The Value Relevance of Fair Value Accounting Information during Financial Crisis

Abstract

本文主要目的是檢測企業在金融危機期間，其公允價值會計資訊是否仍具價值攸關性。研究期間為2000-2008年，以台灣上市櫃公司為樣本，共497家。本研究採Ohlson（1995）之會計基礎評價模式為實證的基礎。實證結果顯示，公允價值會計實施後，以公允價值評價之資產負債提供了較歷史成本更攸關之資訊，使得會計資訊對股價的解釋能力增加，且當權益帳面價值資訊的攸關性提高時，盈餘的價值攸關性則顯著下降。然在考慮金融危機因素後，以公允價值評價之會計資訊攸關性發生變化。這樣的結果也意味著在金融危機情況下，投資人在進行投資決策時，對財務報表會計資訊之知覺會產生結構性的改變。本研究亦同時觀察非危機期間的會計資訊的攸關性。綜言之，公允價值會計提高了會計資訊之攸關性。基此，若能更允當的衡量資產負債之公允價值，將有助於對企業真實價值之評估，使會計資訊價值提升；為達成此一目的，準則制定機構應提供更明確的規範，對財務報表編製者進行適當的指導，並建立更健全的評價制度，使其提供財務報表使用者更適當的資訊，並提升投資者對公允價值衡量之會計資訊的信心。

The main purpose of this study is to examine if fair value accounting information remains relevant in the event of a financial crisis. The research period ranges between 2000 and 2008. We use data from 497 listed firms in Taiwan. We will use Ohlson's (1995) accounting-based valuation model. Results indicate that after implementation of fair value accounting, accounting information reported by fair values becomes more value relevant than accounting information reported by historical costs, and such fair value accounting information also has higher explanatory power for stock prices. In addition, as the book value of equity becomes more relevant to the market value, the value relevance of earnings will significantly decline. However, when the effect of financial crisis is considered, the value relevance of accounting information reported by fair values becomes different. This finding also implies that there will be a structural change in the investors' perception of accounting information in the event of a financial crisis. In this study, the value relevance of accounting information during non-crisis periods is also observed. In general, fair value accounting contributes to higher value relevance of accounting information. Therefore, if the fair value of firm assets and liabilities are properly and objectively determined, the firm valuation result can be more accurate, and accounting information will also become more relevant. To this end, the authority responsible for development of accounting standards should offer more guidelines to compilers of financial statements and build a better valuation system that can generate more relevant information to users of financial statements.