IFRS 9 與股價資訊內涵：以臺灣為例

Abstract

Using the sample of listed non-financial companies in Taiwan over years 2016-2019, and a difference-in-difference research design, this study investigates whether IFRS 9 adoption prompts firm-specific information incorporated into the market and thus enhances the stock price informativeness, as measured by stock price synchronicity. IFRS 9 replaces existing accounting standard for financial instruments IAS 39. IFRS 9 improves the classification categories and the classification criteria for financial instruments in order to provide more comparability information. In addition, IFRS 9 applies the fair value model to all equity investment, including investment in unlisted companies, which is used to be measured at cost under IAS 39 due to lack of reliably determined fair value. After IFRS 9 adoption, investments in unlisted companies are often classified as level 3 assets, resulting in the increase in the portion of level 3 assets to total financial assets measured at fair value. This study finds that after IFRS 9 adoption, stock price becomes more informative for IFRS 9 affected firms, suggesting that the increased transparency from IAS 9 adoption facilitates firm-specific information flows into the stock market and therefore reduces synchronicity, making stock price more informative. The extent to which IFRS 9 adoption affects a firm’s financial reporting is positively associated with its incremental increase in stock price informativeness. This study further finds that after IFRS 9 adoption, stock price is more informative for firms with increase in the portion of level 3 assets to total financial assets measured at fair value, suggesting that investment in the unlisted companies which is used to be measure at cost now measured even at the level 3 fair value under IFRS 9 still prompts more firm-specific information into the stock market and thus, improves stock price informativeness.