財務會計準則公報第三十四號「金融商品之會計處理準則」，導入金融商品以公平價值衡量之原則並對避險會計作明確規範，明訂金融商品除少數例外情形，必須以公平價值衡量，且公平價值變動數須認列為當期損益，該公報亦就適用避險會計設定了若干條件，其中尤以衡量避險有效性最為不易，並非所有的財務避險均可適用避險會計處理方式，該公報亦未強制避險交易必須適用避險會計，致適用避險會計雖可降低公平價值變動對企業財務報表的衝擊，但企業及金融機構適用避險會計之家數並不普遍。 「如果不具備財務金融背景者，難以一窺究竟」 ，因為金融業為增加業務競爭力，不斷推出創新金融商品以滿足客戶需求，其本身為妥善管理風險亦積極從事避險交易，其適用避險會計之意願與能力理應較一般企業為強，惟實際情形並非如此，本文針對選樣的金融機構展開問卷調查，探討避險會計適用現況與問題癥結。 在樣本中約有一半的金融機構適用（含部份適用）避險會計，且以金控旗下的大型銀行為主，適用的理由以充分揭露銀行經營績效者最多，其次為簽證會計師建議及自行研究討論等；不適用的主要原因為不具預期效益、其次依次為被避險商品結構太複雜、政策未強制採用避險會計等。 由金融機構調查的結果大致可以推論企業適用避險會計之比率更低。 本文針對金融機構普遍承作的資產交換避險交易，舉一實例探討如何適用避險會計，並衡量避險有效性。該實例以代替變數（proxy）衡量利率單項因素對債券價格的影響變動數，發現如果適用避險會計時，「被避險項目和避險工具之公平價值變動數對於損益的影響」會小於不適用者。就評估避險有效性而言，公平價值避險會計單就利率單項因素對債券價格之影響評估，其正確性及穩定性遠較不區分利率與信用因素之自然避險方式為佳。 鑑於衡量避險有效性的過程繁複，嗣後之定期性評價與避險有效性衡量亦為沈重負擔，建議專業之財金資訊系統業者，除評價功能外，亦能提供避險性衡量之功能。此外，金融機構於設計新種金融商品，最好能同時針對相關之避險交易，研究如何以公平價值衡量以及如何計算避險有效性，除了可直接因應本身適用避險會計之需要外，尚可提供予其企業客戶參照適用，間接有助於金融商品之行銷。至於目前國內極為普遍之以可轉換公司債為標的之資產交換避險交易，尚有待於金融業者與會計業者共同研究出可行之避險會計處理方式。 本論文係利用彭博資訊（Bloomberg LP）提供之功能，用以探討避險會計實例，後續研究者，亦可嘗試以其他資訊系統提供之套裝功能測試是否仍有相同之結果。

本文主要目的是探討壽險責任準備金公平價值之評價分析，根據台灣的利率市場，用符合財務經濟學的原則，計算出準備金的公平價值（Fair Value）。而準備金之公平價值是以準備金之最佳估計值（Best Estimate）加上風險邊際（Risk Margin）為原則。目前國內準備金之現行制度對於法定準備金僅假設未來利率固定，並未考量利率變化情形，本文將採用隨機利率的方式來評估國內強制分紅保單準備金的公平價值。隨機利率之模型本文採用無套利模型中的Ho-Lee model，利用此模型求得準備金之最佳估計值。並以主成分分析法（Principle Component Analysis）模擬未來之利率情境，求得準備金之風險邊際及公平價值。另外，由於國內尚無足夠資料建立合適之解約率模型，本文僅參考過去文獻額外假設二種與利率相關之解約率模型，及二種不同於原保單之分紅策略，探討準備金公平價值之變動。 本文之研究結果分析如下： 1.死差、利差可互抵之分紅策略，雖降低了保險公司之負債，但仍遠不及忽視隨機利率所造成的嚴重虧損。 2.取兩年定期儲蓄利率之前三年算術平均值作為分紅標準會降低紅利價值，此結果支持選擇權價值與波動率之正向關係。 3.利率敏感型之解約行為會使得紅利價值高於固定解約行為之紅利價值。而考慮隨機利率雖會造成市場上該強制分紅保單之負債大幅提昇，然而考量利率敏感型之解約行為使得保戶容易因為市場利率的走高而解除保險契約，此舉反而解救了保險公司。

我國財務會計準則三十四號公報「金融商品之會計處理準則」所帶來之重要變革，在於要求企業以公平價值為原則衡量金融商品。本研究欲探討在以評價模式估計金融商品公平價值的情況下，是否會對會計資訊可靠性造成影響，並提出相關建議作為主管機關制定規範之參考。本研究以股票選擇權為例，探討各種不同情況下金融商品公平價值估計之差異，以及企業在其中的操縱空間。 研究結果顯示，各種不同股價報酬波動性估計方式，對選擇權公平價值估計結果造成重大影響。本研究建議，主管機關對企業於財務報表中金融商品公平價值之揭露，應嚴加把關審核，以落實並強化公報中對資訊揭露之要求。此外，主管機關亦可因應特殊情況之需要，針對某些特定金融商品建立公平價值估計之實務操作細部指引。以期在施行三十四號公報提高資訊攸關性的同時，減少實務操作上可能遭遇之困難，並降低其對資訊可靠性之負面影響。 / According to the significant reform brought by the R.O.C. Statements of Financial Accounting Standards No. 34 “Accounting for Financial Instruments”, the enterprises are required to measure their financial instruments based on the fair value. This research topic is in relation to whether the reliability of accounting information will be affected under the condition of measuring the financial instruments by using pricing models, and therefore provides a reference for the authority in determining the future standard. In order to understand the differences in the fair value of financial instruments measured