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系統識別號 U0026-0107201022301300
論文名稱(中文) 金融商品相關損益之價值攸關性探討
論文名稱(英文) The Value Relevance of Gain or Loss on Financial Instruments
校院名稱 成功大學
系所名稱(中) 會計學系碩博士班
系所名稱(英) Department of Accountancy
學年度 98
學期 2
出版年 99
研究生(中文) 黃禺痕
研究生(英文) Yu-Hen Huang
學號 r1697102
學位類別 碩士
語文別 中文
論文頁數 74頁
口試委員 指導教授-吳清在
共同指導教授-楊曉瑩
口試委員-林世銘
口試委員-董水量
中文關鍵字 金融商品評價損益  金融商品未實現損益  Ohlson 評價模型 
英文關鍵字 Valuation gains or losses on financial instruments  Unrealized gains or losses on financial instruments  Ohlson evaluation model 
學科別分類
中文摘要 為與國際會計準則接軌,並於2012年全面採用國際會計準則,我國乃參酌國際會計準則第39號「金融工具:認列與衡量」,制訂了財務會計準則公報第34號《金融商品之會計處理準則》,而此號公報最重要之觀念,即是金融商品應以公允價值評價。
金融商品評價損益與金融商品未實現損益均非企業之本業收入來源,也不具持續性,且除金融商品評價損益已實現部分外,企業並未因其有利益或損失而實際產生現金流入或流出。故本研究之主要目的係在於探討該二科目對報表使用者是否具價值攸關性,而以往的研究大多數指出其具攸關性,但亦有少部分認為其不具攸關性。
本研究以2006年至2008年排除金融業與無金融商品相關損益之上市櫃公司為研究樣本,並以Ohlson (1995) and Feltham and Ohlson (1995) 動態線性資訊評價模式為基礎,設計相關評價模型,以驗證金融商品評價損益及金融商品未實現損益是否具價值攸關性。實證結果發現:權益帳面價值及超額盈餘具價值攸關性,但金融商品評價損益及金融商品未實現損益不具價值攸關性。
英文摘要 For convergence with and intended full adoption of International Financial Reporting Standards by 2012, IAS No.39 "Financial Instruments: Recognition and Measurement" has thus been taken into reference by our country for enacting “Statement of Financial Accounting Standards” No.34 "Accounting for Financial Instruments," in which the most important notion is that financial instruments shall be valued at fair value.
Neither shall two account titles, “valuation gains or losses on financial instruments” and “unrealized gains or losses on financial instruments,” be treated as operating income of an entity, nor do they have sustainability. Except the realized part of “valuation gains or losses on financial instruments”, the unrealized part, no matter gains or losses, doesn’t generate cash inflows or outflows for entities in reality. Therefore, this research mainly explores whether the two account titles have value relevancy for financial statement users. While most of the past research indicated the existence of value relevancy, some vetoed.
The listed companies in the stock market and over-the-counter (OTC), exclusive of financial industry and those entities without related gains or losses resulting from financial instruments, between 2006 and 2008 are taken to be the study samples in this research. Thus, relevant evaluation models are designed, based on the linear information evaluation model addressed by Ohlson (1995) and Feltham and Ohlson (1995), to validate whether “valuation gains or losses on financial instruments” and “unrealized gains or losses on financial instruments” have value relevancy. Empirical results show that: the book value of equity and excessive earnings have value relevancy, while “valuation gains or losses on financial instruments” and “unrealized gains or losses on financial instruments” don’t.
論文目次 摘要 I
Abstract II
誌謝 IV
目錄 V
表目錄 VII
圖目錄 VIII
第壹章 緒論 1
第一節 研究動機與目的 1
第二節 研究方法與流程 4
第貳章 文獻回顧 5
第一節 盈餘持續性與股價間之關聯 5
第二節 金融商品損益之價值攸關性 12
第三節 Ohlson評價模型 13
第参章 金融商品之會計處理準則 15
第一節 金融商品及公平價值之定義 15
第二節 金融商品之分類 19
第三節 金融商品之會計處理 23
第肆章 研究方法 33
第一節 研究假說 33
第二節 研究工具之理論基礎 36
第三節 研究模型 39
第四節 定義變數 42
第五節 樣本與資料來源 45
第伍章 實證結果與分析 47
第一節 敘述統計量分析 47
第二節 相關性分析 49
第三節 迴歸結果分析 51
第四節 敏感性分析 59
第陸章 結論與建議 67
第一節 結論 67
第二節 建議 69
參考文獻 70
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