题名

衍生性金融商品之使用對盈餘屬性及盈餘資訊性之影響

并列篇名

The Impact of Financial Derivative Usage on Earnings Attributes and Earnings Informativeness

DOI

10.6656/MR.2009.28.2.CHI.77

作者

劉志諒(Chih-Liang Liu)；賴淑妙(Shu-Miao Lai)

关键词

衍生性金融商品 ； 避險 ； 盈餘屬性 ； 盈餘資訊性 ； Derivatives ； Hedge ； Earnings attributes ； Earnings informativeness

期刊名称

管理評論

卷期/出版年月

28卷2期（2009 / 04 / 01）

页次

77 - 100

内容语文

繁體中文
中文摘要

本文以台灣上市公司爲研究對象，探討公司使用衍生性金融商品避險對於盈餘屬性及盈餘資訊性的影響。首先，本文探討不同面向的盈餘屬性（盈餘持續性、盈餘可預測性、盈餘平穩化程度以及應計項目品質）與避險比率之關聯性。當控制影響盈餘屬性的重要因素後，實證結果顯示避險比率愈高的公司，其盈餘屬性相對較好，隱含避險活動有助強化公司的盈餘品質特性。其次，本文以未來盈餘反應係數(FERC)捕捉不同避險程度之公司的盈餘資訊性。實證顯示避險比率愈高的公司FERC 顯著爲正，代表公司高度使用衍生性金融商品避險有助於提高盈餘資訊性，因此投資人以當期盈餘數字用來預測未來盈餘表現的能力較好。最後，不論控制自我選擇偏誤、使用其它盈餘屬性衡量變數或者在盈餘資訊性模型中控制了遺漏變數以及獲利性的影響等敏感性測試後，本文皆獲致與前述一致之實證結果。
英文摘要

