盈餘品質之決策及其與資金成本之相關性研究

Abstract

盈餘為一項重要的財務資訊，其雖為強制揭露項目且認列受會計準則所規範，企業仍可透過認列收入費用的時點、會計原則的選擇等，達成其裁量性揭露的目的。本文以Modified Dechow & Dichev Model (McNichols 2002)為基礎建立盈餘品質指標，從應計項目實現的可能性來定義盈餘品質，並藉由盈餘品質的衡量探究企業資訊揭露的決策行為。 本文以私有資訊成本(Proprietary Cost)詮釋公司因資訊揭露而使其失去市場競爭優勢等負面影響。由私有資訊成本的角度出發，從成本面探討公司的揭露行為，建立公司揭露之決策模型。實證結果發現公司的資訊揭露決策不僅受到資本市場評價的影響，也會同時考量揭露的結果是否會影響其商品市場之競爭地位。若公司所面對之私有資訊成本愈大，其盈餘品質也較差。 盈餘品質與資金成本關聯性之研究，則參考Cohen(2003)之研究方法，將揭露成本出發的決策模型作為盈餘品質之工具變數，藉此降低存在於揭露變數與資金成本之相關實證模型中的內生性問題(Endogeneity)。實證結果發現在同時考量資訊揭露之成本(私有資訊成本增加)及效益(資金成本降低)後，公司不一定會為了享受資本市場評價的利益而提升其揭露水準。即在考量私有資訊成本後，揭露水準與資金成本間的負向相關不復存在。同時由本文的實證看來，在排除盈餘品質與資金成本模型之內生性偏誤後，資訊風險非為不可分散的系統性風險，僅為各別公司的風險，投資人未對資訊風險要求額外的風險貼水。

“Earnings” is one of the most important financial information. Even though it is one of the mandatory disclosure items, managers can still use their discretion about when to recognize revenue and expense and about the application choices of accounting principles. This paper bases on the Modified Dechow & Dichev Model (McNichols 2002) to measure the earnings quality indicator. This model mapped earnings quality by the magnitude of accrual estimation errors. I use this indicator to explore managers’ disclosure behavior. I consider the associated costs determinants that may affect a firm’s disclosure decisions and put the emphasis on proprietary costs. Proprietary costs take place when a firm discloses some information will reduce the present value of cash flows of the firm. The evidence I present suggests that reporting strategy depends not only on the valuation benefits from capital market firms expect to derive from disclosure, but also on the proprietary costs firms face. I find that higher proprietary costs are associated with poor earnings quality. As for the research on the relationship between earnings quality and the cost of capital, I refer to Cohen’s method (2003) which took a vector of determinants variables as instrument variables to solve the endogeneity bias in the relation between cost of capital and disclosure policy. After considering costs (increasing a firm’s proprietary costs) and benefits (lower a firm’s cost of capital) of higher level of disclosure, I do not find evidence that firms choosing to provide high-quality earnings necessarily enjoy a lower cost of equity capital. My analysis implies that the information risk associated with the earnings quality does not necessarily constitute an additional risk factor, but rather is a firm-specific risk, which investors do not price.