under different conditions and how the enterprises may manipulate their financial statements, we take the stock options for example to explore. The main finding is that the volatility of different stocks’ returns has significant effects on the measurement of the fair value of the options. The result of the research suggests that in order to enforce all of the disclosures about financial instruments, the authority should be stricter with all financial instruments disclosure requirements. Besides, the authority can establish guidelines on how to measure the fair value of some specific financial instruments under certain exceptions. We expect less foreseeable difficulties and adverse impacts on the reliability of information while practicing the statement No. 34 to improve the relevance of accounting information.

在公平價值會計下，對於一般投資人而言，評價品質是投資人關注的重要面向，但由於投資人無法取得評價的細部資料，因此若能由公開的評價資訊，推估公司應有的價值，當有助於對該公司作出適當的投資決策。 本文利用理論推導以及英國上市地產公司實際的評價資料，主要探討三個研究議題：一是針對實務上有些公司委由外部評價人員評價，而有些卻由內部評價人員自行評價，本文希望能以理論推導的方式，分別探討投資人能夠區分評價品質的分離均衡，以及投資人不能區分評價品質的混同均衡，並發展實證模型來驗證理論模型的預測。二是相對於外部評價人員，由內部評價人員評價涉及盈餘管理的可能性較高。因此，本文探討在此種情境下，公司管理當局如何選擇評價人員、決定盈餘管理數額，查核會計師如何選擇查核努力程度，並分析可能影響盈餘管理程度的因素。三是延伸Ross (1977)的資本結構信號傳遞理論，探討除了負債比例外，評價品質是否有助於投資人正確推估公司價值。 主要的研究發現有四點：一是投資人能夠區分評價品質，除了與評價成本有關外，聲譽也是重要的考量。二是選擇由外部評價人員評價的公司，通常具有風險相對較小的企業特性，其受評資產價值變異程度較大而且外部評價人員評價相對較為精準。三為理論與實證上都支持由內部評價人員評價時，內部評價人員評估誤差變異程度相對資產價值變異程度愈小，則懲處成本對盈餘管理的負向影響愈小。而當公司內部人持股價值愈大時，其盈餘管理動機雖可能愈強烈，但一旦遭受懲處，懲罰成本對其影響將會愈大。當然，此結論有其政策意涵，具體作法除了可以加重盈餘管理的懲處外，更重要的是在政策上落實評價制度，讓評價資訊更為透明，才是根本解決盈餘管理問題之道。最後，本文實證發現評價品質可能才是傳遞公司價值的有效工具，評價品質應是有助於釐清投資人對公司價值的判斷。 / Fair values are used to measure some assets and liabilities more pervasively in recent years, but appraisal reports are not open to investors. Fundamentally, we view accounting information as having the potential to tell us about the valuation of the reporting firm’s common stock. This paper investigates whether appraisal quality is useful information to investors. The first purpose of this paper is to examine whether the market possesses full information about the activities of firms through appraisal quality. The second purpose of this paper is to analyze how management choose appraiser, propose earnings management and how auditors select audit effort to deter earnings management. In addition, we investigate the determinants of earnings management. By extending the incentive-signalling approach, the third purpose of this paper is to examine whether the investors can infer firm value from financial structure and appraisal quality. Our analytical and empirical results find that investors can discriminate high appraisal quality from low by estimation