公允价值计价的会计信息相关性研究
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摘要
人们普遍认同公允价值计价为投资者决策提供的会计信息具有较强的相关性,但2008年美国爆发的次贷危机引起了人们对公允价值的再思考。在这次危机引起的争论中,金融界认为正是公允价值的顺周期效应放大了市场风险,公允价值的相关性受到较大质疑。基于这样的背景,本文意在检验在我国资本市场中,公允价值提供的会计信息是否具有相关性,及其相关性的强弱。
本文借鉴国内外学者对会计信息相关性的研究方法,采用Ohlson价格模型评价公允价值计量是否对资本市场股价具有显著影响。在该模型基础上,引入公允价值对损益及净资产的影响,将模型自变量每股收益和每股净资产进行了分解,选取2007-2009年A股上市公司年报数据为样本,通过相关分析及回归分析,得到以下结论:公允价值计价提供的会计信息具有价值相关性,但A股市场经验数据显示新准则实行后的3年里,其相关性逐年降低。这主要是由于公允价值引入我国时间较短,且样本期间正是次贷危机发生前后,投资者出于审慎性考虑,对市场信息作出的合理反应。这一研究结果,有助于我们了解公允价值计量属性在我国的运用情况,指导投资者行为。同时提出了完善公允价值应用的几点建议,具有一定的现实意义。
Conventionally,the information of fair value accounting is relevant to making decisions. But from 2008, the subprime mortgage crisis in the United States gave rise to reconsideration of the fair value accounting. During the debate caused by this crisis, the financial community deemed that the pro-cyclical effect of fair value enlarged the market risk, and its relevance was queried. Based on this background, this paper is intended to test in the China’s capital market, if the information provided by fair value accounting is relevant, and the strength of its relevance.
This paper references the foreign and domestic scholars’research methods on accounting information relevance, using Ohlson Model evaluate whether the fair value accounting have a significant impact on stock price in capital market. Based on the model, this paper introduces the profit or loss and net assets influenced by changes of fair value, selecting the 2007-2009 Annual Report of the A-share market companies as the sample data. Through the correlation and regression analysis, we obtain the following conclusions: The accounting information provided by fair value accounting is relevant to the stock price, but empirical evidence from A-share market shows, after the implementation of the new accounting standards, this relevance weakened year by year. This is mainly due to the introduction of fair value for a shorter period of time, and period for selecting samples is the subprime mortgage crisis happened in. Prudent investors made reasonable responses to market information. This study will help us understand the usage of fair value measurement attributes in China, and guide investor behavior. This paper also tries to provide some suggestions to perfect the implementation of fair value accounting, having some theoretical and practical significance.
本文借鉴国内外学者对会计信息相关性的研究方法,采用Ohlson价格模型评价公允价值计量是否对资本市场股价具有显著影响。在该模型基础上,引入公允价值对损益及净资产的影响,将模型自变量每股收益和每股净资产进行了分解,选取2007-2009年A股上市公司年报数据为样本,通过相关分析及回归分析,得到以下结论:公允价值计价提供的会计信息具有价值相关性,但A股市场经验数据显示新准则实行后的3年里,其相关性逐年降低。这主要是由于公允价值引入我国时间较短,且样本期间正是次贷危机发生前后,投资者出于审慎性考虑,对市场信息作出的合理反应。这一研究结果,有助于我们了解公允价值计量属性在我国的运用情况,指导投资者行为。同时提出了完善公允价值应用的几点建议,具有一定的现实意义。
Conventionally,the information of fair value accounting is relevant to making decisions. But from 2008, the subprime mortgage crisis in the United States gave rise to reconsideration of the fair value accounting. During the debate caused by this crisis, the financial community deemed that the pro-cyclical effect of fair value enlarged the market risk, and its relevance was queried. Based on this background, this paper is intended to test in the China’s capital market, if the information provided by fair value accounting is relevant, and the strength of its relevance.
This paper references the foreign and domestic scholars’research methods on accounting information relevance, using Ohlson Model evaluate whether the fair value accounting have a significant impact on stock price in capital market. Based on the model, this paper introduces the profit or loss and net assets influenced by changes of fair value, selecting the 2007-2009 Annual Report of the A-share market companies as the sample data. Through the correlation and regression analysis, we obtain the following conclusions: The accounting information provided by fair value accounting is relevant to the stock price, but empirical evidence from A-share market shows, after the implementation of the new accounting standards, this relevance weakened year by year. This is mainly due to the introduction of fair value for a shorter period of time, and period for selecting samples is the subprime mortgage crisis happened in. Prudent investors made reasonable responses to market information. This study will help us understand the usage of fair value measurement attributes in China, and guide investor behavior. This paper also tries to provide some suggestions to perfect the implementation of fair value accounting, having some theoretical and practical significance.
