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    Title: 衍生性金融商品資訊內涵之檢測 : 兼論第34號財務會計準則公報之效果
    Other Titles: Earnings persistence and valuation implication for listed firms with financial derivatives usage under SFAS no.34
    Authors: 龔文彬;Kung, Wen-Pin
    Contributors: 淡江大學會計學系碩士班
    張寶光;陳慶隆;Chang, Bao-Guang;Chen, Ching-Lung
    Keywords: 衍生性金融商品;盈餘反應係數;Financial Derivatives;Earnings Response Coefficients;Mishkin
    Date: 2011
    Issue Date: 2011-12-28 18:22:04 (UTC+8)
    Abstract: 本研究檢視衍生性金融商品的使用程度,是否因第34號公報的實施,而顯著影響公司的盈餘與股價報酬之間的關係。其次,分析在第34號公報實施之後,資本市場投資者是否更理性反應公司應用衍生性金融商品的使用程度。本文以我國2004至2008年上市公司之一般產業為研究對象,剔除金融保險業及資料不齊全之公司後進行實證。首先,採用複迴歸檢測第34號公報適用前後盈餘與股價報酬關聯性,進而採取Mishkin (1983) 理性預期模型,探討34號公報後,市場對公司應用衍生性金融商品是否有過度反應或反應不足之現象。實證結果發現,採用第34公報後將顯著提高公司財務報表的透明度,進一步提高衍生性金融商品的使用程度對提高盈餘與股價報酬關聯性;市場理性預期的測試部份,實證發現,雖然第34號公報的公佈實施有助於提高財務報表的透明度,投資者解讀公司衍生性金融商品之使用與盈餘持續性的關係時,皆能理性反應,並未受到第34號公報實施的影響。
    This research examines the possible impact on firms’ earnings and stock return after implementing SFAS No.34 which directly imposes effect on financial derivatives usage. Furthermore, this research also analyzes post SFAS No.34’s effect on market investors’ rational response of financial derivatives usage. This research adopts empirical analyzing method and studis Taiwan listed firms for year 2004 to 2008, and meanwhile, excludes financial firms and firms with missing data. In order to analyze the alteration in relationship between earnings and stock returns, this study examines both pre adoption and post adoption period of SFAS No.34 using multiple regressions. Moreover, by using the Mishkin’s rational expectation model (1983), this study discusses if market has overreacted or underreacted to firms’ application of financial derivatives. Empirical results indicate that implementing SFAS No.34 will significantly enhance corporate financial statement transparency as well as improve financial derivatives usage to enhance the relationship between firms’ earnings and stock returns. On the other hand, the test of market rational expectations suggests that although SFAS No.34 helps to enhance corporate financial statement transparency, however, market investors’ rational on interpreting corporate financial derivatives usage and earnings persistency relationship remains. Therefore, interpretation ability has not been affected by adopting SFAS No.34.
    Appears in Collections:[會計學系暨研究所] 學位論文

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