(44.192.112.123) 您好!臺灣時間:2021/02/28 06:42
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

我願授權國圖
: 
twitterline
研究生:朱承平
研究生(外文):Cheng-Ping Chu
論文名稱:備供出售金融商品未實現損益預測性及價值攸關性研究
論文名稱(外文):Predictability and Value Relevance of Unrealized Gains and Losses on Available-for-Sale Securities
指導教授:李艷榕李艷榕引用關係
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:2010
畢業學年度:98
語文別:英文
論文頁數:39
中文關鍵詞:預測性其他綜合淨利財務會計準則公報130號價值攸關性
外文關鍵詞:predictabilityother comprehensive incomeSFAS No. 130value relevance
相關次數:
  • 被引用被引用:4
  • 點閱點閱:364
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:2
本研究探討備供出售金融商品未實現損益之預測性及其在不同財務報表表達時是否能分別具有價值攸關性。參照Mishkin (1983) 的研究方法及Sloan (1996) 的研究架構,本研究發現備供出售金融商品未實現利益具有預測性,然而備供出售金融商品未實現損失則不具預測性。這項結果與Shefrin and Statman (1985)所發現的處份效果一致。處份效果意指投資者傾向出售具有未實現利益的資產,但繼續保留有未實現損失的資產。此外,備供出售金融商品未實現利益表達在損益表或綜合淨利表時,具有價值攸關性,但是,表達在股東權益變動表時則不具價值攸關性。該結論與過去認為損益表或綜合淨利表能提供較透明的資訊一致。然而,備供出售金融商品未實現損失不論表達方式為何皆不具價值攸關性。這意味投資大眾了解備供出售金融商品未實現損失對下一年度盈餘不具預測性。本研究結果支持美國財務會計準則委員會及國際會計準則委員會的決議:取消公司得選擇其他綜合淨利的表達方式,而強制所有公司僅能將其表達在綜合淨利表。

This study investigates the predictability of unrealized gains and losses on available-for-sale securities (hereinafter “OCI-AFS”) and whether it is rationally priced by the market when presented in different reporting locations on the financial statements. Using the method developed by Mishkin (1983) and framework developed by Sloan (1996), I find that positive OCI-AFS is predictive of one-year-ahead earnings while negative OCI-AFS is not. This result is consistent with the disposition effect in the behavioral finance literature (Shefrin and Statman 1985), which suggests that investors tend to sell investments whose price has gone up relative to the purchase price, while keeping assets that have dropped in value. I also find that positive OCI-AFS is rationally priced when it is presented at a performance statement but is not priced when it is reported at a statement of changes in equity, which is consistent with the notion that a performance statement is a more transparent location to report OCI-AFS than a statement of changes in equity. Moreover, negative OCI-AFS is not priced regardless of its reporting location, suggesting that investors seem to understand the implication of negative OCI-AFS for one-year-ahead earnings. Results from this study support FASB and IASB’s proposal to eliminate the reporting location choice for other comprehensive income and to require companies to disclose OCI-AFS in a performance statement.

ACKNOWLEDGEMENT …………………………………………………i

ENGLISH ABSTRACT.…………………………………………………...ii

CHINESE ABSTRACT….……………………………….……………….iv

CHAPTER 1 INTRODUCTION…… …………………………………….1

CHAPTER 2 LITERATURE REVIEW AND HYPOTHESIS
DEVELOPMENT
2.1 PREDICTIBILITY AND VALUE RELEVANCE
OF OCI-AFS………………………………………………………7
2.2 REPORTING LOCATION OF OCI-AFS…………….……....….10
2.3 HYPOTHESIS DEVELOPMENT…………………………...…..13

CHPATER 3 SAMPLE SELECTION AND RESEARCH METHOD
3.1 SAMPLE SELECTION………………………………...………...15
3.2 RESEARCH METHOD……………………………..…………...17