This study investigates the impact of financial derivatives usage on earnings attributes and earnings informativeness. First, we examine the relation between the derivatives usage and several attributes of earnings: accrual quality, persistence, predictability, and smoothness. After controlling for innate determinants of the earnings attributes, empirical results indicate that firms hedged with derivatives can smooth earnings volatility, enhance earnings predictability and persistence, and improve accrual quality. This suggests that firms hedged with derivatives can improve earnings attributes. Second, we use future earnings response coefficient, denoted by FERC, to capture hedge firms' earnings informativeness. We find that firms with higher hedge ratio have high FERC, suggesting that derivatives usage for hedging can improve current earnings informative about future earnings. These findings are robust to controlling for self-selection bias in earnings attribute model, to using alternative proxies for the earnings attributes, and to controlling for potentially omitted correlated variables in earnings informativeness model.
主题分类 社會科學 > 經濟學
社會科學 > 管理學
参考文献
  1. Wang, Wanncherng,Shiang-Heng Kao(2005).Discretionary Accruals, Derivatives and Income Smoothing.Taiwan Accounting Review,5,143-168.
    連結：
  2. Aboody, David,Baruch Lev(1998).The Value Relevance of Intangibles: The Case of Software Capitalization.Journal of Accounting Research,36,161-191.
  3. Ahmed, Anwer S.,Bruce K. Billings,Richard M. Morton,Mary Stanford-Harris(2002).The Role of Accounting Conservatism in Mitigating Bondholder-Shareholder Conflicts over Dividend Policy and in Reducing Debt Costs.The Accounting Review,77,867-890.
  4. Ali, Ashiq,Paul Zarowin(1992).The Role of Earnings Levels in Annual Earnings-Returns Studies.Journal of Accounting Research,30,286-296.
  5. Arya, Anil,Jonathan Glover,Shyam Sunder(1998).Earnings Management and the Revelation Principle.Review of Accounting Studies,3,7-34.
  6. Baginski, Stephen P.,Kenneth S. Lorek,G. Lee Willinger,Bruce C. Branson(1999).The Relationship between Economic Characteristics and Alternative Annual Earnings Persistence Measures.The Accounting Review,74,105-120.
  7. Balsam, Steven,Jagan Krishnan,Joon S. Yang(2003).Auditor Industry Specialization and Earnings Quality.Auditing: A Journal of Practice & Theory,22,71-97.
  8. Working paper
  9. Working paper
  10. Barton, Jan(2001).Does the Use of Financial Derivatives Affect Earnings Management Decisions?.The Accounting Review,76,1-26.
  11. Basu, Sudipta(1998).The Conservatism Principle and the Asymmetric Timeliness of Earnings.Journal of Accounting and Economics,24,3-37.
  12. Biddle, Gary C.,Gim-Seong Seow,Andrew F. Siegel(1995).Relative versus Incremental Information Content.Contemporary Accounting Research,12,1-23.
  13. Working paper
  14. Bushman, Robert,Qi Chen,Ellen Engel,Abbie Smith(2004).Financial Accounting Information, Organizational Complexity and Corporate Governance Systems.Journal of Accounting and Economics,37,167-201.
  15. Cahan, Steven F.,Wei Zhang(2006).After Enron: Auditor Conservatism and Ex-Andersen Clients.The Accounting Review,81,49-82.
  16. Working paper
  17. Collins, Daniel W.,Sagar P. Kothari,Jay Shanken,Richard G. Sloan(1994).Lack of Timeliness and Noise as Explanations for the Low Contemporaneous Return-Earnings Association.Journal of Accounting and Economics,18,289-324.
  18. DaDalt, Peter,Gerald D. Gay,Jouahn Nam(2002).Asymmetric Information and Corporate Derivates Use.Journal of Futures Markets,22,241-267.
  19. Dechow, Patricia M.,llia D. Dichev(2002).The Quality of Accruals and Earnings: The Role of Accruals Estimation Errors.The Accounting Review,77,35-59.
  20. Dechow, Patricia M.,Richard G. Sloan,Amy P. Sweeney(1995).Detecting Earnings Management.The Accounting Review,70,193-225.
  21. DeFond, Mark L.,Chul W. Park(1997).Smoothing Income in Anticipation of Future Earnings.Journal of Accounting and Economics,23,115-139.
  22. DeMarzo, Peter M.,Darrell Duffie(1991).Corporate Financial Hedging with Proprietary Information.Journal of Economic Theory,53,261-286.
  23. Demski, Joel S.(1998).Performance Measure Manipulation.Contemporary Accounting Research,15,261-285.
  24. Francis, Jennifer,Ryan LaFond,Per M. Olsson,Katherine Schipper(2004).Costs of Equity and Earnings Attributes.The Accounting Review,79,967-1010.
  25. Francis, Jennifer,Ryan LaFond,Per M. Olsson,Katherine Schipper(2005).The Market Pricing of Accruals Quality.Journal of Accounting Economics,39,295-327.
  26. Frankel, Richard,Maureen McNichols(1995).Discretionary Disclosure and External Financing.The Accounting Review,70,135-150.
  27. Froot, Kenneth A.,David S. Scharfstein,Jeremy C. Stein(1993).Risk Management: Coordinating Corporate Investment and Financing Policies.Journal of Finance,48,1629-1658.
