我國於2006年實施財務會計準則公報第34號「金融商品之會計處理準則」，要求對衍生性金融性商品的使用情形，於財務報表加以認列而非附註揭露，藉以提升財務報表的資訊透明度，降低資訊不對稱的程度，預期此公報的實施將影響公司的會計資訊價值攸關性。本研究以我國第34號公報的公司實施為對象，採取Ohlson股價評價模式，以衍生性金融商品使用程度為關鍵解釋變數，探討其透過每股盈餘及權益帳面價值對股價之影響。 實證結果發現:在第34號公報實施後，因提供比歷史成本更具攸關及決策有用之資訊，導致衍生性金融商品的使用顯著提高盈餘資訊的價值攸關性。其次，本研究的實證結果亦支持Burgstahler & Dichev(1997) 的觀點，亦即權益價值是盈餘或權益帳面價值的遞增凸函數且呈互補關係，當衍生性金融商品使用顯著提高盈餘資訊的價值攸關性時，權益帳面價值的價值攸關性則顯著下降。本研究進行若干敏感性測試，實證結果有相當的穩固性 SFAS No.34 “The Principles of Accounting for Financial Instruments” promulgated in 2006 requires public firms in Taiwan to recognize rather than disclose the usage of derivatives in order to increase the transparency of financial statement as well as to decrease the degree of information asymmetry. It is expected that the enforcement of SFAS No.34 will influence the value-relevance of accounting information, specifically earnings and book value of equity. From the perspective of the magnitude of derivatives usage, this study aims to examine the impact of derivatives usage on stock value through Ohlson model. The empirical results show that the implementation of SFAS No.34, which offers more relevant and determinant information than historical cost, leads to the significant increasing of value relevance of earning information resulted from using derivatives. In addition, the empirical results also support the evidences documented by Burgstahler & Dichev (1997) that equity value is convex function of earnings or equity book value. In other words, while the usage of derivatives raises the value relevance of earning variable, yet, the value relevance of equity book value diminishes. These results remain robust to various specification tests.
