本文選題：公允價(jià)值 + 分層計(jì)量　； 參考：《西南交通大學(xué)》2017年碩士論文

【摘要】：2008年的金融危機(jī)使公允價(jià)值計(jì)量屬性差點(diǎn)退出歷史舞臺(tái),幸虧國際學(xué)者們對(duì)公允價(jià)值計(jì)量做出一系列的實(shí)證檢驗(yàn)后顯示公允價(jià)值計(jì)量可以提供比歷史成本計(jì)量更加可靠的財(cái)務(wù)信息,力挺了公允價(jià)值計(jì)量的存在意義。之后隨著經(jīng)濟(jì)的復(fù)蘇,該計(jì)量屬性漸漸被市場所認(rèn)可,被企業(yè)普遍運(yùn)用,特別是金融行業(yè)的上市公司。此外,隨著我國市場經(jīng)濟(jì)的不斷成熟,財(cái)務(wù)信息使用者對(duì)企業(yè)會(huì)計(jì)準(zhǔn)則提出了新的要求,他們希望能夠得到更加可靠的會(huì)計(jì)信息,以幫助其做出更加有效的投資決策,加上在國際會(huì)計(jì)準(zhǔn)則的推動(dòng)下,2014年我國財(cái)政部發(fā)布了 CAS39號(hào)文件,這是我國針對(duì)公允價(jià)值計(jì)量屬性做出的最新的要求,其中未了響應(yīng)國際號(hào)召,該文件增加了當(dāng)前國際上普遍使用的公允價(jià)值層級(jí)理論。即財(cái)政部規(guī)定,2014年7月開始各行各業(yè)應(yīng)對(duì)公允價(jià)值金額進(jìn)行分層披露,以增強(qiáng)財(cái)務(wù)會(huì)計(jì)信息的可靠性,并以此來達(dá)到信息使用者對(duì)其提出的新要求。本文針對(duì)公允價(jià)值分層計(jì)量,在查閱大量相關(guān)資料后,通過改進(jìn)的Ohlson模型,以2014-2016年上海交易所和深圳交易所的金融行業(yè)上市公司為研究對(duì)象,對(duì)CAS39號(hào)文件實(shí)施后的以各層級(jí)公允價(jià)值計(jì)量的資產(chǎn)和負(fù)債與股價(jià)的相關(guān)性進(jìn)行了實(shí)證研究。其中,由于CAS39號(hào)文件是在2014年才開始實(shí)施,考慮到數(shù)據(jù)規(guī)模對(duì)研究結(jié)果的影響,將上述研究樣本的半年報(bào)數(shù)據(jù)納入研究范圍。本文選取4月和8月最后交易日的股價(jià)作為因變量P,自變量為金融行業(yè)上市公司年報(bào)和半年報(bào)中公允價(jià)值資產(chǎn)和負(fù)債的層級(jí)信息的每股數(shù),分別為:第一層級(jí)每股公允價(jià)值資產(chǎn)FVA1it、第二層級(jí)每股公允價(jià)值資產(chǎn)FVA2it、第三層級(jí)每股公允價(jià)值資產(chǎn)FVA3it、第一層級(jí)每股公允價(jià)值負(fù)債FVL1it、第二層級(jí)每股公允價(jià)值負(fù)債FVL2it、第三層級(jí)每股公允價(jià)值負(fù)債FVL3it,其余的參變量有公允價(jià)值總資產(chǎn)金額FVA1it,公允價(jià)值總負(fù)債金額FVL1it,賬面價(jià)值總資產(chǎn)與總負(fù)債的差額NFVALit以及扣除非經(jīng)常性損益后的基本每股收益NIit。在數(shù)據(jù)整理過程中,剔除了數(shù)據(jù)不完整的樣本,得到220個(gè)有效樣本。在實(shí)證部分使用的是Stata數(shù)據(jù)處理軟件,首先對(duì)樣本行業(yè)分布、樣本規(guī)模以及全部變量做了描述性分析,然后對(duì)模型進(jìn)行了多元回歸分析,最后將因變量P換成4月和8月最后交易日前的15個(gè)交易日的均值進(jìn)行穩(wěn)健性檢驗(yàn)。最終說明CAS39號(hào)準(zhǔn)則的實(shí)施情況比較良好,各層級(jí)公允價(jià)值計(jì)量的資產(chǎn)負(fù)債與股價(jià)的相關(guān)性如下:第一,單獨(dú)檢驗(yàn)資產(chǎn),第一層公允價(jià)值計(jì)量的資產(chǎn)具有價(jià)值相關(guān)性,而且是正相關(guān),第二、三層次公允價(jià)值計(jì)量的資產(chǎn)價(jià)值相關(guān)性具有滯后性,并且負(fù)相關(guān),各層級(jí)沒有逐層降低趨勢(shì)。第二,單獨(dú)檢驗(yàn)負(fù)債,各層次公允價(jià)值計(jì)量的負(fù)債均具有價(jià)值相關(guān)性并且負(fù)相關(guān),逐層降低趨勢(shì)不穩(wěn)定。第三,資產(chǎn)負(fù)債整體檢驗(yàn),第一層級(jí)公允價(jià)值計(jì)量的資產(chǎn)和第一二層級(jí)負(fù)債均具有價(jià)值相關(guān)性,第二層級(jí)資產(chǎn)和第三層級(jí)負(fù)債價(jià)值相關(guān)性不穩(wěn)定,第三層級(jí)的公允價(jià)值資產(chǎn)不具有相關(guān)性,整體檢驗(yàn)中各層級(jí)也沒有呈現(xiàn)逐層降低趨勢(shì)。這可能是由于第三層級(jí)的數(shù)據(jù)披露不規(guī)范以及第三層次本身數(shù)據(jù)太小所致,也說明企業(yè)需要加強(qiáng)估值技術(shù)的完善。
[Abstract]:The financial crisis of 2008 made the measurement attribute of fair value out of the historical stage. Fortunately, the international scholars have made a series of empirical tests on the fair value measurement and show that the fair value measurement can provide more reliable financial information than the historical cost measurement, and strengthen the significance of the fair value measurement. After the recovery, the measurement attribute is gradually recognized by the market and is widely used by the enterprises, especially the listed companies in the financial industry. In addition, with the continuous maturity of the market economy in China, the users of financial information have put forward new requirements for the accounting standards of enterprises. They hope to get more reliable accounting information to help them make more effective. The investment decision, coupled with the promotion of international accounting standards, was issued by the Ministry of finance of China in 2014, which is the latest requirement for our country's fair value measurement attribute, which has not responded to the international call. This document adds to the current universal