公允价值对我国商业银行业绩的影响研究

发布时间：2018-01-03 23:33

本文关键词：公允价值对我国商业银行业绩的影响研究　出处：《西南财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：从原始社会结绳记事伊始,会计随着社会进步的而发展,对不同会计对象进行计量的会计计量就成为了会计系统的核心职能,从复式簿记进行记录到通过财务三表最终汇总信息,提供给多方信息使用者,都离不开计量。会计计量方法和原则成为技术层面重要的因素。在过去很长的一段时间,由于历史成本计量具有计量方法简便、取得的历史数据的可靠性和可验证性的特性,使得历史成本计量一直成为会计计量的首选。但是,历史成本计量由于其本身特点,必然带来了历史数据缺乏相关性的固有局限。因此,实务工作界和理论界开始研究讨论计量属性的新的选择,希望能另辟蹊径,解决这一问题,经过前人的努力,公允价值计量浮出水面,成为现今会计计量属性的另一成员,也成为重要的计量选择之一。早在1952年,名为《会计辞典》书中就能查阅到关于公允价值的定义,这一定义出自美国学者Eric L. Kohler,使得美国成为研究公允价值最早的国家,到1961年,美国注册会计师协会的Maurice. Moonitz也提到了相类似的“公允价值”概念。此后FASB对公允价值的定义进行了多次修改,并且正式形成理论结果。随着研究的不断进行,公允价值的概念也在不断的改进、完善。同时,随着我国市场经济的不断成熟和发展,带动了更多的企业成长并为国家经济做出了巨大贡献,公司经营管理理念越发专业和成熟,不论是公司管理层还是投资者,更加理性的关注公司业绩,以为后续的决策做出相应反应。回顾2007年的美国次贷危机,距今不长的时间里,这次事件给全球金融带来了近百年中最为严重的后果,一夜之间多家资历雄厚的商业投资银行破产,失业人员数量暴增。这也同时掀起了社会各界包括监管机构、金融业界、各国学术界和媒体的空前热议,对其发生的原因和传导机制进行了分析,而会计准则中的公允价值计量方法成为众矢之的,被许多学者责认为是导致危机爆发和传导的直接介质。有学者进一步分析指出,金融危机中公允价值计量方法通过会计信息,加大了相关金融工具在市场反应中的价值反映,若市场低落其价值被大大低估,而市场整体高涨时,其价值又被高估,且低估或高估的程度,可能会出现无法控制的局面,这种效果被称之为顺周期效应。顺周期效应使得由公允价值计量的会计信息成为一面放大镜,不论好坏,均使得后果放大,特别的当诸如次贷危机的爆发、市场秩序混乱导致市场定价功能瘫痪时,原本在市场交易中扮演重要角色的金融工具,其价值的计量依据缺失公允,致使资产持有者的账面价值损失惨重,最终使得净利润等业绩指标大幅波动。业绩指标的大幅波动虽然实际上并不由公司自身经营不善所致,但外部市场投资者由于信息不对称的原因,这一波动导致了恐慌心理的产生,为了止损,大量抛售股票,又加剧了股票价格的下跌,如此进入又一轮的恐慌和抛售,使得股价一落千丈,跌入恶性循环之中,市场整体的不良循环最终导致了金融危机的全球性蔓延。金融危机的爆发,其不良后果延绵数年,至今美国经济仍未脱困,这不得不使各国实务界、理论界如惊弓之鸟,对金融业的业绩给予了更多的关注,公允价值变动成为当今热点问题之一。为与国际会计准则接轨并实质性的趋同,为我国跨国企业的国际经济贸易提供账务支持,增强与国际间企业交流的贸易竞争力,我国财政部于2006年2月15日发布了39项新会计准则,包括一项基本准则和38项具体准则,并于2007年1月1日正式实行,主要应用于上市公司会计报告。我国财政部同美国财务会计准则委员会、国际会计准则委员会一样,均对公允价值进行了定义,虽从阐述方式和措辞方面存在差异,但三者都强调了公允价值获取的三个条件,一是强调公平交易环境,公允价值是在公平交易的平台之上进行,遵循公平市场机制；二是强调了交易双方信息、对称,交易的双方都充分了解交易各方需要承担的责任和义务,应当享有的权利和利益,信息沟通流畅；三是双方自愿的基本条件。这一准则的全面实施引起了我国相关实务界的高度重视,同样对于我国银行业来说是机遇也是挑战。公允价值计量的引入成为我国会计计量的又一重要变化,公允价值被归入基本准则的会计属性之中,公允价值计量在新会计准则的19项具体准则中得以体现,如金融工具确认与计量、投资性房地产、债务重组、非货币性资产交换和企业合并等方面。经统计,国际会计准则委员会(IASB)在相关准则、解释中对公允价值的引用在2002年、2003年分别达到75%和90%,所占比例可见一斑；而美国会计准则委员会(FASB)在从1990年开始所发布的55项财务会计准则公告中有多达四十一项涉及公允价值,占到75%的比重。我国新会计准则引入公允价值计量的这一选择成为推动我国经济国际化发展的重要一步,在未来的实务中,公允价值应用的范围会不断扩大。从新准则中看,我国银行业在会计核算中涉及公允价值计量的方面较原有会计准则有了根本的变化,并且相较一般行业,范围更加广泛,这会从本质上改变商业银行原有的资产状况,公允价值计量模式的引入必将对商业银行的业绩产生影响。从目前我国对公允价值研究的文献来看,以规范研究为主,因我国启用公允价值时限较短,所以实证研究较少,而研究公允价值对业绩影响以及由此在资本市场上的股价表现的研究成果积累还不丰富。且目前国内的学者大多以某年或相关年度资本市场的数据为样本进行研究,而以整个资本市场中的数据为研究样本,极少区分行业及公司背景,但实际上,公允价值的应用却与行业和公司的情况紧密联系,这就可能降低研究结果的准确性,导致实证研究结果出现偏差。本文以研究公允价值在商业银行中的应用对银行业绩影响为目的,借鉴和学习了国内外相关学者的研究成果,构建模型,进行了实证分析。本文共分五章,第一章为本文研究背景及意义、研究方法、框架和创新点的绪论部分。第二章为公允价值涵义及其确认和计量以及与其他计量属性关系的基本理论铺垫和公允价值在国内外研究成果的文献综述部分。第三章为公允价值计量对我国商业银行业绩波动影响和资本市场股价影响的理论分析和现状介绍部分。第四章为实证研究部分。通过检验面板数据,选择相应模型,进行了实证分析,系统研究。第五章为研究结论与对策建议部分。根据全文理论分析、统计研究和实证研究得出了结论,并提出政策建议。