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研究生:張武琳
研究生(外文):Wu-Lin Chang
論文名稱:公允價值會計對於融資成本之影響
論文名稱(外文):The Effects of Fair Value Accounting on Cost of Debt
指導教授:李艷榕李艷榕引用關係
口試委員:廖芝嫻林孝倫
口試日期:2013-05-31
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:2013
畢業學年度:101
語文別:中文
論文頁數:38
中文關鍵詞:公允價值會計融資成本公司債信用評等債券殖利率
外文關鍵詞:Fair value accountingCost of debtBondsCredit ratingsYield spreads
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本研究探討公允價值會計與融資成本間之關係,我們檢視2007年至2011年間美國債券市場上新發行債券之殖利率和已發行公司債之公司信用評等,第一部分,本研究探討公允價值衡量之淨資產是否會降低信用評等與提高債券殖利率,結果顯示當公允價值衡量之淨資產佔總資產比例提升,公司信用評等將會降低,債券殖利率將會上升。
第二部分,我們探討第三等級淨資產是否比第一、二等級淨資產對於信用評等和債券殖利率更具影響,我們發現在信用評等的部分,實證結果顯示第二等級淨資產較具有顯著影響,與預期不同,在債券殖利率部分,由實證結果可知第二和第三等級淨資產對於信用評等和債券殖利率具顯著影響,且第三等級淨資產比第二等級淨資產更具影響力。
最後一部分,本研究探討當公司治理增強是否可以降低信用評等公司與債券投資人的疑慮,從而使得第三等級淨資產對於信用評等與債券殖利率的影響降低,在債券殖利率部份的結果符合預期,代表著當公司治理程度較高將降低第三等級淨資產對於債券殖利率的影響。


In this paper, I investigate the relationship between fair value accounting and the cost of debt. I use yield spreads of newly issued non-convertible bonds and long-term credit ratings of U.S. publicly traded companies during the 2007-2011 period. First, I test whether fair value measured net total assets lower credit ratings and raise yield spreads. The finding suggests that firms tend to have lower credit ratings and higher yield spreads when a higher percentage of their net assets are measured by fair value accounting.
Second, I investigate whether the effect of Level 3 net assets on credit ratings and yield spreads is greater than those of Level 1 and Level 2 net assets. I find that only Level 2 net assets significantly influence credit ratings. On the other hand, Level 2 and Level 3 net assets significantly affect yield spreads. In addition, the effect of Level 3 net assets on yield spreads is greater than that of Level 2 net assets.
Finally, I investigate whether strong corporate governance alleviates the effect of Level 3 net assets on credit ratings and yield spreads. Results suggest that the impact of Level 3 net assets varies with the strength of a company''s corporate governance. Stronger corporate governance reduces the impact of Level 3 net assets on yield
spreads.


謝辭 i
摘要 ii
Abstract iii
目錄 iv
圖表目錄 v
第一章 緒論 1
第一節 研究背景 1
第二節 研究動機及目的 2
第三節 研究架構 4
第二章 文獻探討 6
第三章 研究方法 11
第一節 研究假說 11
第二節 變數定義與衡量方法 12
第三節 實證模型 17
第四節 研究樣本與資料來源 19
第四章 實證結果與分析 20
第一節 敘述性統計分析 20
第二節 信用評等及債券殖利率與公允價值衡量淨資產關聯性之實證結果 27
第三節 第三等級淨資產與第一、二等級淨資產影響比較之實證結果 29
第四節 公司治理與第三等級淨資產關聯性之實證結果 31
第五章 結論 34
第一節 研究結論 34
第二節 研究限制與建議 35
參考文獻 37

Ashbaugh-Skaife, H., Collins, D. W. & LaFond, R. The effects of corporate governance on firms’credit ratings (2006). Journal of Accounting and Economics, 42(1-2), 203-243.

Barth, M. E. (1994). Fair value accounting: evidence from investment securities and the market valuation of banks. The Accounting Review, 69(1), 1-25.

Blankespoor, E., Linsmeier, T. J., Petroni, K. & Shakespeare, C. (2012). Fair value accounting for financial instruments: does it improve the association between bank leverage and credit risk? Working Paper, Stanford University.

Chen, K., Sommers, G.A. & Taylor, G. K. (2006). Fair value’s affect on accounting’s ability to predict future cash flows: a glance back and a look at the potential impact of reaching the goal. Working Paper, University of Alabama.

Goh, B. W., Ng, J. & Yong, K. O. (2011). Fair value disclosures beyond SFAS 157’s three-level estimates. Working Paper, Singapore ManagementUniversity.

Kolev, K. (2008). Do investors perceive marking-to-model as marking-to-myth?early evidence from FAS 157 disclosure. Working Paper, NYU Stern School of Business.

Krishnaswami, S., Spindt, P. A. & Subramaniam, V. (1999). Information asymmetry, monitoring, and the placement structure of corporate debt. Journal of Financial Economics,57(3), 407-434.

Liao, L., Kang, H., Morris, R. & Tang, Q. (2010). Information asymmetry of fair value accounting and loan loss provisions during the global financial crisis. Working Paper, University of New South Wales.

Muller, III K. A., Riedl, E. J. & Sellhorn, T. (2011). Mandatory fair value accounting and information asymmetry: evidence from the European real estate industry. Management Science,57(6), 1138-1153.

Parbonetti, A., Menini, A. & Magnan, M. (2011). Fair value accounting: information or confusion for financial markets? Working Papers, University of Padua.

Song, C. J., Thomas, W. B. & Yi, H. (2010). Value relevance of FAS No. 157 fair value hierarchy information and the impact of corporate governance mechanisms. The Accounting Review, 85(4), 1375–1410.

Sufi, A. (2007). Information asymmetry and financing arrangements: evidence from syndicated loans. The Journal of Finance, 62(2), 629-668.

Wittenberg-Moerman, R. (2008). The role of information asymmetry and financial reporting quality in debt trading: evidence from the secondary loan market. Journal of Accounting and Economics, 46(2-3), 240-260.

Wittenberg-Moerman, R. (2009). The impact of information asymmetry on debt pricing and maturity. Working Paper, University of Chicago.







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