我国上市银行公允价值会计顺周期效应的实证研究

发布时间：2018-07-04 16:44

本文选题：公允价值 + 顺周期效应　；参考：《浙江财经学院》2013年硕士论文

【摘要】：在2008年美国金融危机中暴露出的顺周期效应问题，将公允价值会计推到整个会计监管风口浪尖。同时消除顺周期效应也成为了公允价值会计的改革方向。正值我国会计准则与国际趋同的背景下，认清国际准则中公允价值会计的顺周期效应及其在银行系统内部的传导机制，对于我国把握国际准则未来发展方向，积极推动我国准则的国际趋同具有重要的理论意义。在此背景下，本文首先对现有公允价值会计存在的问题及其顺周期效应的传导机制进行梳理，然后通过对我国上市银行经验数据的分析和检验，考察我国上市银行系统内的公允价值顺周期效应及增量公允价值信息的披露情况。公允价值的顺周期效应即公允价值会计处理结合了银行监管等因素后会导致资产价格的螺旋式下跌，体现为一个非线性的“小冲击，大波动”过程。本文以信息传递为视角就这一过程展开了系统性分析，梳理了由公允价值自身的信息传递问题为起点到资产价格螺旋式下跌的整个过程。本文认为公允价值会计顺周期效应是一个综合概念，其本质是对资产和负债真实价值的偏离。银行系统本身在资本监管要求、风险监管机制、贷款拨备制度、薪酬激励机制等方面存在顺周期效应。公允价值会计顺周期效应是与银行系统自身的顺周期效应交互作用的结果，因此本文提出了公允价值会计的有限顺周期效应观点。本文后半部分通过股价反应模型对我国上市银行2008年至2012年间事件窗口期的经验数据的分析和检验，支持了我们的观点。在对初步数据分析后，本文发现：（1）我国上市银行对分层次公允价值信息和非公允价值计量金融工具的公允价值的披露并不统一；（2）披露分层次公允价值信息的银行主要通过第二层次公允价值计量金融工具。在对数据进行深入的分析后发现：（1）样本银行的资本充足率与公允价值运用程度的变化趋势与2008年美国金融危机向全球化扩散的进程吻合；（2）样本期间内，四类代表性金融资产中，衍生金融资产和交易性金融资产比可供出售金融资产和持有至到期投资的变动幅度更大，减值迹象明显；（3）持有金融资产比例高的银行更愿意使用衍生工具；（4）银行持有的衍生金融资产、交易性金融资产和可供出售金融资产基本以二三层次公允价值计量，且持有比例差别较大。在对我国上市银行总体样本实证检验后，本文发现：（1）公允价值会计的顺周期效应是有限的；（2）资本市场认可了我国公允价值会计相关政策变动的方向；（3）市场投资者对于银行现有的增量公允价值信息披露并不认可。本文始终认为真实相关的会计信息是缓解市场中信息不对称及金融审慎监管的重要基础，所以应对金融危机解决顺周期的方法之一就是通过要求市场主体提供真实、准确、完整的财务信息来提高市场的透明度。因此，本文在坚持公允价值会计的原则下，结合对国际上主要金融监管和会计监管的应对策略，提出以下建议：（1）解决公允价值问题的顺周期效应，需要结合金融工具、资产减值和信息披露三方面的系统性改革；（2）从会计监管角度，要坚持并推广公允价值会计的运用，增加公允价值信息的披露，特别是标准化增量公允价值信息的披露，，以提高市场参与者的认可和信息披露水平；（3）为了实现会计信息传递的目标和保持前后准则的延续统一，准则制定机构需要在任何时候保持独立性；（4）公允价值应上升到指导理念的层次，以解决极端市场环境中的不适用。
[Abstract]:At the same time, the elimination of the CIS cycle effect has also become the direction of the reform of fair value accounting. In the background of China's accounting standards and international convergence, we recognize the CIS cycle of fair value accounting in the international standards. The effect and the transmission mechanism within the banking system are of great theoretical significance for China to grasp the future development direction of international standards and actively promote the international convergence of China's standards. In this context, the present paper first combs the existing problems of the existing fair value accounting and the transmission mechanism of the CIS cycle effect, and then through the The empirical data of listed banks in China are analyzed and tested to examine the CIS cycle effect of fair value and the disclosure of incremental fair value information in the system of listed banks in China.
The CIS cycle effect of fair value, that is, the combination of fair value accounting and bank supervision, will lead to a spiral fall in asset prices, which is a nonlinear "small impact, big fluctuation" process. This paper analyses the process from the perspective of information transfer and combs the information from the fair value itself. The transfer problem is the beginning of the whole process of the spiral fall of asset prices. This paper holds that the CIS cycle effect of fair value accounting is a comprehensive concept, its essence is the deviation of the real value of assets and liabilities. The bank system itself exists in the aspects of capital supervision requirements, risk supervision mechanism, loan provision system, compensation incentive mechanism and so on. The CIS cycle effect. The CIS cycle effect of fair value accounting is the result of the interaction of the CIS cycle effect of the banking system itself. Therefore, this paper puts forward the view of the limited CIS cycle effect of fair value accounting.
The second half of this paper analyzes and tests the experience data of the event window period of the listed banks from 2008 to 2012 by the stock price response model. After the analysis of the preliminary data, the paper finds that: (1) the fair value of the fair value information of the listed banks in China and the fair value of the non fair value measurement financial instruments in China's listed banks. The disclosure of value is not uniform; (2) banks that disclose hierarchical fair value information mainly measure financial instruments through second levels of fair value.
After an in-depth analysis of the data, it is found that: (1) the change trend of the capital adequacy ratio and the fair value application degree of the sample bank coincides with the process of the 2008 American financial crisis to the process of globalization. (2) in the period of the sample, four types of representative financial assets are comparable to the financial assets of the derivative gold and the trading financial assets. The change range of assets and held to maturity investment is greater, the sign of value reduction is obvious; (3) banks holding high proportion of financial assets are more willing to use derivatives; (4) banks hold derivative financial assets, trading financial assets and available financial assets are basically measured at the fair value of two or three levels, and the proportion of holding is quite different.
After the empirical test of the overall sample of listed banks in China, this paper finds that: (1) the CIS cycle effect of fair value accounting is limited; (2) the capital market recognizes the direction of relevant policy changes of fair value accounting in China; (3) market investors do not agree on the existing fair value information disclosure of the bank.
This paper always believes that real related accounting information is an important basis for alleviating information asymmetry and prudent supervision in the market. Therefore, one of the ways to deal with the CIS cycle of the financial crisis is to improve the transparency of the market by asking the market participants to provide real, accurate and complete financial information. Therefore, this article is insisting on the fair price. Under the principle of value accounting, the following suggestions are put forward in combination with the international major financial supervision and accounting supervision strategies: (1) to solve the CIS cycle effect of the fair value problem, the systematic reform of the three aspects of the financial instruments, asset impairment and information disclosure should be combined; (2) the fair value accounting should be adhered to and popularized from the perspective of accounting supervision. To increase the disclosure of fair value information, especially the disclosure of standardized and incremental fair value information, in order to improve the recognition of market participants and the level of information disclosure; (3) in order to achieve the goal of the transmission of accounting information and to maintain the continuity of the standards before and after the maintenance, the standard setting institutions need to remain independent at any time; (4) fair and fair. Value should rise to the level of guiding philosophy so as to solve the problem of non applicability in extreme market environment.
【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F224

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