衍生工具揭露規範與企業投資效率：以財務會計準則公報第161號為例

Abstract

本文研究企業遵循財務會計準則公報第161號「衍生工具與避險活動之揭露」提升衍生工具揭露與其投資效率之間的關聯性。我假設遵循161號準則揭露衍生工具資訊可以減少企業與投資人間的資訊不對稱，並抑制市場逆選擇及管理人道德風險的發生，進而提高企業投資效率。研究使用美國2004至2013年非財務且非公用事業之公開發行公司的年度財務報告作為樣本。透過差異分析，我發現企業遵循161號準則後，其投資不足和過度投資的可能性均下降，這表明提升之揭露中包含有用的資訊，可以協助投資人了解企業之衍生工具使用、風險管理及衍生工具之潛在影響，同時亦影響管理階層之行為。此外，我檢驗企業在財務受拘束的條件下，其投資水平在遵循161號準則後發生之變化。結果表明當企業很可能過度投資時，遵循161號準則可以降低其投資水平，並緩解過度投資的問題。至於橫斷面分析，我檢驗資本投資和非資本投資在企業遵循161號準則後各自的變化，發現不論資本投資或非資本投資，其投資不足或過度投資之可能性均下降。總體而言，研究結果支持我的假設，亦即，使用衍生工具的企業在遵循161號準則後，其投資不足或過度投資的可能性降低，此意味著企業投資效率的提升，因此說明了財務會計準則公報第161號之施行，有助於企業投資效率之提升。

This paper examines whether SFAS No.161 can improve corporate investment efficiency. I hypothesize that the enhanced disclosures under SFAS No.161 can reduce information asymmetry, facilitating corporate investment efficiency by inhibiting capital market participants’ adverse selection and managers’ moral hazards. The research analyzes the 10-Ks of non-financial and non-utility U.S.-listed companies from 2004 to 2013. Using the difference-in-difference analyses I find that the likelihood of under- and overinvestment declines after the firms apply SFAS No.161, suggesting that the enhanced disclosures contain helpful information which can assist investors in understanding a firm’s derivatives used, risks managed, and the potential impacts of derivatives. It also affects managers’ behaviors. In addition, I examine changes in the investment level condition on a firm’s financial constraints. The results show that when firms are more likely to overinvest (underinvest), complying with No.161 can decrease (increase) their investment level and mitigate overinvestment (underinvestment). To cross-sectionally test the impacts on investment efficiency, I distinguish capital and noncapital investments and find that the compliance of SFAS No.161 can improve both the capital and noncapital investment efficiencies of a firm. The findings support my hypotheses that firms that use derivatives are associated with a lower likelihood of under and over-investment after complying with SFAS No.161, which represents improved investment efficiency.