error volatility and firm’s reputation considerations. As to appraiser choice, we find that external appraisers are more likely to be hired by low-risk firms when the inherent volatility of investment property is larger and the relative estimation error volatility of external appraisers is smaller than that of internal ones. In addition to punishment cost, transparent appraisal information is essential to increase the reliability of appraisal estimate. By and large, appraisal quality is useful information to investors.

財務報表公平價值之表達，因為能即時反應企業最新的財務績效，以致擁有較佳決策攸關性，近年來為世界各國會計準則制定之趨勢。然而，2008年全球經歷金融海嘯後，公平價值會計合適與否的議題浮上檯面：增加財報攸關性的同時，公平價值會計是否卻降低了財務資訊之可靠性？ 　　本研究採用Khan and Watts(2009)發展出之C_Score作為衡量財報可靠程度的值，以此檢視台灣上市櫃公司實施金融商品公平價值會計準則後，對財報可靠性之影響。實證結果發現，準則的採用有助提升整體產業財報可靠性；然而於景氣繁榮時，反倒使財報可靠性較為減低。另外，準則實施後，金融相關產業每年財報可靠值之變化方向與其他產業一致，然而幅度顯著較大；以此也了解到，金融海嘯期間，美國金融業之所以積極提出應廢止或暫停公平價值會計準則，有其原因。 　　最後，以市價淨值比再度驗證C_Score之有效性，得出相同結果；亦觀察到我國近年來整體公司的財報，有愈加可靠之趨勢。 / Recently, since fair value accounting used in financial statements provides better representation over the operating result of enterprises, as well as leads to better decision making, it has become the trend for accounting principle setting internationally. However, after encountering the global economic tsunami in 2008, whether using fair value accounting is suitable has become a discussion floating over the counter as: when increasing the relevance in financial statements, will the reliability of financial information decrease at the same time? 　　This study uses C_Score developed by Khan and Watts(2009) to evaluate the effect on the reliability of financial statements over Taiwan companies traded in the exchange and over-the-counter market, after adopting fair value accounting standards of financial instruments. The empirical test shows that after adopting the standards, it helps to increase the reliability of financial statements of overall industries; however, when the market environment is good, it decreases the reliability of financial statements. Then, after adopting the standards, the reliability of financial statements in financial related industries changes in the same direction as other industries, but its value is significantly larger. Considering this fact, it is understandable that during the period of economic tsunami, why financial industry in the United States claims to abolish or pause using fair value accounting aggressively. 　　Finally, by using market-to-book ratio to test the effectiveness of C_Score, the result is same as previous. It is also observed that financial statements of the whole industry have become increasingly reliable in recent years.

