衍生性金融商品使用程度對會計資訊價值攸關性之影響－避險與非避險使用動機之檢測

Abstract

衍生性金融商品具低交易成本與高報酬率的特性，近年來已成為熱門的避險或投資工具。因衍生性金融商品使用動機可區分為避險與非避險兩種類型，本研究預期不同的衍生性金融商品使用動機，將對公司報導會計資訊的價值攸關性產生不同之影響；從事避險目的衍生性金融商品之操作，能減少利率、匯率或原物料價格波動所產生的風險，可使公司盈餘相對平穩，提高盈餘資訊的相對價值攸關性；反之，從事非避險目的之衍生性金融商品交易，則使公司盈餘的波動性增加，降低盈餘資訊的相對價值攸關性。本文採取Ohlson股價評價模式，以平衡追蹤資料（balanced panel data）型態，探討公司衍生性金融商品使用程度如何透過每股盈餘及權益帳面價值對股價產生影響。實證結果顯示：我國上市公司從事避險性（非避險性）衍生性金融商品的程度越高，盈餘之相對價值攸關性提高（降低）；然而，從事避險性（非避險性）衍生性金融商品的程度越高，僅在某些情境下，權益帳面價值之價值攸關性會提高（降低）。本研究進行若干敏感性測試，發現實證結果具相當穩固性。

The ongoing growth in use of financial instruments together with the accompanying disclosure requirements debate has motivated this study to examine the role of derivatives usage on the value-relevance of accounting numbers. Especially, this study divides the entire sample into hedging-versus non-hedging-purpose derivatives usage sub-samples and examines whether various derivative usage motives trigger distinct effects on the value-relevance of earnings and equity book value. The empirical result reveals that, as conjectured, firms with large magnitude of hedging-purpose (non-hedging-purpose) derivatives usage have higher (lower) value-relevance of earnings. However, firms with large magnitude of hedging-purpose (non-hedging-purpose) derivatives usage have higher (lower) value-relevance of equity book value only gains limited supports in the empirical testing. This study implements several diagnostic checks and demonstrates the results are robust to various specifications.