引文
[1]葛家澍,陈秧秧.美国SEC“关于调到市价会计的研究”报告评价[J] .财会通讯,2009,(6):6—8.
[2]财政部.企业会计准则—基本准则[M].北京:经济科学出版社,2006.
[3]财政部.中国企业会计准则与国际财务报告准则持续趋同路线图[J] .会计研究,2010,(4):89-90.
[4] FASB. Statement of Financial Accounting Standards No.157,Fair value measurements[S]. http://www.fasb.org, 2006.
[5] IASB. International Accounting Standard 39,Financial instrument: recognition and measurement[S]. http://www.iasb.org, 2003.
[6]卢永华,杨晓军.公允价值会计计量属性研究[J].会计研究,2000,(4):60—62.
[7]葛家澍.关于会计计量的新属性--公允价值[J].上海会计, 2001,(1):3—6.
[8]常勋.公允价值计量研究[J].财会月刊,2004,(1):3—4.
[9]葛家澍.论会计信息质量特征相关问题—兼为“公允价值”正名[J].财会通讯,2009,(11):16—18.
[10] AICPA. True blood report [R].1973.
[11]刘玉廷.把握规律坚持原则贯彻理念积极推进我国会计准则建设[J].财务与会计,2006,(21): 4—6.
[12] Nelson K. K. Fair Value Accounting for Banks: An Empirical Analysis of SFAS107[J]. The Accounting Review, 1996, 2: 161一182.
[13] Venkatachlam M. Value-Relevance of Banks’Derivatives Disclosure[J]. Journal of Accounting and Economics, 1996, 22:327-355.
[14] Eccher E.A,K. Ramesh.S. Ramu Thiagarajan. Fair Value Disclosures by Bank Holding Companies [J]. Journal of Accounting and Economics, 1996, 22: 79一117.
[15] Khurana I.K., Kim M.S.Relative Value Relevance of Historical Cost vs. Fair Value: Evidence from Bank Holding Companies [J]. Journal of Accounting and Public Policy, 2003,22: 19-42.
[16]裘宗舜.公允价值计量研究的国际进展及启示[J].财务与会计,2007,(21):14-17.
[17]邓传洲.公允价值的价值相关性:B股公司的证据[J].会计研究,2005,(10):55-62.
[18]谢荣,赵春光等.公允价值与会计盈余的价值相关性—评新会计准则的影响[EB/01]. http://doc.esnai.com/showdoc.asp?docid=16143, 2009-03-20.
[19]王建玲,宋林,张学良.公允价值计量能提高公司会计盈余信息的价值相关性吗—来自金融保险、建筑及房地产上市公司的证据[J].当代经济科学, 2008,6:104-109.
[20]朱凯,李琴,潘金凤.信急环境与公允价值的股价相关性—来自中国证券市场的经验证据[J].财经研究,2008,(7): 133一143.
[20]陆宇峰.净交产倍率和市盈率的投资决策有用性[M].上海:三联书店,2000.
[21]陈小悦,陈晓,顾斌.中国股市弱式效率的实证研究[J].会计研究,1997,(9):14—18.
[22]罗胜强.公允价值会计:理论分析与经验证据[J].财经理论与实践,2006,(5):61—67.
[23]葛家澍.财务会计理论方法准则探讨[M].北京:中国财政经济出版社,2002.
[24]葛家澍.关于在财务会计中采用公允价值的探讨[J].会计研究,2007(11):3—8.
[25]葛家澍.会计信息质量特征与会计计量属性的选择[J].厦门大学学报(哲学社会科学版),2007,(6):4—6.
[26]杨翼飞.会计信息质量特征研究[P].博士论文.
[27]陈敏.公允价值的本质及其理论缺陷浅析[J].财会月刊,2005,(10):5—6.
[28]黄世忠.公允价值会计:面向21世纪的计量模式[J].会计研究,1997(12):1—4.
[29]刘强安.公允价值会计信息相关且可靠吗?--来自资本市场研究的证据[J].当代会计评论,2008,(12):122--136.
[30]孙铮,杨世忠.会计信息质量特征[M].大连:大连出版社,2005.
