公允价值变动列报方式及其市场反应的实证研究

发布时间：2018-12-17 18:36

【摘要】：随着经济的全球化,我国资本市场上也出现了许多新的行业,市场上金融工具的形式也变得多样化,为了满足金融工具的核算要求,我国2006年颁布了新的企业会计准则全面引入公允价值,并在准则中对利得和损失的概念进行了阐述,体现了综合收益观的观点。由于我国经济环境也在不断的发生变化,资本市场也日趋复杂化,按照2006年准则计量披露的会计净利润,已经不能够满足报表使用者对会计信息的需求。并且在大的经济环境下,金融工具的应用越来越广泛,从而迫使财务报表更要反映企业真实的财务状况和经营成果,来满足投资者的决策需要。因此我国财政部2009年印发了第3号企业会计准则解释,在第3号解释中正式提出综合收益观,并要求上市企业在报表中详细披露综合收益和其他综合收益。这一系列举措,无不彰显我国财政部对综合收益信息的重视程度正在不断提高。我国于2014年又发布了《企业会计准则第30号——财务报表列报》准则,准则中明确了综合收益观的运用。在公允价值的研究中,公允价值应用与金融风险防范受到各界的关注,其中公允价值应用的资本市场反应成为一个重要的研究领域。虽然我国一直致力于国际会计准则趋同,但我国资本市场的发展起步晚,市场的还不完善,许多资产还不存在活跃的市场,市场的参与程度相对较低,估值技术较为落后,这些因素都将导致我国公允价值计量产生的市场反应可能不同于西方国家。因此,本文以金融资产公允价值变动列报位置的差异,考察公允价值计量的金融工具的未实现收益引起市场反应程度,为我国有效实施综合收益观提供经验性证据。首先,本文对国内外关于公允价值相关性研究、市场反应研究及公允价值列报不同位置研究的文献进行了归纳总结和评述。然后对国内外公允价值定义变更进行概述了,并分析公允价值变动损益的性质与特征。其次,本文以有效市场假说、信息观与计量观、决策有用观、功能锁定假设为理论基础,采用事件研究法运用市场模型进行实证研究。以2007-2014年沪市A股上市公司的年报为样本数据,以每年的盈余公告日作为事件日,对估计窗口和事件窗口公允价值变动损益和股票回报为研究对象,验证公允价值变动在不同的位置列示带来的市场反应,并得出实证研究结果。最后,根据本文得出的结论提出相关的建议。本文通过实证回归检验得出以下结论:第一,公允价值变动呈报于利润表时,公允价值变动产生的未实现利得和损失会导致股票市场过度反应;第二,当公允价值变动损益列报于所有者权益变动表时,股票市场反应不足;第三,当公允价值变动损益同时计入利润表和所有者权益变动表时,股票市场对公允价值变动产生的信息充分反应。本文的创新点:第一,通过对我国文献的梳理发现,大部分学者的文献都对价值相关性角度进行研究,而学者们从市场反应角度来研究的很少。本文研究列入不同报表中公允价值变动损益带来市场反应程度存在的差异。验证了我国投资者关注信息时存在功能锁定现象。第二,本文以会计准则引入综合收益观为背景,研究金融资产公允价值变动产生未实现损益列报位置的不同带来的市场股价的波动。现有的文献仅研究了公允价值变动损益列报在某一位置的市场反应,本文拓展不同列报位置公允价值变动损益市场反应的研究。本文的不足之处:第一,本文研究主要以沪市A股上市公司的非金融行业为主,对于可供出售金融资产的公允价值变动损益数据查找是通过查阅年报手工采集,可能受到主观性影响从而影响到研究结论的准确性。第二,由于本文只采用了非金融行业的金融资产作为研究对象,没有对行业进行区分比较。由于不同行业公司的资产结构有较大区别,所以研究结论存在局限性。
[Abstract]:With the globalization of economy, there are many new industries in our capital market, and the form of financial instruments in the market is also diversified. In order to meet the accounting requirements of financial instruments, the new enterprise accounting standards have been introduced into the fair value in 2006. The concept of profit and loss is stated in the guideline, and the view of comprehensive income view is reflected. As China's economic environment is changing constantly, the capital market is becoming more and more complicated. The accounting net profit disclosed in the 2006 guidelines has not been able to meet the demand of the user of the report to the accounting information. and in a large economic environment, the application of financial instruments is becoming more and more extensive, thus forcing the financial statements to reflect the real financial position and operation results of the enterprise to meet the investor's decision-making needs. Therefore, in 2009, the Ministry of Finance of our country issued the Accounting Standards for Enterprises No. 3, which formally put forward the concept of comprehensive income in the interpretation of No. 3, and asked the listed enterprises to disclose the comprehensive income and other comprehensive income in detail in the statement. The series of initiatives show that the emphasis of the Ministry of Finance on the comprehensive income information is increasing. In 2014, China also issued the Accounting Standards for Enterprises No. 30 _ Presentation of the Financial Statement> Guidelines, and the application of the comprehensive income view is clearly defined in the guidelines. In the study of fair value, fair value application and financial risk prevention are concerned by various circles, and the capital market reaction of fair value application has become an important research field. Although our country has been working on the convergence of the international accounting standards, the development of the capital market in our country is very late, the market is not perfect, many of the assets still have no active market, the market participation degree is relatively low, the valuation technology is relatively backward, These factors will lead to the market response of the fair value measurement in China, which may be different from the western countries. Therefore, in this