三十四號公報與股票報酬之關聯性研究-以電子業為例

Abstract

為了使金融商品的真實價值能充份反映於財務報表，三十四號公報「金融商品之會計處理準則」於95年開始實施。企業首次適用時，由於金融商品重分類及評價，將產生「會計原則變動累積影響數」以及業主權益調整項目的影響數。證交所及櫃買中心要求所有上市櫃公司於95年1月底前公告此影響數。 企業首次適用34號公報產生對損益及業主權益之影響數，主要是因為投資之金額由成本與市價孰低法重新以公平價值評價，以及衍生性金融商品亦由表外改為以市價入帳。本研究以上市公司之電子業為對象，研究此公告影響數是否具資訊內涵，亦即34號公報適用時對金融商品產生之新評價是否能提供新的資訊，改變投資人對未來現金流量之預期。 本研究為事件研究法，樣本為296家公司，以公告日當天及前後3天共7天為事件期，並以市場模型估計異常報酬。首先將樣本公司依其所公告之影響數為好消息或壞消息分為兩組，檢視二者於事件期之異常報酬是否分別為正的和負的。接著再以迴歸模型分析異常報酬與公告影響數間之關聯性。 實證結果顯示，在事件期中好消息組確實有顯著正的異常報酬，而壞消息組並未觀察出有顯著負的異常報酬。然而，回歸分析結果顯示公告影響數與累積異常報酬率有顯著的正向相關，特別是業主權益之影響數對累積異常報酬有顯著的解釋能力。因而整體而言，實證結果指出，企業公告首次適用34號公報之影響數是具有資訊內涵的，能改變市場對未來現金流量之預期，而造成股價之變動。

To reflect the true value of financial instruments in the financial reports, Taiwan’s Statement of Financial Accounting Standards No.34, Accounting for Financial Instruments, was effective in 2006. When it was first applied, there would be “cumulative effect of changes in accounting principles” and a corresponding adjustment to equity in the 2006 first quarter financial reports due to the reclassification and re-valuation of financial instruments. Taiwan Stock Exchange Center and the OTC required all public firms announce the amounts. The effect of the Taiwan’s SFAS No.34 was basically due to the changes in valuation of investments from LCM to fair value and the inclusion of financial derivatives in the financial reports at fair value. This study investigated whether the amounts announced by electronics firms has information contents; that is, whether the new valuations of financial instruments could provide incremental information to alter investors’ prediction of firm’s future cash flows. This event study took 296 observations and the window is 7 days centered on the announcement dates. The abnormal returns were estimated by the market model. Firstly, observations were classified as “good news firms” and “bad news firms” by the amounts announced in order to examine the abnormal return patterns of the two groups. Secondly, regression models were used to analyze the relation of abnormal returns and the amounts announced. The empirical results revealed that the good news firms indeed have shown positive abnormal returns during the event periods, and the abnormal returns of bad news firms was not significantly negative. However, the results of regression have showed that there was significantly positive correlation between cumulative abnormal returns and the amounts announced. Particularly, the effect on equity has significant explanatory power to cumulative abnormal returns. As a result, generally speaking, the results indicated that the effect amounts announced when the Taiwan’s SFAS No.34 put into practice had information contents, and they could alter investors’ beliefs of future cash flows and consequently caused the changes of stock prices.