资产公允价值的信息含量及其计量——来自香港金融类上市公司的经验数据

2006年我国颁布的新会计准则广泛引入了公允价值的概念。本文以香港金融类上市公司为样本，主要研究香港公允价值的实施是否增强了会计数据的解释能力。实证结果表明，无论是按公允价值计量的金融资产期末价值还是公允价值变动产生的朱实现收益，都对公司价格和市场收益率产生了显著的增量解释能力。实证结果同时显示，投资者对公允价值计量部分资产的关注程度也要普遍高于非公允价值计量的资产。研究结果能有效消除准则制定者的顾虑，推动公允价值更为广泛的运用。     

Contractibility and Transparency of Financial Statement Information Prepared Under IFRS: Evidence from Debt Contracts Around IFRS Adoption

We outline several properties of IFRS that potentially affect the contractibility or the transparency of financial statement information, and hence the use of that information in debt contracts. Those properties include the increased choice among accounting rules IFRS gives to managers, enhanced rule‐making uncertainty, and increased emphasis on fair value accounting. Consistent with reduced contractibility of IFRS financial statement information, we find a significant reduction in accounting‐based debt covenants following mandatory IFRS adoption. The reduction in accounting covenant use is associated with measures of the difference between prior domestic standards and IFRS. Because IFRS adoption changed financial reporting in many ways simultaneously, it is difficult to trace the decline in accounting covenant use to individual IFRS properties, though we report larger declines in accounting covenant use in banks, which have a higher proportion of assets and liabilities that are fair‐valued. Our findings are better explained by reduced contractibility than by increased transparency, which would predict reduced nonaccounting covenant use as well, whereas we observe increases. Overall, we conclude that IFRS rules sacrifice debt contracting usefulness to achieve other objectives, such as provision of accounting information relevant to valuation.     

Adjustment of valuation inputs and its effect on value relevance of fair value measurement

The fair value accounting standards; i.e., FAS 157, FAS 157-3 and FAS 157-4, specify the circumstances where firms need to adjust valuation inputs to fair value measurements in response to changes in market conditions. Such an adjustment inherently involves substantial management judgment and is accompanied with transfers of assets and liabilities among the different levels of the fair value hierarchy. We study the effect of adjusting valuation inputs to reflect market variations on value relevance of fair value measurements by comparing the value relevance of fair value assets between the banks that make transfers of assets and the banks that make no transfers. Overall, we find a significant increase in value relevance of fair value measurements for banks that transferred assets into/out of the Level 3 category. Our study examines a challenging situation in the application of fair value standards; i.e., determining fair value when there is a change in market conditions. Fair value measurement under such a situation involves substantial management judgment and potential estimate errors and manipulation. Our findings provide useful information for researchers, regulators and accounting professionals to assess the market’s perception of the reliability of fair value information when management exercises substantial discretion in adjusting valuation inputs under changing market conditions.     

Fair Value‐related Information in Analysts’ Decision Processes: Evidence from the Financial Crisis

We use a sample of conference calls and analyst research reports from international banks to examine how financial analysts request and communicate fair value‐related information in their valuation process. We find that analysts devote considerable attention to fair value‐related topics. Most of the conference call questions and references in research reports pertain to fair value reclassifications and fair value changes of liabilities resulting from banks’ own credit risk. The accounting impact of these one‐time effects during the financial crisis and a lack of corresponding firm disclosures help to explain the prevalence of these two topics. The content of the questions and references suggests that analysts have different motives for their interest in fair value‐related information. While some analysts adjust reported earnings for unrecognised fair value changes of reclassified assets, most of the observed analysts exclude banks’ own credit risk effects from reported earnings. Thus, the use of fair value‐related information varies substantially across analysts and across instruments.     

Management Perceptions of Fair-Value Accounting for all Financial Instruments

Accounting for all financial instruments at fair value is a controversial issue currently under review by standard-setters. Banking industry associations have typically opposed the use of fair-value accounting for financial instruments. This study examines perceptions of managers at financial institutions regarding support for recording all financial instruments at fair value. Managers at financial institutions do not uniformly oppose the use of fair-value accounting for all instruments. Considerable variation is found, ranging from strong support to strong opposition. Support for fair-value accounting is negatively associated with concern about excess volatility in reported earnings. There is less concern that the fair value of assets and liabilities cannot be reliably measured.     