use of fair value level theory in the world. That is, the Ministry of Finance stipulates that 2014 In July, each industry began to disclose the fair value of the fair value in order to enhance the reliability of the financial accounting information and to achieve the new requirements of the information users. In this paper, the fair value stratified measurement, after consulting a large number of relevant data, through the improved Ohlson model, 2014-2016 years Shanghai exchange and deep. The financial industry listed company of Shenzhen stock exchange is the research object. The empirical study on the correlation between assets and liabilities measured at the level of fair value of each level after the implementation of document CAS39 was carried out. In this case, the CAS39 document was implemented only in 2014. Considering the impact of the data pattern on the results of the research, the above research samples are taken into account. The share price of the last trading day in April and August is selected as the dependent variable P, the independent variable is the level of the level information of the fair value assets and liabilities in the annual and semi annual reports of the financial industry listed companies and half a year, respectively: the first level of fair value per share FVA1it, second levels of fair value per share. FVA2it, third levels of fair value per share FVA3it, the first level of fair value per share FVL1it, second level share Fair Value debt FVL2it, third level per share Fair Value debt FVL3it, the rest of the variables have fair value total assets FVA1it, fair value total liability amount FVL1it, total book value assets and total The difference in debt NFVALit and the basic earnings per share after deducting non recurrent gains and losses NIit. in the process of data sorting out of the data incomplete samples, get 220 effective samples. In the empirical part, the use of Stata data processing software, first of the sample industry distribution, sample size and all variables to do descriptive analysis, Then the multiple regression analysis was carried out. Finally, the variable P was changed to the average of the 15 trading days before the April and August last trading days. Finally, the implementation of CAS39 standard was better. The correlation between the balance of assets and liabilities and the stock price of all levels of fair value measurement was as follows: first, test assets alone, first. The assets of the fair value measurement of the layer have value relevance and positive correlation. The second, third level fair value measurement of asset value has a lag, and negative correlation, and there is no layer by layer to reduce the trend. Second, the liabilities are separately tested, and the liabilities of all levels of fair value are both of value relevance and negative correlation, Third, the overall inspection of the assets and liabilities, the first level fair value of the assets and the first two level liabilities have value relevance, the second level assets and the third level debt value correlation is unstable, the third level of fair value assets are not related, the overall inspection of the various levels is also not. There is a layer by layer reduction trend. This may be due to the third levels of data disclosure is not standardized and the third level of the data is too small. It also indicates that the enterprise needs to strengthen the improvement of valuation technology.

【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F830.42;F832.51

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