paper, based on the difference of the fair value of the financial assets, the non-realization income of the financial instruments measured at the fair value is examined to cause the market reaction degree, and the empirical evidence is provided for the effective implementation of the comprehensive income view in China. First of all, this paper summarizes and comments on the literature on the study of fair value-related research, market response and fair value presentation at home and abroad. Then, the changes of the fair value definition at home and abroad are summarized, and the properties and characteristics of the profit and loss of the fair value are analyzed. Secondly, this paper uses the effective market hypothesis, the information view and the measurement view, the decision-making useful view and the function locking hypothesis as the theoretical basis, and uses the event research method to use the market model to carry out the empirical study. Taking the annual report of the AShare listed company in Shanghai and Shanghai as the sample data in 2007-2014, the profit and loss of the fair value of the estimated window and the event window and the return of the stock to the study object are calculated on the basis of the annual earnings announcement day as the event day, and the market reaction brought by the change of the fair value in different positions is verified. and the result of the empirical study is obtained. Finally, the relevant suggestions are put forward according to the conclusions drawn in this paper. The following conclusions are drawn from the empirical regression test: when the first and the fair value changes are reported to the profit statement, the unrealized profit and loss arising from the change of the fair value can lead to over-reaction of the stock market; and the second, when the profit or loss of the fair value is presented in the statement of changes in the owner's equity, The stock market has insufficient response; and thirdly, when the profit or loss of the fair value is included in the income statement and the statement of changes in the owner's equity, the stock market is fully responsive to the information generated by the change of the fair value. The innovation point of this paper: First, by combing the Chinese literature, most of the scholars have studied the value-related angle, and the scholars have little research from the market reaction angle. In this paper, the differences between the fair value change and the profit and loss in different statements are studied in this paper. It is proved that there is a function locking phenomenon in our country's investor's attention. Secondly, the paper, based on the introduction of accounting standards into the concept of comprehensive income, studies the fluctuation of the market share price brought by the change of the fair value of the financial assets. The existing literature only studies the market response of the fair value change and loss in a certain position, and expands the research on the change of the fair value of the fair value and the market reaction of the profit and loss in different presentation positions. First, this paper mainly focuses on the non-financial industry of the AShare listed company in Shanghai, and finds that the profit and loss data of the fair value of the available-for-sale financial assets is collected manually by referring to the annual report. may be subject to subjectivity and thus affect the accuracy of the conclusions of the study. Second, since only the financial assets of the non-financial industry are used as the research object, there is no distinction between the industries. The research conclusion is limited because of the great difference in the asset structure of different industry companies.
【学位授予单位】：河南大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F233

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