公允价值层次信息的价值相关性研究

发布时间：2018-04-15 05:00

本文选题：上市银行 + 公允价值层次　；参考：《财政部财政科学研究所》2015年硕士论文

【摘要】：2014年1月26日,财政部发布《企业会计准则第39号——公允价值计量》,规范企业公允价值计量和披露,并自2014年7月1日起施行,本文以此为背景,对公允价值信息的价值相关性展开研究。公允价值在我国会计准则发展历程中经历了“启用——谨慎运用——推广运用——规范运用”四个阶段。伴随这一发展历程,公允价值信息披露内容逐渐丰富,主动披露公允价值层次信息的上市公司数量日渐增多,按公允价值计量的资产和负债比率大幅提高。《公允价值计量》准则要求企业应当将公允价值计量所使用的输入值划分为三个层次,并首先使用第一层次输入值,其次使用第二层次输入值,最后使用第三层次输入值。本文尝试检验公允价值分层信息的价值相关性。文章以我国A股上市银行为研究对象,利用修正的Song等(2010)的模型展开研究。同时,准则规定,当企业的相关资产或负债几乎很少存在市场交易活动,导致相关可观察输入值无法取得或取得不切实可行的情况下,应当使用第三层次输入值,就此需进行公允价值层次转换。本文尝试检验公允价值层次转换信息的价值相关性。文章以我国A股上市银行为研究对象,验证公允价值计量各层次间进行了转换的公司,其各层次公允价值信息的价值相关性是否高于未进行公允价值计量各层次之间转换的公司。研究表明,公允价值分层信息具有价值相关性,且第一、二、三层次公允价值计量资产的价值相关性逐层降低,但负债公允价值分层信息的价值相关性与预计有异,有待进一步研究。同时,研究表明,公允价值层次转换信息具有价值相关性,且在第二层次公允价值计量的资产上有增量的价值相关性,但受制于进行层次转换的样本数量较少,其他各层次上的价值相关性情况有待进一步检验。
[Abstract]:On January 26, 2014, the Ministry of Finance issued the Accounting Standards for Enterprises No. 39-Fair value Measurement, which regulates the measurement and disclosure of fair value of enterprises, and comes into effect on July 1, 2014.Research on the value relevance of fair value information.Fair value has experienced four stages in the development of accounting standards in China.Along with this development process, the content of fair value information disclosure is gradually rich, and the number of listed companies that actively disclose fair value level information is increasing day by day.The ratio of assets and liabilities measured at fair value has greatly increased. The "Fair value Measurement" Standard requires enterprises to divide the input values used in fair value measurement into three levels, and first use the first level to input values,Second, use the second level input value, and finally use the third level input value.This paper tries to test the value correlation of fair value stratified information.In this paper, A-share listed banks in China are taken as the research object and the modified Song et al. 2010) model is used to carry out the research.At the same time, the guidelines stipulate that a third level of input should be used when there is little market trading activity in the relevant assets or liabilities of the enterprise, resulting in the inaccessibility or impracticability of the relevant observable input value.This requires a level of fair value conversion.This paper tries to test the value relevance of fair value hierarchy information.This paper takes the A-share listed banks as the research object, and verifies the companies whose fair value has been transformed between different levels.Whether the value relevance of fair value information at each level is higher than that of the company that does not transfer the fair value measurement between the different levels.The research shows that fair value stratified information has value relevance, and the value relevance of fair value measurement assets of the first, second and third levels is reduced layer by layer, but the value correlation of liability fair value stratification information is different from that of expected fair value information.Further study is needed.At the same time, the research shows that fair value hierarchical conversion information has value relevance, and there is incremental value correlation in the assets measured at the second level fair value, but the number of samples which are restricted by hierarchical transformation is relatively small.The value correlation at other levels needs to be further tested.
【学位授予单位】：财政部财政科学研究所
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F233

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