The association between fair value measurements and banks' discretionary accounting choices

This study examines the association between fair value measurements and banks' discretionary loan loss provisions using regulatory financial data from 2009 to 2016 for a sample of U.S. public bank holding companies. I find that banks recognizing larger proportions of fair value assets and liabilities based on level 2 and level 3 inputs are associated with lower discretionary loan loss provisions. However, there is no significant association between level 1 fair value assets and liabilities and discretionary loan loss provisions. When pre-managed earnings are lower, banks with larger proportions of level 2 and level 3 fair value assets and liabilities report smaller discretionary loan loss provisions to inflate earnings. Banks reporting larger proportions of level 2 and level 3 fair value assets and liabilities are more likely to use discretionary loan loss provisions to beat earnings benchmarks and manage tier one capital ratios. Overall, the results support the proposition that fair value assets and liabilities based on level 2 and level 3 inputs are less transparent and are subject to more discretion regarding loan loss provisions.     

以企业资源为基础的会计要素研究

本文借鉴企业资源理论,对我国财务会计概念框架中的会计要素问题进行了探讨。受传统会计概念框架的局限,会计实务以资产为主要核算对象,致使财务报告不能全面、真实反映企业资源状况和实际价值。本文认为,为使会计信息全面反映企业的实际,会计核算对象就应当以企业资源为基础;企业资源包括资产和能力。根据这一理念,再参考有关国家的做法,本文探索提出我国会计要素可增补调整为资产、能力价值(商誉)、负债、权益、收入、利得、费用和损失8项。     

Research Note: Revisiting Fair Value Accounting––Measuring Commercial Banks' Liabilities

IAS 39, Financial Instruments: Recognition and Measurement (IASB, 2000), requires assets to be marked to fair value if held-for-trading, available-for-sale purposes, or if they are derivatives; held-to-maturity securities, originated loans and originated securities are measured at amortized cost, providing they are not held-for-trading. Financial liabilities are measured at amortized cost except those that are held-for-trading or derivatives. A proposed amendment would accommodate improved fair value measurement of financial instruments. Commercial banks are greatly affected by any accounting standard concerning the recognition and measurement of financial instruments, whether related to assets or liabilities. This article demonstrates that the existing and proposed standards perpetuate the mismeasurement of interest rate risk for commercial banks. Under IAS 39 banks that have a balanced position, that is, no interest rate risk, counterfactually could show large changes in income through interest rate changes. An alternative accounting treatment, full fair value reporting of financial assets and liabilities, including all loans and deposits, is offered. Presently fair value data are mandated as footnote disclosure.     

Fair Value Accounting and Debt Contracting: Evidence from Adoption of SFAS 159

We examine how fair value accounting affects debt contract design, specifically the use and definition of financial covenants in private loan contracts. Using SFAS 159 adoption as our setting, we find that a small but significant proportion of loans (14.5%) modify covenant definitions to exclude the effects of SFAS 159 fair values. Only a limited number of these modifications exclude assets elected at fair value (less than 7%), while all exclude liabilities elected at fair value. Notably, we document that covenant definition modification is unassociated with ex ante fair value elections. We find that covenant definition modification positively varies with common incentive problems attributed to fair value accounting and negatively varies with benefits attributed to fair value accounting. Our results suggest that fair value accounting is not uniformly detrimental for debt contracting and fair value adjustments are included when they are most likely to improve performance measurement.     

What Do FAS 157 “Fair Values” Really Measure: Value Or Risk?

FAS 157, the U.S. accounting standard that prescribes how fair values of assets and liabilities are to be measured when other U.S. GAAP standards require fair valuation, stipulates that fair values be measured as the exit values of assets and liabilities—the proceeds for assets hypothetically sold on the date of the financial report, and, correspondingly, the amount required to settle liabilities on the date of the financial report. This conceptual article argues that exit values do not reflect the value of the net assets of the firm to shareholders, which is best reflected by discounted cash flows to maturity. Moreover, exit values—biasing fair values downward when markets are illiquid—have a pernicious, systemic risk effect; specifically, they give rise to write‐downs that in turn cause contagion: prices of equities and other financial instruments of peers react negatively, leading to further write‐downs by those peers. This may have aggravated the recent financial crisis. However, while exit values are not proper measures of value to shareholders, they are useful measures of downside risk when prospects turn sour for a firm. Thus, both exit values and discounted cash flows should be presented in financial statements.     