[31]余晓林.刍议公允价值对企业财务的影响[J].财会研究,2010(20):45—48.
[32]杨晨杰.金融工具计量研究—基于IASC/IASB的若干经验[J].财会通讯,2010(28):17—21.
[2]财政部.企业会计准则—基本准则[M].北京:经济科学出版社,2006.
[3]财政部.中国企业会计准则与国际财务报告准则持续趋同路线图[J] .会计研究,2010,(4):89-90.
[4] FASB. Statement of Financial Accounting Standards No.157,Fair value measurements[S]. http://www.fasb.org, 2006.
[5] IASB. International Accounting Standard 39,Financial instrument: recognition and measurement[S]. http://www.iasb.org, 2003.
[6]卢永华,杨晓军.公允价值会计计量属性研究[J].会计研究,2000,(4):60—62.
[7]葛家澍.关于会计计量的新属性--公允价值[J].上海会计, 2001,(1):3—6.
[8]常勋.公允价值计量研究[J].财会月刊,2004,(1):3—4.
[9]葛家澍.论会计信息质量特征相关问题—兼为“公允价值”正名[J].财会通讯,2009,(11):16—18.
[10] AICPA. True blood report [R].1973.
[11]刘玉廷.把握规律坚持原则贯彻理念积极推进我国会计准则建设[J].财务与会计,2006,(21): 4—6.
[12] Nelson K. K. Fair Value Accounting for Banks: An Empirical Analysis of SFAS107[J]. The Accounting Review, 1996, 2: 161一182.
[13] Venkatachlam M. Value-Relevance of Banks’Derivatives Disclosure[J]. Journal of Accounting and Economics, 1996, 22:327-355.
[14] Eccher E.A,K. Ramesh.S. Ramu Thiagarajan. Fair Value Disclosures by Bank Holding Companies [J]. Journal of Accounting and Economics, 1996, 22: 79一117.
[15] Khurana I.K., Kim M.S.Relative Value Relevance of Historical Cost vs. Fair Value: Evidence from Bank Holding Companies [J]. Journal of Accounting and Public Policy, 2003,22: 19-42.
[16]裘宗舜.公允价值计量研究的国际进展及启示[J].财务与会计,2007,(21):14-17.
[17]邓传洲.公允价值的价值相关性:B股公司的证据[J].会计研究,2005,(10):55-62.
[18]谢荣,赵春光等.公允价值与会计盈余的价值相关性—评新会计准则的影响[EB/01]. http://doc.esnai.com/showdoc.asp?docid=16143, 2009-03-20.
[19]王建玲,宋林,张学良.公允价值计量能提高公司会计盈余信息的价值相关性吗—来自金融保险、建筑及房地产上市公司的证据[J].当代经济科学, 2008,6:104-109.
[20]朱凯,李琴,潘金凤.信急环境与公允价值的股价相关性—来自中国证券市场的经验证据[J].财经研究,2008,(7): 133一143.
[20]陆宇峰.净交产倍率和市盈率的投资决策有用性[M].上海:三联书店,2000.
[21]陈小悦,陈晓,顾斌.中国股市弱式效率的实证研究[J].会计研究,1997,(9):14—18.
[22]罗胜强.公允价值会计:理论分析与经验证据[J].财经理论与实践,2006,(5):61—67.
[23]葛家澍.财务会计理论方法准则探讨[M].北京:中国财政经济出版社,2002.
[24]葛家澍.关于在财务会计中采用公允价值的探讨[J].会计研究,2007(11):3—8.
[25]葛家澍.会计信息质量特征与会计计量属性的选择[J].厦门大学学报(哲学社会科学版),2007,(6):4—6.
[26]杨翼飞.会计信息质量特征研究[P].博士论文.
[27]陈敏.公允价值的本质及其理论缺陷浅析[J].财会月刊,2005,(10):5—6.
[28]黄世忠.公允价值会计:面向21世纪的计量模式[J].会计研究,1997(12):1—4.
[29]刘强安.公允价值会计信息相关且可靠吗?--来自资本市场研究的证据[J].当代会计评论,2008,(12):122--136.
[30]孙铮,杨世忠.会计信息质量特征[M].大连:大连出版社,2005.
[31]余晓林.刍议公允价值对企业财务的影响[J].财会研究,2010(20):45—48.
[32]杨晨杰.金融工具计量研究—基于IASC/IASB的若干经验[J].财会通讯,2010(28):17—21.