衍生工具揭露規範與股價資訊內涵：以財務會計準則公報第161號為例

Abstract

本研究探討財務會計準則公報第161號「衍生工具與避險活動之揭露」對於股價資訊內涵之影響，並聚焦該公報是否協助公司特有資訊(firm-specific information)流入市場，進而提升股價資訊內涵。本研究以美國2004-2013年樣本，對公司年報進行文本分析，以辨別是否為衍生工具使用者。研究發現，在財務會計準則公報第161號實施後，使用衍生工具之企業，股價資訊內涵顯著上升，表示該公報有助提升資訊透明度，強化公司特有資訊流入市場。此外，研究亦發現，經理人過度自信將顯著降低財務會計準則公報第161號對於股價資訊內涵之影響。

This study examines the effect of SFAS No.161 on stock price informativeness. I specifically focus on whether SFAS No.161 facilitates the dissemination of firm-specific information to the market and thus increases stock price informativeness. Using U.S. sample for fiscal-years 2004-2013, this study employs a difference-in-difference research design and identifies derivative users (treatment group) by conducting a textual analysis on firm’s 10-K. The result shows that for firms that engage in derivatives activities, stock price informativeness increases after the adoption of SFAS No.161. Additionally, I also find that the positive association between SFAS No.161 adoption and stock price informativeness is significantly weakened for firms with overconfident CEO.