衍生性金融商品使用目的與適用避險會計對盈餘資訊性之影響

Abstract

本研究首先檢測避險及交易目的衍生性金融商品使用程度對盈餘資訊性的影響,進而測試避險目的衍生性金融商品在通過有效性測試適用避險會計的情況下,其對盈餘資訊性的影響是否有顯著差異。在 Collins et al. (1994)的實證架構下,實證結果顯示,避險目的衍生性金融商品使用程度顯著提高公司當期與未來盈餘的資訊性;交易目的衍生性金融商品的使用程度亦顯著提高當期盈餘的資訊性。然而,在大部分設定下,交易目的衍生性金融商品的使用程度顯著降低未來盈餘的資訊性;此結果意味使用交易目的之衍生性金融商品雖可能增加公司短期的盈餘,然提高當期盈餘波動程度,進而降低盈餘持續性,導致未來盈餘資訊性下降。在避險會計適用與否的檢測,則發現避險目的衍生性金融商品且適用避險會計者,並未顯著提高盈餘資訊性,亦即投資者未將衍生性金融商品有效避險納入其對盈餘資訊性的評價意涵。本研究從事若干額外測試,發現實證發現具備相當程度穩固性。

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.