壽險業所販賣之商品通常為長年期保單，此一商品特性使得壽險公司的責任準備金(負債)非常容易受到市場利率波動而產生變動，進而影響到公司的清償能力。因此，資產負債管理對壽險公司來說一直是非常重要的一個課題。 過去的會計制度並未強制要求保險公司在財報中反應出準備金對利率的波動，資產負債管理的好處便無法在這樣的會計制度之下產生原有的作用，進而可能導致保險公司不重視這樣的管理方式。近年來保險監理的國際趨勢致力於加強準備金公平衡量以及真實揭露保險業的負債價值，因此我們可以預期在未來準備金的波動對保險公司的影響會較現在來得顯著，資產負債管理對壽險公司也應該會有較為顯著的影響。 本研究採用模擬的方式，比較不同投資策略的壽險公司在不同會計制度之下的財務狀況，進而探討資產負債管理的策略是否確實能讓保險人在公平價值準備金下較不受利率波動之影響。本研究的結果顯示在公平價值準備金的架構下，採用資產負債管理的壽險公司其損益會較沒採用資產負債管理的壽險公司穩定；若是在帳面價值準備金的架構下，採用資產負債管理的公司反而因為做出了多餘的避險行為致使其損益較不穩定。另外，本研究發現若是保險公司在資產負債策略下所採用的避險指標不符合目前法規，對公司的損益也會造成不必要的波動。因此本研究認為保險公司在實行資產負債管理策略時，應該參照目前會計制度下所給定的方式來做避險，進而達到最大的效益。 / Life insurers' liability value is relatively sensitive to interest rate due to the long term characteristic of the policies. The high leverage ratio strengthens the impact on how interest rate can influence solvency.. Life insurer therefore should manage their assets and liability in a prudent way. In the past, supervisory authorities used to regulate the insurer to recognize their liabilities in book value, which makes the benefits of ALM insignificant. Under such regulation, the main purpose of asset allocation for most of the life insurers was to generate higher investment return instead of matching asset with the liability, nor to maintain risk at acceptable level under book-value reserving. The international financial report standard No.4 (IFRS4) suggests that insurers should measure their liability under fair value in the future. The new regulation may increases the volatility of the life insurer's liability and emerges the benefit of ALM The objective of this article is to compare the effect of ALM strategy on life insurer's financial statement under both accounting standards via simulation methods. The result shows that the insurers with ALM face more stable financial statement if they manage their interest rate decently. One of the results shows that the insurers who manage their asset based on fair value duration faces more volatility than insurers without ALM under book value reserve. This implies that the insurer with ALM still suffers higher volatility if the regulations do not support such behavior. We therefore suggest that the insurers should manage their asset based on their liability interest rate risk under the condition that they choose the appropriate interest rate risk indicator to fit different regulations.

人壽保險業為特許行業，各國基於不同監理目的而有不同會計處理規定，導致各國會計差異問題的浮現。台灣自 2011 年 1 月 1 日起正式 適用國際財務報導準則保險合約第一階段規範與國際接軌，其為過渡性準則，乃說明保險合約之定義、合約之認列與衡量及其揭露等，實施後影響不大。但實施後保險業仍存在對資產採公平價值評價，而對負債 (責任準備金) 採成本法評價之不一致現象。因此，為達資產負債 管理的一致性，將實施 IFRS 4 Phase II，對保險負債採公平價值評價並 規定保險負債須以無風險利率評價。本研究將在 IFRS 4 Phase II 對負債公平價值的規範架構下，以壽險 業商品的準備金為例，評估 IFRS 4 Phase II 實施後其準備金價值及公 司財報損益所會產生的差異。此外，探討 IFRS 4 Phase II 實施後對壽 險業的評價影響，諸如服務邊際、現金價值與風險調整，包含此財務揭露改變是否將對壽險業之商品類型造成影響。 / Life insurance corporation should be granted a franchise by the government in every countries. The purpose of supervision based on different countries have different accounting rules, leading to differences in national accounting problems. Taiwan has officially adopted the framework of International Financial Reporting Standards 4 Phase I since January 1, 2011. IFRS 4 Phase I is a transitional guidelines, which includes some definitions of insurance contracts. The principles of IFRS Phase I doesn’t cause serious effects for life insurance corporations. However, the problem of mismatching between the fair value of assets and the book value of liabilities still exists. Therefore, in order to achieve consistency management in asset and liability, the fair value valuation for liabilities is required under the frame work of IFRS 4 Phase II In our research, we would take a policy for example to evaluate the fair value of liabilities under the framework of IFRS 4 Phase II. Besides, we also analyze the the influences for life insurance companies after applying the IFRS 4 Phase II.

