公平價值選擇權對資訊不對稱之影響－以買賣差價、股票週轉率及盈餘波動性分析

Abstract

美國財務會計準則委員會（FASB）於2007年2月間發布新的財務會計準則159號公報，規範有關公平價值選擇權的規定，該準則提供一個選擇權給企業，企業可據此對於公報所規範的合格項目選用公平價值作為衡量的依據，如此，不僅可簡化金融商品會計處理的複雜性，亦可提供企業一個管道將經濟避險關係表達於財務報表上，此外，亦能促成FASB對於金融商品全面以公平價值衡量的長期目標。 本研究係針對公報發布前後一年(2006~2007)美國380家金融控股公司為樣本，探討是否適用公平價值選擇權對於資料不對稱的影響，依據實證結果，公平價值選擇權的採用對於資訊不對稱代理變數(買賣差價、股票週轉率以及盈餘波動性)的影響不甚明確，推估可能解釋有三，一是觀察美國於樣本期間整體經濟受到次級房貸風暴的影響嚴重，其次可能管理階層係基於盈餘管理的動機而適用該公報，是以無法降低公司與報表使用者之間的資訊不對稱，最後亦可能係受限於樣本期間過短。

In February 2007, the Financial Accounting Standards Boards (FASB) issued SFAS No. 159, The Fair Value Option for Financial Assets and Financial Liabilities. The statement permits entities to employ a fair value option, which measures eligible items at fair value at specified election dates. According to the objectives of the statement, a decline in information asymmetry is expected after the implication of the SFAS No. 159. The study investigates the effect of fair value option on banks’ information asymmetry. I collect the data of bank holding companies spanning the time period from 2006 to 2007. Using bid-ask spreads, share turnover and return volatility as proxies for information asymmetry, I find mixed evidence about the impact of information asymmetry on bank holding companies. There are several possible explanations. First, the US banking industry was severely impacted by the subprime crisis since 2007. Second, managers have incentives to place the re-measurement cumulative-effect adjustment in retained earnings to achieve earnings management. Finally, the sample period is too short to observe the effect of fair value option on bank holding companies’ information asymmetry.