尽管金融危机的爆发,促使众多国内学者将焦点转向研究公允价值在金融危机中扮演的角色,但是我国实证研究的文献积累仍然较少。目前从国外学者的研究成果来看,国外的大量研究由于其银行业数据充分及实务需要,着眼于银行业的实证研究成果较丰富。但我国由于引入公允价值较晚,因此多为定性分析的规范研究,较常见的实证研究是公允价值变动对股票市场表现影响的研究,对公允价值变动对银行业业绩波动的实证研究其研究方法也多以案例分析和前后相邻时间的对比分析较为常见。这主要是因为我国从2006年应用公允价值计量的时间延续较短,无法获得较充足的数据样本。本文的创新之处在于样本和模型的选择创新,以我国实行新会计准则为契机,在公允价值在中国银行业的应用时间也有一定积累的前提下,通过整理商业银行上市公司2007年至2011年的年报、中报和季报数据,扩大样本规模,采用面板模型来解决时间跨度短、样本量少的研究障碍,对公允价值对商业银行上市公司业绩波动、资本市场表现的影响进行了系统的理论和实证研究,为进一步理论研究提供一个经验性证据。
[Abstract]:From the beginning of the original Jieshengjishi society, with the social progress and the development of accounting, accounting measurement of different accounting objects has become the core function of accounting system, from the double entry bookkeeping records to the final summary information provided through the financial tables, multi information users, all cannot do without measurement. Accounting measurement methods and principles become the technical level of important factors. In the past for a long period of time, due to historical cost measurement with the measurement method is simple, the reliability of historical data and verify the validity of the characteristics, makes the historical cost measurement has become the first choice of accounting measurement. However, the historical cost measurement because of its own characteristics, will inevitably bring about a lack of historical data the correlation between the inherent limitations. Therefore, the practice and theoretical circles began to discuss the new measurement attribute choice, hoping to solve this way A problem, after the previous efforts, the fair value measurement surfaced, become another member of the current accounting measurement attributes, has become one of the important measure. In early 1952, called "can refer to a dictionary of Accounting > book about the definition of fair value, this definition comes from the American scholar Eric L. Kohler, which the United States became the first country of fair value, to 1961, the American Institute of Certified Public Accountants Maurice. Moonitz also mentioned a similar" fair value "concept. After FASB of the definition of fair value has been modified several times, and the official formation of the theoretical results. With the development of the research, the concept of fair value is also constantly improve improved. At the same time, along with the development and maturation of China's market economy, driven by more and more enterprises grow and has made great contribution to the national economy, the business management concept More professional and mature, whether it is the company management or investors, more rational attention to the performance of the company, to make a corresponding response to the subsequent decision.
