. 2008. Banks’ asset securitization and information opacity. Working paper, university of Arizona.
8.Christian P., and Tomas P. 2006. Voluntary disclosure and information asymmetry in Denmark. Journal of International Accounting, Auditing and Taxation 15:127-149
9.Federal Reserve Bulletin, New Rules on Fair Value Accounting, 6/1/2008: A11
10.Flannery, M., S. Kwan, and M. Nimalendran. 2004. Market evidence on the opaqueness of banking firms’ assets. Journal of Financial Economics 71(3):pp.410-460.
11.Financial Accounting Standards Board (FASB). 2007. The Fair Value Option for Financial Assets and Financial Liabilities. SFAS No. 159.
12.GAAP Update Secrvice. 4/15/2007: Volume 07, Issue 07.
13.Gregoriou, Ioannidis and Skerratt. 2005. Information asymmetry and the bid-ask spreads: evidence from the UK. Journal of Business Finance & Accounting, 32(9) & (10).
14.Greenstein, M., and H. Sami. 1994. The impact of the SEC’s segment disclosure requirement on bid-ask spreads, The Accounting Review 69 (1):179-199.
15.Healy, P., A. Hutton, K. Palepu. 1999. Stock performance and intermediation changes surrounding sustained increases in disclosure. Contemporary Accounting Research 16(3): 485-520.
16.Leuz, C., and R. E. Verrecchia. 2000. The economic consequences of increased disclosure. Journal of Accounting Research 38 (Supplement): 91-124.
17.Mohd, E., 2005. Accounting for software development costs and information asymmetry. The Accounting Review 80(4):1211-1231.
18.Roulstone, D. T. 2003. Analyst following and market liquidity. Comtemporary Accounting Research 20 (3):551-578
19.Welker, M. 1995. Disclosure policy, information asymmetry, and liquidity in equity markets. Contemporary Accounting Research 11(2):801-827
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