标题: | 衍生性金融商品使用目的与适用避险会计对盈余资讯性之影响 Does Use Purpose and Hedging Effectiveness Matter for the Earnings Informativeness of Financial Derivatives? |
作者: | 陈庆隆 潘昭容 Ching-Lung Chen Chao-Jung Pan |
关键字: | 盈余资讯性;衍生性金融商品;避险;交易;避险会计;Earnings Informativeness;Financial Derivatives;Hedging;Trading;Hedge Accounting |
公开日期: | 五月-2024 |
出版社: | 国立阳明交通大学经营管理研究所 Institute of Business and Magement, National Yang Ming Chiao Tung University |
摘要: | 本研究首先检测避险及交易目的衍生性金融商品使用程度对盈余资讯性的影响,进而测试避险目的衍生性金融商品在通过有效性测试适用避险会计的情况下,其对盈余资讯性的影响是否有显着差异。在 Collins et al. (1994)的实证架构下,实证结果显示,避险目的衍生性金融商品使用程度显着提高公司当期与未来盈余的资讯性;交易目的衍生性金融商品的使用程度亦显着提高当期盈余的资讯性。然而,在大部分设定下,交易目的衍生性金融商品的使用程度显着降低未来盈余的资讯性;此结果意味使用交易目的之衍生性金融商品虽可能增加公司短期的盈余,然提高当期盈余波动程度,进而降低盈余持续性,导致未来盈余资讯性下降。在避险会计适用与否的检测,则发现避险目的衍生性金融商品且适用避险会计者,并未显着提高盈余资讯性,亦即投资者未将衍生性金融商品有效避险纳入其对盈余资讯性的评价意涵。本研究从事若干额外测试,发现实证发现具备相当程度稳固性。 This study empirically examines the earnings informativeness of distinctive hedging and trading derivatives usage. We also examine whether hedging accounting plays a role in earnings informativeness for hedging derivatives through hedge effectiveness testing. Based on the framework suggested by Collins et al. (1994), empirical results show that both current and future earnings informativeness are enhanced for firms using hedging derivatives. The use of trading derivatives also improves the informativeness of current earnings. However, empirical results partly support the argument that the informativeness of current earnings about future earnings is reduced for firms using trading derivatives. This result suggests that the use of trading derivatives may increase a firm’s short-term earnings, but increase earnings volatility. The reduced earnings persistence of current earnings leads to decreased informativeness for future earnings. Further tests for hedging accounting reveal that hedging derivatives usage meet the hedge effectiveness test cannot improve earnings informativeness. Thus, investors are unlikely to account for the current and future earnings implications of stock prices for firms with hedging derivatives that is qualified for the hedge effectiveness test. Several diagnostic tests verify the results are robust in several different settings. |
URI: | http://dx.doi.org/10.29416/JMS.202405_31(2).0002 http://hdl.handle.net/11536/162965 |
ISSN: | 1023-9863 |
DOI: | 10.29416/JMS.202405_31(2).0002 |
期刊: | 管理与系统 Journal of Management and Systems |
Volume: | 31 |
Issue: | 2 |
起始页: | 193 |
结束页: | 236 |
显示于类别: | Journal of Management and System |