CHAPTER 4 EMPIRICAL RESULTS
4.1 DESCRPTIVE STATISTICS……………………...…………......24
4.2 REGRESSION RESULTS…………………………...…………..27

CHPATER 5 CONCLUDING REMARKS……………………………….35

REFERENCES..……………………………………

Abel, B. Andrew, and Frederic S. Mishkin. 1983. An integrated view of tests of rationality, market efficiency and the short-run neutrality of monetary policy. Journal of Monetary Economics 11: 3-24.
Ahmed, A. S., and Takeda C. 1995. Stock market valuation of gains and losses on commercial banks’ investment securities: An empirical analysis. Journal of Accounting and Economics, 20 (2): 207-225.
American Institute of Certified Public Accountants (AICPA). 1966. Accounting Principle Board Opinion No. 9: Reporting the Results of Operations.
Bamber, Linda Smith, John (Xuefeng) Jiang, Kathy R. Petroni, and Isabel Yanyan Wang. 2010. Comprehensive income: Who’s afraid of performance reporting? The Accounting Review 85 (1): 97-126.
Barth, M. 1994. Fair value accounting: Evidence from investment securities and the market valuation of banks. The Accounting Review 69 (1) : 1-25.
Barth, Mary E., William H. Beaver, and Wayne R. Landsman. 1996. Value relevance of banks’ fair value disclosures under SFAS No. 107. The Accounting Review 71 (4): 513-537.
Barth, M., W. Landsman, and J. Wahlen. 1995. Fair value accounting: Effects on banks’ earnings volatility, regulatory capital, and value of contractual cash flows. Journal of Banking & Finance 19 (3-4): 577-605.
Chambers, Dennis, Thomas J. Linsmeier, and Catherine Shakespeare. 2007. An evaluation of SFAS No. 130 comprehensive income disclosure. Review of Accounting Studies 12 (4): 557-593.
Dhaliwal, Dan, K.R. Subramanyam, and Roberet Trezevant. 1999. Is comprehensive income superior to net income as a measure of firm performance? Journal of Accounting and Economics 26: 43-67.
Eccher, Elizabeth A., K. Ramesh, and S. Ramu Thiagarajan. 1996. Fair value disclosures by bank holding companies. Journal of Accounting and Economics 22: 79-117.
Fama, Eugene F. and Kenneth R. French. 1997. Industry costs of equity. Journal of Financial Economics 43: 153-193.
. 1965. Random walks in stock market prices, Financial Analyst Journal, 21 (5): 55-59.
Financial Accounting Standard Board (FASB). 1996. Exposure Draft: Reporting Comprehensive Income. Norwalk, CT: FASB.
. 1997. Statement of Financial Accounting Standard No. 130: Reporting comprehensive income. Norwalk, CT: FASB.
. 2008. Discussion Paper: Preliminary views on financial statement presentation. Norwalk, CT: FASB.
Hirst, D. Eric, and Patrick E. Hopkins. 1998. Comprehensive income reporting and analysts’ valuation judgments. Journal of Accounting Research 36 (supplemental): 47-75.
, , and J. Wahlen. 2004. Fair value, income measurement, and bank analysts’ risk and valuation judgments. The Accounting Review 79 (2): 453-472.
Hunton, J., R. Libby, and C. Mazza. 2006. Financial reporting transparency and earnings management. The Accounting Review 81 (1): 135-157.
International Accounting Standards Board (IASB). 2008. Discussion Paper: Preliminary Views on Financial Statement Presentation. London, U.K.: IASB.
. 2008. International Accounting Standard No. 39. Financial Instruments: Recognition and Measurement. London, U.K.: IASB.
JPMorgan Chase & Co. 2008. European Equity Research. 1-10.
Lee, Yen-Jung, Kathy R. Petroni, and Min Shen. 2006. Cherry picking, disclosure quality, and comprehensive income reporting choices: The case of property-liability insurers. Contemporary Accounting Research 23 (3): 655-692.
Maines, A. Laureen, and Linda S. McDaniel. 2000. Effects of comprehensive-income characteristics on nonprofessional investors’ judgments: The role of financial-statement presentation format. The Accounting Review 75 (2): 179-207.
Mishkin, F. 1983. A rational expectations approach to macroeconometrics: testing policy effectiveness and efficient markets models. Chicago, IL: University of Chicago Press for the National Bureau of Economic Research.
Nelson, K. 1996. Fair value accounting for commercial banks: An empirical analysis of SFAS No. 107. The Accounting Review 71 (2): 161-182.
Odean, Terrance. 1998. Volume, volatility, price, and profit when all traders are above average. The Journal of Finance 53 (6): 1887-1934
Ohlson, James A. 1999. On transitory earnings. Review of Accounting Studies 4: 145-162.
Shefrin, H., and M. Statman. 1985. The disposition to sell winners too early and ride losers too long. Journal of Finance 40: 777-790.
Sloan, Richard G. 1996. Do stock prices fully reflect information in accrual and cash flows about future earnings? The Accounting Review 71(3): 289-315.
Yen, A., D. Hirst, and P. Hopkins. 2007. A content analysis of the comprehensive income exposure draft comment letters. Research in Accounting Regulation 19: 53-79.



QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