本研究的主要目的，在於以認知、情感和行為三個層次，來探討領導者對內、外團體部屬的組間偏私（intergroup bias）現象。主要核心議題為：（一）探討領導者對內、外團體部屬的「認知分化」（領導者在認知上能清楚區分內、外團體部屬間差異的程度）、「情感分化」（領導者對內、外團體部屬在情感上喜好不同的差距程度）和「行為分化」（領導者對內、外團體部屬在行為上差別待遇的程度）三者間的關係。（二）探討領導者的個人特性（公平價值觀、認知需求）是否會影響上述認知、情感和行為分化間關係。（三）領導者公平與否是否會影響其整體領導效能。研究者以Fazio（1990）的「動機與機會決定模式」（Motivation and Opportunity as Determinant model，MODE）為理論基礎，以結構方程式檢驗Fazio所提之「慎思歷程」（deliberative processing）（「認知」影響「情感」進而影響「行為」）和自發歷程（spontaneous processing）（「情感」影響「認知」進而影響「行為」），何者較能描述領導者對部屬之組間偏私現象。樣本為軍事院校學生（領導者），經由前導研究（工具及變項修正；N=42）、研究一（相關法；N=98）、研究二（實驗法；N=93）等三個研究，結果顯示：（一）「慎思歷程」較能描述領導者之組間偏私，亦即領導者之組間偏私歷程傾向於「認知分化」影響「情感分化」進而影響「行為分化」。（二）其中「認知分化」和「情感分化」呈正相關傾向，而高「認知分化」之所以會造成高「情感分化」，是由於領導者產生了外團體拒斥（out-group derogation）而非內團體偏私（in-group favoritism）。（三）「情感分化」亦和「行為分化」呈正相關趨勢，但此種相關趨勢的強弱會受到領導者的個人特性（公平價值、認知需求）的調節，當領導者為高公平價值 ／ 認知需求時，情感分化和行為分化的相關會比低公平價值 ／ 認知需求者來得低。（四）領導者公平與否（對部屬的情感 ／ 行為分化），並不會影響其整體領導效能。

歐盟保險業新監理架構Solvency II 於第5 次量化衝擊研究完成後計畫將在近年正式施行，我國保險業監理制度是否朝採用Solvency II 架構的方向前進仍未為定論，但必頇先行瞭解採行此制度可能對業界造成的影響。 本研究以2010 年8 月時CEIOPS 對Solvency II 所進行的第5 次量化衝擊研究QIS5 設立的標準與原則，對公司的資產與負債做假設後，以公帄價值法衡量壽險公司各部位資產位與負債，包括準備金的公帄價值衡量，並利用QIS5 所提供之計算工具標準法計算四家台灣壽險公司在2009 年底時的清償資本要求SCR。而QIS5 是在金融風暴後不久，當時環境使得利率極低，為了估算在利率環境較正常的情況下，本研究以2007 年底之利率做敏感度分析，重新計算各公司之資產與負債狀況與清償資本要求SCR。 研究結果發現在本研究假設下，負債面的準備金提存不足，保險公司以經濟 資本角度來衡量已經屬於破產狀態。投資型分離帳戶以外的準備金計算與目前準備金計提的方式除了頇以公帄價值衡量保險責任的最佳估計外，另外需要計提風險邊際，此數額約為最佳估計總額的12.4%至30.2%，保險公司自有資本不足有很大的因素是由於此部分準備金的計提。 也發現所計算出的SCR 中所最大的比率為利率風險或匯率風險，在假設以較 高利率環境做敏感度分析後發現壽險公司淨值仍然為負數，且所需要的SCR 與之前所得結果相差不大，顯示壽險公司負債部位對利率敏感度相當高，即使曝險部位變少，對於未來的利率變動仍需要準備相當大的資本以防範虧損。 / After the completion of the Fifth Quantitative Impact Study (QIS5) for the new insurance industrial regulation framework- Solvency II, European Union planned to implement the project in few years. No matter that the regulatory system of insurance industry in Taiwan will follow the trend or will not, it is a must that we should estimate the impacts on the whole industry before making the decisions. This study have an aim to estimate the Solvency Capital Requirements of 4 life insurance companies in Taiwan in the same principles with QIS5, which were took place in August 2010 by CEIOPS. In order to calculate the SCR, we made a lot of hypotheses and then estimated the fair value of the company assets and liabilities, including the fair value of technical provision. By means of the calculating helpers provided by CEIOPS used