  28. Fudenberg, Drew,Jean Tirole(1995).A Theory of Income and Dividend Smoothing Based on Incumbency Rents.Journal of Political Economy,103,75-93.
  29. Graham, John R.,Daniel A. Rogers(2002).Do Firms Hedge in Response to Tax Incentives.Journal of Finance,57,815-839.
  30. Guay, Wayne,Sagar P. Kothari(2003).How Much Do Firms Hedge With Derivatives?.Journal of Financial Economics,70,423-461.
  31. Healy, Paul M.(1985).The Effect of Bonus Schemes on Accounting Decisions.Journal of Accounting and Economics,7,85-107.
  32. Johnson, Marilyn F.,Ron Kasznik,Karen K. Nelson(2002).The Impact of Securities Litigation Reform on the Disclosure of Forward-Looking Information by High Technology Firms.Journal of Accounting Research,39,297-327.
  33. Kasznik, Ron,Baruch Lev(1995).To Warn or Not To Warn: Management Disclosures in the Face of An Earnings Surprise.The Accounting Review,70,113-134.
  34. Kirschenheiter, Michael,Nahum D. Melumad(2002).Can Big Bath and Earnings Smoothing Co-Exist as Equilibrium Financial Reporting Strategies?.Journal of Accounting Research,40,761-796.
  35. Kothari, Sagar P.,Andrew J. Leone,Charles E. Wasley(2005).Performance Matched Discretionary Accrual Measures.Journal of Accounting and Economics,39,163-197.
  36. Lambert, Richard A.(1984).Income Smoothing as Rational Equilibrium Behavior.The Accounting Review,59,604-618.
  37. Leland, Hayne E.(1998).Agency Costs, Risk Management, and Capital Structure.The Journal of Finance,53,1212-1243.
  38. Lev, Baruch(1983).Some Economic Determinants of the Time-series Properties of Earnings.Journal of Accounting and Economics,5,31-38.
  39. Lipe, Robert(1990).The Relation between Stock Returns and Accounting Earnings Given Alternative Information.The Accounting Review,65,49-71.
  40. Liu, Jing,Doron Nissim,Jacob Thomas(2002).Equity Valuation Using Multiples.Journal of Accounting Research,40,135-172.
  41. Lundholm, Russell,Linda Myers(2002).Bringing the Future Forward: The Effect of Disclosure on the Returns-Earnings Relation.Journal of Accounting Research,40,809-839.
  42. McGough, Robert C.(1995).SEC Seeks Aid in Devising Yardsticks for Funds' Risk.The Wall Street Journal,March,1.
  43. Myers, Stewart C.(1977).Determinants of Corporate Borrowing.Journal of Financial Economics,5,147-175.
  44. Penman, Stephen H.,Xiao-Jun Zhang(2002).Accounting Conservatism, the Quality of Earnings and Stock Returns.The Accounting Review,77,237-264.
  45. Pincus, Morton,Shivaram Rajgopal(2002).The Interaction between Accrual Management and Hedging: Evidence from Oil and Gas Firms.The Accounting Review,77,127-160.
  46. Revsine, Lawrence,Daniel Collins,Bruce W. Johnson(2005).Financial Reporting and Analysis.Upper Saddle River, NJ:Prentice Hall.
  47. Reynolds, J. Kenneth,Jere R. Francis(2000).Does Size Matter? The Influence of Large Clients on Office-Level Auditor Reporting Decisions.Journal of Accounting and Economics,30,375-400.
  48. Sankar, Mandira R.,K. R. Subramanyam(2002).Reporting Discretion and Private Information Communication through Earnings.Journal of Accounting Research,39,365-386.
  49. Smith, Clifford W.,Rene M. Stulz(1985).The Determinants of Firms' Hedging Policies.Journal of Financial and Quantitative Analysis,20,391-405.
  50. Stulz, Rene M.(1996).Rethinking Risk Management.Journal of Applied Corporate Finance,9,8-24.
  51. Trueman, Brett,Sheridan Titman(1988).An Explanation for Accounting Income Smoothing.Journal of Accounting Research,26,127-139.
  52. Tucker, Jennifer W.,Paul A. Zarowin(2006).Does Income Smoothing Improve Earnings Informativeness.The Accounting Review,81,251-270.
  53. Tufano, Peter(1996).Who Manages Risk? An Empirical Examination of Risk Management Practices in the Gold Mining Industry.The Journal of Finance,51,1097-1137.
  54. Watts, Ross L.,Jerold L. Zimmerman(1986).Positive Accounting Theory.Englewood Cliffs, NY:Prentice Hall..
  55. Watts, Ross L.,Jerold L. Zimmerman(1978).Towards a Positive Theory of the Determination of Accounting Standards.The Accounting Review,53,112-134.
  56. White, Halbert(1980).A Heteroskedasticity-Consistent Covariance Matrix Estimator and A Direct Test for Heteroskedasticity.Econometrica,48,817-838.
  57. Zmijewski, Mark E.,Robert L. Hagerman(1981).An Income Strategy Approach to the Positive Theory of Accounting Standard Setting/Choice.Journal of Accounting and Economics,3,129-149.
被引用次数
  1. 陳昭蓉、許崇源、何里仁(2017)。董事會在新會計準則過渡期間所扮演之角色：以發行員工認股權為例。中山管理評論，25(4)，875-933。
  2. 林嬌能、林晨(2019)。企業使用衍生性金融工具與租稅規劃之關聯性。會計學報，8(1)，73-112。
  3. 盧鎮瑋、陳慶隆、林秀謙(2014)。衍生性金融商品使用程度對會計資訊價值攸關性之影響─避險與非避險使用動機之檢測。管理與系統，21(2)，329-361。
  4. 蘇裕惠,楊孟萍,張明惠(2019)。審計委員會對不同目的衍生性商品交易之影響。中華會計學刊，15(2)，239-286。
  5. 魏慧珊、歐仁和、黃志偉、張傳章(2016)。臺灣財務領域研究之回顧與展望。管理學報，33(1)，105-137。
print cancel