What Are Assets and Liabilities? Where Is True North? (Accounting That my Sister Would Understand)

This is an article about what I think financial accounting and reporting ought to look like—about my vision that the singular focus of financial accounting and reporting should be on cash, that is, cash itself, contractual claims to cash, things (assets) that can be converted into cash, and obligations to pay cash, and that assets and liabilities should be stated at fair value in corporate balance sheets. I call this formulationTrue North. I previously have written about how we should keep financial accounting and reporting simple (‘Keep It Simple’, Accounting Horizons, June 1991, pp. 113–17). I also have written about how assets should be defined for accounting purposes (‘What Is an Asset?’, Accounting Horizons, Septem‐ber 1993, pp. 66–70). This article builds on those two earlier ones. It deals with definitions of assets and liabilities that should be recognized (that is, displayed, shown, or reported) in corporate balance sheets and how the recognized assets and liabilities should be measured when reported in those balance sheets.     

保险公司负债公允价值的评估

保险公司的资产与负债按照财务报告或风险管理的要求要用公允价值来表示其价值。保险公司负债主要由各种类型的保险合同组成。尽管金融产品的交易非常活跃,市场价格可以相对容易地获得,但像保险合同这样缺乏交易市场,并且风险是非系统化的金融产品的公允价值的计算却十分困难。通过分层次的方法可以有效地评估金融工具的公允价值,其中评估保险公司负债的公允价值最常用的方法是现值法。现值法中包含了直接法与间接法两种本质上等价的方法。本文对这两种方法分别作了分析,并提出了在评估保险公司负债的公允价值时需要考虑的一些现实问题。     

Does fair value accounting contribute to market price volatility? An experimental approach

This paper contributes to the debate on the impact of accounting measurement rules for financial assets. We examine the association between fair value accounting for financial assets and market price volatility for nonfinancial firms in an experimental setting. One group of participants was provided with financial statements where held‐for‐trading securities were reported at fair market value (FVA). Another group received financial statements with investments reported at historical cost (HCA). Controlling for accounting data, we find no systematic difference between FVA and HCA for three different measures of market price volatility, despite higher earnings volatility and marginally heavier trading under FVA.     

Zur Entscheidungsnützlichkeit eines IFRS-Abschlusses von Versicherern – Analyse der angedachten Regelungen zum endgültigen IFRS 4

In its Discussion Paper from May 2007 for the final IFRS 4 (“Insurance Contracts”), the IASB planned the “Current Exit Value” (CEV) to evaluate insurance liabilities. The aim of this article is to examine the impacts of the planned Current-Exit-Value-Approach on the decision usefulness of insurers' financial statements. In order to evaluate accounting rules, the criterion decision usefulness is divided into two sub-criteria – relevance and reliability. We found out that the Current-Exit-Value-Approach for insurance contracts in conjunction with fair value accounting of relating assets actually generates relevant information for users of insurers' financial statements. But we have serious concerns about a cost-adequate implementation of CEV approach. Furthermore, the reliability of accounting information based on a synthetic fair value is strongly questionable. Only extensive disclosure requirements can bring transparency to users and therefore assure reliable accounting information. Besides, there are other topics that should be reviewed before releasing a final standard (e.?g. customer relationship, credit characteristics of insurance liabilities, unit of account).     

IFRS fair value measurement and accounting policy choice in the United Kingdom and Australia

This study investigates the use of fair value measurement by 228 listed companies in the UK and Australia around the time of adoption of IFRS from 1 January 2005. We test whether within and between country comparability in policy choices (as measured by T indices) has changed in relation to (a) mandatory and (b) optional use of fair value measurement. Mandatory requirements related to financial instruments (IAS 39) and share-based payments (IFRS 2) have increased comparability, with a weaker effect for biological assets (IAS 41). In relation to the optional use of fair value, comparability increased in relation to property (IAS 16) because some companies discontinued fair value measurement. Under IAS 39, the fair value option for other financial assets and other financial liabilities decreased comparability. Options to use fair value in other areas (intangible assets, plant and equipment and investment properties) are not generally taken up, either for on-going measurement or on IFRS adoption (under the ‘deemed cost’ option). The results suggest a conservative approach and/or lack of incentives to use fair value measurement for most companies. Exceptions include some banks and insurance companies (for other financial assets and liabilities) and companies holding investment properties.     

Does fair value accounting for non-financial assets pass the market test?