in QIS5, we found out the SCRs of these companies when they were on 31 December 2009. Then we performed the sensitivity analysis by the different interest rate which is based on the data on 31 December 2007, and recalculated the SCRs of the companies. This study had conclusions that the technical provisions were not sufficient to fulfill the obligations in aspect of the economic value. The surplus of companies were exhausted, because the technical provisions increased by fair valuation. Also, the heavy loadings of risk margins as 12.4% to 30.2% of the best estimates were the important reason of the negative own fund. We found that the capital requirements of interest risk and currency risk took great percentages of total SCRs. And the SCRs will not reduce in great amount caused by technical provisions reduced in the situation that interest rate come back to the level in 2007. It showed that the SCRs had great sensitivity to the interest risk and insurance companies should prepare sufficient own fund to prevent financial crisis caused by interest rate shock.

本研究探討我國導入一系列公平價值會計之市場反應，本文分別從市場景氣狀況以及財報品質、盈餘管理及公司治理四個面向檢視資本市場之反應。實證分析顯示，由於公平價值會計的順循環效果，於市場景氣較佳時其異常報酬較高，反之則較低，而金融業順循環效果比一般產業來的強，而財報品質愈差、盈餘管理可能性愈高、公司治理機制愈弱的企業，股票市場對此事件的正向反應愈強，其原因可能為公平價值會計導入將有助於提升財報品質、降低盈餘管理的機會，並減少內外部人資訊不對稱的情況。 本研究結果顯示公平價值會計的採行將有助於財報透明度的提升，避免企業財報隱藏其財報增減值的部分，對投資者是具有效益的，但同時，公平價值會計將財報資訊與市場景氣連結，將造成其財報數值的波動加劇。 / This research from four aspects, business cycle, financial reporting quality, earnings management, and corporate governance, examines that Taiwan stock market reaction to the seventeen events associated with adoption of Fair Value Accounting (FVA). The empirical results reveal that due to Fair Value Accounting’s procyclical effect, when economic is booming the market tends to positively react with FVA and banking industry displays a higher procyclical effect than other industries. The study also finds that with FVA investors tend to have positive reaction on firms’ pre-adoption information with lower financial quality, higher earnings management possibility and weaker corporate governance. The findings suggest that the FVA adaption increased the quality of financial reporting, reduced earning management and decreased information asymmetry. In the meantime, the FVA links financial reporting with business cycle which might aggravate the financial reporting’s fluctuation.