公允價值第三等級揭露與股票崩盤風險

Abstract

美國財務會計準則委員會為了回應市場參與者對美國財務會計準則157號公報「公允價值衡量」揭露不完善之批評，陸續發布了會計準則更新(Accounting Standards Updates)第2010-06號與第2011-04號，改善了公允價值衡量之相關揭露，其中更特別著重在第三等級金融工具的揭露。透過會計準則更新，以期完善公允價值衡量相關揭露並提升財務報表透明度。本研究利用美國銀行業為樣本，探討前述準則更新所增強之揭露是否能有效減少公司股票崩盤風險。實證結果發現：在會計準則更新後，對於降低公司股票崩盤有明顯的效果。而在額外測試中也發現針對第三等級金融工具交易活動之揭露，相較於交易量低的公司，交易量高的公司在2010年以後股票崩盤風險有明顯下降的現象，這發現支持會計準則更新第2010-06號降低了股票崩盤的風險主要原因是因為提升第三等級金融工具的交易量揭露之品質。此外，另一額外測試亦發現本身治理較好的公司，管理階層隱藏壞消息的傾向較低，因此會計準則更新所要求增加的揭露對於減少管理人隱藏壞消息的意圖的程度較有限，因而其帶來之降低崩盤風險的效果亦較不明顯。

In response to the harsh public criticism of the inadequate disclosures mandated by SFAS No. 157, Fair Value Measurements, the FASB issued ASU (Accounting Standards Updates) 2010-06, Improving Disclosures about Fair Value Measurements, and ASU 2011-04, Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP (the Updates hereafter), in an effort to further increase the reporting transparency, especially for Level 3 measurements. Using annual reports of banking firms, I examine whether the increased fair value disclosures by the Updates can effectively decrease “crash risk”, defined as the frequency of extreme negative stock returns. In support of the hypothesis, I find that firms, especially for those with Level 3 estimates, experience a decrease in crash risk after the Updates. In the additional test, I find evidence that firms with high Level 3 transaction volume experience a decrease in crash risk after the amendment to disclosures of Level 3 activity by the Updates. This suggests that the enhanced disclosures about transactions of Level 3 measurements can effectively reduce stock price crashes. Moreover, I find evidence that managers operating in firms with strong corporate governance show a lower tendency to conceal bad news, leading to lower stock price crash risk. Therefore, the impact of the Updates on bad news hoarding, thus crash risk, is limited. Taken together, my results are consistent with increased transparency from the Updates reducing crash risk among U.S. banking firms.