The U.S. subprime mortgage crisis back in 2007, it is not a long time, the incident to the global financial brought nearly hundred years the most serious consequences, overnight more than experienced commercial investment banks, the number of unemployed persons increased. It also launched a community including regulators, financial industry, unprecedented the hot academic and media discussion of causes and its transmission mechanism were analyzed, and the method of fair value measurement in the accounting standards has become a target for all, many scholars think that responsibility is the immediate cause of the crisis and media transmission. Some scholars further analysis pointed out that the financial crisis in the fair value measurement method by accounting information and increase the relevant financial instruments in the market reaction to reflect the value, if the market is low its value has been greatly underestimated, and the rising market as a whole, its value has been overestimated, and low The assessment or the degree of overestimation, may not be able to control the situation, this effect is called procylicality. Procylicality made by the fair value measurement of accounting information has become a magnifying glass, whether good or bad, the consequences are magnified, especially when such as the outbreak of the subprime crisis, the market disorder lead to market pricing function paralysis, had played an important role in the market transactions in financial instruments, fair value measurement on the basis of the deletion, the carrying value of the asset holders suffered heavy losses, eventually making net profit performance index volatility volatility. Although the performance index does not actually by the company due to their own mismanagement, but due to the external market investors the information asymmetry, the fluctuation caused panic psychology, in order to stop, selling a large number of stocks, exacerbating the stock price decline, such as This enters another round of panic and sell, the price plummeted, fell into a vicious spiral, bad circulation of the market as a whole has led to the global spread of the financial crisis. The outbreak of the financial crisis, the adverse consequences of stretches for several years, since the U.S. economy has not had to make all this out of practice, the theory of financial sector such as a badly frightened person. Industry performance has given more attention, the fair value has become one of the hot issues.
