臺灣博碩士論文加值系統

美國財務會計準則委員會（FASB）於2007年2月發布財務會計準則159號公報，提供企業公平價值選擇權之適用，企業得選擇將其符合規範之金融商品指定以公平價值作為衡量標準。此選擇權可以簡化金融資產及金融負債會計處理的複雜性，相關資產負債之公平價值變動損益得以相互抵消，企業的經濟避險效果亦可清楚呈現於財務報表上。
本論文著重於觀察指定公平價值作為衡量標準之金融商品是否得以降低資訊不對稱之現象。本研究以美國列入標準普爾500指數計算之公司為樣本，並以公報發布前一年(2006年)為起始點，共蒐集三年(2006年至2008年)之資料，以探討適用公平價值選擇權與否對於資料不對稱的影響。本研究以買賣差價、股票週轉率以及盈餘波動性作為資訊不對稱現象之代理變數。
依據實證結果，本研究結果於公平價值選擇權之採用對於降低資訊不對稱之有用性不甚明確，推估由於美國於樣本期間受到次級房貸風暴嚴重影響，以及管理階層提前適用此公報之盈餘管理動機。此外，樣本期間過短、同期間可能並存其他會計事件以及未區分標準普爾500指數公司所囊括之不同產業別可能是無法產生符合預期假設實證結果之原因。

In February 2007, the Financial Accounting Standards Board released the Statement of Financial Accounting Standards No. 159, The Fair Value Option for Financial Assets and Financial Liabilities— Including an Amendment of FASB Statement No.115. An entity has the option to measure chosen financial instruments at fair value after the election dates under this statement. The goal of this statement is to improve financial reporting by providing entities with the opportunity to decrease volatility in reported earnings without having to apply complex hedge accounting provisions. The fair value option is thus expected to reduce information asymmetry.
In this thesis, a sample of 539 S&P 500 companies from 2006 to 2008 is collected to observe the impact of the fair value option on information asymmetry in different industries in the United States. Following prior literature, I choose the Bid-Ask Spread, Share Turnover and Return Volatility as proxies for information asymmetry.
From my empirical results, I do not find empirical support for the hypotheses that information asymmetry is lower in the entity implementing fair value option. Three possible reasons could explain the results. Firstly, all the industries in the United States were critically devastated by the subprime mortgage crisis since 2007. The influence of subprime crisis was apparent in 2007 and has severe impact on the financial system in every industry in the United States. Secondly, the managers may have an earnings management incentive to choose to early adopt the fair value option because they have a chance to report the re-measurement effect of unrealized gains and losses in retained earnings. Lastly, the sample period of the models is only 2006 to 2008 that it is probably too short to investigate the effect of fair value option on information asymmetry.

I. Introduction 1
II. Background and Related Literature 6
III. Hypotheses Development 13
IV. Research Design and Data Sources 19
V. Empirical Results 30
A. Descriptive Statistics 30
B. Correlation Matrix 32
C. Regression Results 32
VI. Conclusions 36
VII. Reference 38

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