備供出售金融商品未實現損益預測性及價值攸關性研究

Abstract

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.