臺灣博碩士論文加值系統

美國財務會計準則委員會(FASB)於2008年發布財務會計準則公報第161號規範企業揭露衍生工具和避險活動的相關資訊。本研究主要探討財務會計準則公報第161號之實施與企業股價崩盤風險值(Stock Price Crash Risk)之關聯性。探討財務會計準則公報第161號之實施是否會提升企業財務報表的資訊透明度進而降低企業股價崩盤風險值。本研究以美國一般產業為樣本，將樣本區分為使用衍生工具的企業和未使用衍生工具的企業。研究結果發現使用衍生工具的企業在財務會計準則公報第161號之實施後，企業股價崩盤風險值會下降，顯示財務會計準則公報第161號之實施有助於企業財務報表資訊透明度的提升。此外，當企業的衍生工具重要性程度越高時，在財務會計準則公報第161號之實施後，企業股價崩盤風險值的下降程度越高。

This study investigates whether the SFAS No. 161 adoption affects firm-level crash risk of derivative users based on a sample of non-financial firms in the USA. Using a difference-in-difference design, I find that, relative to the association with the control sample of non-users, the association between crash risk and derivative users is more negative after the adoption of SFAS No. 161. The results suggest that SFAS No. 161 has improved the financial reporting transparency, leading to the reduction in the future stock price crash risk. Moreover, I also find that the mitigating effect of SFAS No. 161 adoption is more pronounced for firms with high intensive usage of derivatives than low usage. Overall, the results are consistent with the notion that increased financial reporting transparency would reduce a firm’s stock price crash risk.

口試委員會審定書 i
中文摘要 ii
ABSTRACT iii
CONTENTS iv
LIST OF FIGURES vi
LIST OF TABLES vii
1.0. Introduction 1
2.0. Accounting Standards for Derivatives in the USA 6
2.1. Derivatives measurement 6
2.1.1. Accounting Standards before SFAS No. 133 6
2.1.2. SFAS No. 133 8
2.2. Derivatives disclosures requirement 9
2.2.1. Prior to SFAS No. 133 9
2.2.1. SFAS No. 133 10
2.2.2. SFAS No. 161 17
3.0. Literature Review 26
3.1. Derivatives literatures 26
3.1.1. Derivatives and earnings management 26
3.1.2. Derivatives and tax avoidance 27
3.1.3. Derivatives and complexity 28
3.2. Opacity and crash risk 29
4.0 Hypothesis development 31
5.0. Data and sample 33
6.0. Research design 34
6.1. Measuring crash risk 34
6.2. Test of hypothesis 36
7.0. Results 40
7.1. Descriptive Statistics 40
7.2. Results of Hypothesis 41
8.0. Additional tests 43
8.1. The intensive usage of derivatives and crash risk 43
8.2. Alternative sample period 45
8.3. Selectivity bias 45
9.0. Conclusion 46
References 48
Appendix A：Changes in derivative accounting treatments and disclosure practices. 52
Appendix A2：Disclosure requirements differ between SFAS No. 133 and SFAS No. 161. 54
Appendix B: Variable definitions. 57

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