The choice between fair value and historical cost accounting is the subject of long-standing controversy among accounting academics and regulators. Nevertheless, the market-based evidence on this subject is limited. We study the choice of fair value versus historical cost accounting for non-financial assets in a setting where market forces rather than regulators determine the outcome. In general, we find a very limited use of fair value accounting. However, the observed variation is consistent with market forces determining the choice. Fair value accounting is used when reliable fair value estimates are available at a lower cost and when they convey information about operating performance. For example, with very few exceptions, firms’ managers commit to historical cost accounting for plant and equipment. Our findings contribute to the policy debate by documenting the market solution to one of the central questions in the accounting literature. Our findings indicate that, despite its conceptual merits, fair value is unlikely to become the primary valuation method for illiquid non-financial assets on a voluntary basis.     

Corporate governance,SFAS 157 and cost of equity capital: evidence from US financial institutions

This study examines the association between fair value measurements and the cost of equity capital under different fair value valuation methods, and assesses the impact of corporate governance on this relationship for US financial firms. We find that firms’ cost of equity capital is negatively associated with more verifiable fair value assets and positively related to less verifiable fair value assets. Furthermore, the positive association between less verifiable fair value assets and the cost of equity capital is mitigated under better corporate governance. The differential impact between more and less verifiable assets becomes smaller for firms with stronger governance. Our findings contribute to the ongoing debate on fair value regulation by investigating the economic consequences of adopting Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157) and the importance of audit committee financial expertise on fair value reporting. We also provide evidence on the importance of board independence, internal control strength, auditor industry specialists, and audit committee financial experts in fair value reporting.     

Usefulness of comprehensive income reporting in Canada

In January 2005 the Canadian Accounting Standards Board (AcSB) issued three new accounting standards that require Canadian firms to mark-to-market certain financial assets and liabilities and recognize the holding gains and losses related to these items as other comprehensive income or as part of net income. The Board’s objectives for issuing the new standards are (i) to harmonize Canadian GAAP with US and International GAAP, (ii) to enhance the transparency and usefulness of financial statements, and (iii) to keep pace with changes in accounting standards in other countries that are moving towards fair value accounting. This paper investigates empirically whether requiring Canadian companies to report comprehensive income and its components provides the securities market with incremental value-relevant information over the traditional historical-cost earnings approach.Previous empirical studies provide mixed evidence on the value relevance of other comprehensive income and its components. This mixed evidence may be attributed partially to the use of as if methodology to construct an ex-ante measure of other comprehensive income prior to the implementation of SFAS 130, which introduces measurement error. In contrast, this study uses actual data on other comprehensive income for a sample of Canadian firms cross-listed in the US in the period 1998–2003. We find evidence that available-for-sale and cash flow hedges components are significantly associated with price and market returns. We also find that aggregate comprehensive income is more strongly associated (in terms of explanatory power) with both stock price and returns compared to net income. However, we find that net income is a better predictor of future net income relative to comprehensive income. Our findings suggest that mandating all Canadian firms to adopt the new accounting standards is expected to enhance the usefulness of financial statements. Our findings, therefore, should be of interest to Canadian accounting policy makers as they provide ex-ante evidence on the potential usefulness of mandating firms to report comprehensive income and the components of other comprehensive income in their financial statements.     

公允价值会计对保险公司财务报告的影响

主要探讨公允价值会计对财务报告体系和结构的影响。公允价值会计对财务报告的各要素都产生重大影响,从而影响保险公司财务报告本身。其中关键的因素是保险负债的评估,虽然保险责任准备金没有直接的市场价格,但是,只要构成保险责任准备金的各种要素反映了市场价格,就可以认为保险责任准备金具备了公允价值。在假设层面上,行业假设是假设市场...     

Performance Reporting under Fair Value Accounting

Abstract

This paper compares performance measurement under fair value accounting vs. U.S. GAAP accounting. As illustrated in the paper, the main difference between fair value accounting and U.S. GAAP accounting lies in the treatment of gains and losses on both assets and liabilities. Fair value accounting would report all gains and losses on both assets and liabilities in the period in which they arise. U.S. GAAP on the other hand, recognizes gains and losses over the life of the block of business (or at the time of a transaction). When net gains and losses on assets and liabilities are immaterial, the pattern of earnings under both systems can be quite similar. However, If a company is generating significant gains or losses on its net book of business (such as in the case of an asset/liability mismatch), fair value accounting will reveal this much sooner than U.S. GAAP. When the full impact of its actions (including gains and losses) is reported in the current period, management is in a better position to understand how the value of the company is changing and adjust its decisions accordingly. This is one of the main reasons for moving to a fair value system and is expected to be a major benefit if fair value accounting is ultimately adopted.