由S&P500公司觀察指定公平價值之金融商品對資訊不對稱之影響-以買賣差價、股票週轉率及盈餘波動性分析

Abstract

In February 2007, the Financial Accounting Standards Board released the Statement of Financial Accounting Standards No. 159, The Fair Value Option for Financial Assets and Financial Liabilities— Including an Amendment of FASB Statement No.115. An entity has the option to measure chosen financial instruments at fair value after the election dates under this statement. The goal of this statement is to improve financial reporting by providing entities with the opportunity to decrease volatility in reported earnings without having to apply complex hedge accounting provisions. The fair value option is thus expected to reduce information asymmetry. In this thesis, a sample of 539 S&P 500 companies from 2006 to 2008 is collected to observe the impact of the fair value option on information asymmetry in different industries in the United States. Following prior literature, I choose the Bid-Ask Spread, Share Turnover and Return Volatility as proxies for information asymmetry. From my empirical results, I do not find empirical support for the hypotheses that information asymmetry is lower in the entity implementing fair value option. Three possible reasons could explain the results. Firstly, all the industries in the United States were critically devastated by the subprime mortgage crisis since 2007. The influence of subprime crisis was apparent in 2007 and has severe impact on the financial system in every industry in the United States. Secondly, the managers may have an earnings management incentive to choose to early adopt the fair value option because they have a chance to report the re-measurement effect of unrealized gains and losses in retained earnings. Lastly, the sample period of the models is only 2006 to 2008 that it is probably too short to investigate the effect of fair value option on information asymmetry.