For the convergence with international standards and substantive, provide accounting support for transnational enterprises in China International Economic and trade exchanges, and enhance enterprise international trade competitiveness, China's Ministry of Finance issued 39 new accounting standards in February 15, 2006, including a basic standard and 38 specific standards, and officially implemented in January 1, 2007, mainly used in the accounting report of listed companies. China's Ministry of Finance with the financial accounting standards board and the International Accounting Standards Committee, all of the fair value are defined, although from elaborate ways and wording differences, but the three have highlighted the three conditions of fair value, one is that even bargain the environment, fair value is on the market even bargain platform, follow a fair mechanism; two is that the parties to the transaction information symmetry, trading both sides fully understand The parties should bear the responsibility and obligation, shall enjoy the rights and interests of the information communication smooth; three is the basic condition of voluntary. The full implementation of this rule is highly valued by relevant practice field in China, also for China's banking industry is also the opportunity is a challenge. The introduction of fair value measurement has become another important change of Chinese accounting measurement, fair value accounting properties into basic guidelines, to reflect the 19 specific standards of fair value measurement in the new accounting standards, such as the measurement and recognition of financial instruments, investment property, debt restructuring, non monetary assets exchange by and merged. Statistics, the international accounting Standards Board (IASB) in the relevant standards, interpretations of the fair value of the reference in 2002, 2003 reached 75% and 90%, the proportion of remarkable American accounting standards; The Committee (FASB) in the 55 statement of financial accounting standards issued from 1990 began to have as many as forty-one items related to fair value, accounting for 75% of the proportion. The choice of China's new accounting standards introduced fair value measurement has become an important step to promote the internationalization of China's economic development, in the future practice, the scope of the application of fair value will continue to expand. From the new standards, China's banking industry to the fair value measurement in the accounting aspects compared with the original accounting standards have changed, and compared with the general industry, more widely, it will change the original status of assets of commercial banks from the essence of fair value measurement model the introduction will influence the commercial bank's performance.
From China's current research on the fair value of the literature, based on normative research, for our opening the fair value of time is short, so less empirical research, and the research on the impact of fair value on the performance and results of the share price performance in the capital market of the accumulation is not rich. And the domestic scholars are mostly a or related annual capital market data for the study sample, and to the entire capital market data as the study sample, rarely distinguish between industry and company background, but in fact, the situation of the application of fair value is closely linked with the industry and the company, which may reduce the accuracy of the results of the empirical research results, lead to the deviation in order to study the influence. The fair value application in commercial banks on the performance of the bank for the purpose of learning from the relevant research results at home and abroad, constructed the model, Through the empirical analysis. This paper is divided into five chapters, the first chapter is the research background and significance, the research methods of this paper, the framework and the innovation. The second chapter is literature review and its fair value recognition and measurement and the relationship with other measurement, basic theories and the fair value of the research achievements at home and abroad. The third chapter is the theoretical analysis of status and impact of fair value measurement on fluctuations in the performance of China's commercial banks and capital market stock prices was introduced. The fourth chapter is the empirical study part. Through the test of panel data, select the appropriate model, the empirical analysis, system research. The fifth chapter is the conclusion and suggestion part. According to the theory of statistical analysis, research and empirical research conclusion, and put forward the policy proposal. Despite the outbreak of the financial crisis, prompting many domestic scholars will focus on public The fair value of role in the financial crisis, but the empirical research of Chinese literature accumulation is still small. From the current research results of foreign scholars, researches abroad because of its banking data fully and practical needs, the empirical research focuses on banking results are abundant. But in China since the introduction of the fair value of late. So much for the qualitative analysis of normative research, empirical research is more common is the study of impact on the stock market fair value changes, the changes in the fair value of the empirical banking fluctuations in the performance of the research and the research methods of case analysis and comparison with the neighboring time analysis is more common. This is mainly because of our country from 2006 the application of fair value measurement of the duration is short, unable to obtain sufficient data samples. The innovation of this paper lies in the choice of sample and model innovation, in China For the new accounting standards as an opportunity, at the time of application of fair value in the banking industry has Chinese accumulated under the premise, through the consolidation of commercial banks listed companies from 2007 to 2011 Annual Report and quarterly data, expanding the sample size, use panel model to solve the short span of time, obstacle on small sample size, on the market commercial bank performance fluctuations in the fair value of the impact of capital market, the performance of the system theory and empirical research, provide an empirical evidence for the further theoretical study.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F233;F830.42

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