本研究首先採事件研究法探討第34號公報第二次修訂公報發布時，市場反應與是否具備資訊內涵。其次針對公司之季報發布日公司所揭露之損益影響數，研究市場對於公報第二次修訂後第一個盈餘公布時點之反應，再以Ohlson 評價模式，來驗證所揭露之損益影響數是否具價值攸關，投資人對此事件反應為何。採用logit及一般迴歸，分別探討影響公司重分類動機的因素及影響公司重分類金額多寡之因素加以實證分析。 實證結果顯示在公報修訂發布日及季報發布日具資訊內涵及價值攸關 ，投資人並有功能性固著現象產生。就重分類動機而言，當公司董監質押比率越高、TCRI信用評等等級越高、非四大會計師事務所核閱之客戶、淨值報酬率越低越傾向重分類金融資產。而就重分類金額多寡而言，董監事質押比越高、TCRI信用評等等級越高、非四大會計師事務所核閱、股利配發率越高、淨值報酬率越低，重分類之損益影響數金額越大。 / This research mainly focuses on the market responses and its information content against the second amendment re-classification of SFAS NO.34 of financial assets using event study methodology. Market responses is examined with the amount disclosed at the first announcement of quarterly report. Then Ohlson model is applied to verify whether the disclosed amount has value relevance and how investors react to the announcement. The logit and OLS regression is utilized to examine the rationale behind reclassification and what affects the amount of reclassification. The empirical result shows that the announcement date of second amendment and announcement date of quarterly report do retain information content and value relevance. The investors have shown significant functional fixation. Higher pledged share ratio of directors and supervisors, lower ROE and higher TCRI rating, and is not reviewed by big four audit firms, is positively related to reclassification of financial assets. The amount of reclassification is positively related to higher pledged share ratio of directors and supervisors, higher TCRI rating, higher dividend payout ratio, is not reviewed by big four audit firms and lower ROE.

在金融商品以公平價值評價之後，投資標的價格的波動將對以金融商品操作為主要業務之一的銀行業造成重大的影響。本企圖以經建會所公布的景氣指標和對策信號及股價指數變動作為銀行管理當局對經濟情勢看法的代理變數，探討他們是否對銀行業對各分類的金融商品買賣決策有影響力。「交易目的投資」與「備供出售金融商品」的公平價值變動對財務報表存有影響，因此另行檢驗此兩者與「持有至到期日投資」之間是否存有互補性關係。 研究發現銀行業在從事金融商品相關投資活動並未以相關經濟預測為主要參考依據，只有對股價變動對交易目的淨現金流量有影響，亦即股價波動劇烈時，銀行業者的投資行為會趨於保守。另外，根據本研究敏感性分析顯示，持有到期之淨現金流量與交易目的與備供出售淨現金流量總和在幾個主要變數間係數方向皆相反，顯示銀行業在投資標的之選擇確實有互補效果。 / After Taiwan Statements of Financial Accounting Standards (TSFAS) No.34 released, price variation of securities brings a great impact on banks, There are two purpose of this study: first, to analyze whether or not the banking industry will base on the business indicators that publicized by Council for Economic Planning and Development (CEPD) and the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) to adjust the investment tools, and second, to test whether or not the investment classification between Trading, Available-For-Sale(AFS), and Hold-to- Maturity(HTM) have complementary effects. The empirical results suggest that investment decisions do not affect by CEPD’s indices except for TAIEX. When the index of TAIEX increases, the net cashflow of Trading securities tends to be decrease. In additional, the sensitive test shows that between the sum of the net cashflow of Trading and the net cashflow of AFS and the net cash flow of HTM do exist complementary effect.

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。

美國次級房貸風暴自2007年7月爆發以來，除重創金融市場外，亦導致相關會計準則之修訂。本研究以我國金融業為對象，探討：（1）以公平價值認列之金融商品及相關金融資產負債之損益，其財務報導是否具有價值攸關性；（2）金融資產減損損失對投資人之影響是否重大；（3）可能產生減損損失之金融資產其財務報導是否具有價值攸關性；以及（4）財務會計準則第34號公報第二次修訂對投資人之影響為何。 / 本研究之主要發現如下：（1）以公平價值認列之金融商品具有價值攸關性，亦即其對投資人具有參考價值；（2）金融資產減損損失及無活絡市場之債券投資具有價值攸關性，金融資產減損損失增加時，會降低公司之價值，而影響投資人決策；以及（3）第34號公報第二次修訂之內容，對股價具有負向之解釋能力，亦即投資人並不認為金融商品重分類規定之放寬，有助於降低金融風暴對於金融業可能帶來的衝擊。 / Since the U.S. subprime mortgage crisis broke out in July, 2007, it not only inflicted heavy losses to global financial markets, but also caused changes in accounting standards. Using the financial industry in Taiwan as research sample, this study examines: (1) whether financial instruments measured at fair value and their reported gains and losses in the financial statements have value-relevance; (2) the influence of impairment losses of financial assets; (3) whether the financial instruments related to impairment losses of financial assets are value-relevant; and (3) the influence to investors before and after the Statements of Financial Account Standard (SFAS) No. 34 second revised. / This study’s major findings are as follows. The financial instruments measured at fair value are value-relevant and can provide incremental information to investors. Impairment losses on financial assets and non-active market investments also have value-relevance. If a company has more impairment losses on its financial assets, it may negatively affect the firm’s value and change investors’ decisions. As for the second revision of SFAS No. 34, it did not reverse investors’ expectations of the negative effect of the aforementioned financial crisis on the financial industry in Taiwan.

本研究之研究主題有兩大部份。第一部份探討公司特質與其使用衍生性金融商品之關聯性。第二部份探討公司特質與其使用衍生性金融商品程度之關聯性，並檢驗我國財務會計準則第34號及第36號公報實施後，對企業操作衍生性金融商品之影響。 第一部份之實證結果顯示，公司規模愈大、長期負債比率愈高、股利發放率愈高、流動比率愈低、研發費用率愈高以及外銷比率愈高之公司，愈傾向使用衍生性金融商品。上述公司特質為企業使用衍生性金融商品之決定因素。 第二部份之實證結果顯示，公司規模愈大、長期負債比率愈高、股利發放率愈高以及外銷比率愈高的公司，其衍生性金融商品使用程度愈大。此外，第34號及第36號公報實施後，樣本公司使用衍生性金融商品之程度低於公報實施前，故推論此兩號公報之實施，的確影響公司對於衍生性金融商品之操作，使其態度趨於保守。 / This study focuses on the following issues. First, this study examines the relationship between corporate characteristics and its use of derivatives. Second, I further investigate the relationship between corporate characteristics and its degree of use of derivatives. In addition, the impact of SFAS No.34 and No.36 on corporate use of derivatives is also examined. The main conclusions are as follows. On the first issue, the empirical results show that for the firms with greater size, greater long-term liability ratio, greater dividend payout ratio, lower current ratio, greater R&D ratio and greater export ratio, they are more likely to use derivatives. These characteristics are important determinants for corporate use of derivatives. In the second issue, the empirical results indicate that for the firms with greater size, greater long-term liability ratio, greater dividend payout ratio and greater export ratio, their degrees of using derivatives are greater. In addition, the degree of corporate use of derivatives decreases after SFAS No. 34 and No. 36 became applicable. The corporate use of derivatives became more conservative after the application of these two pronouncements.

本研究採用Sloan(1996)架構，以Mishkin(1983)測試市場效率性，欲探討備供出售金融資產未實現損益（以下簡稱未實現損益）之價值攸關性，研究結果如下：盈餘預測模式(earning forecasting model)顯示，從未實現損益之變化觀察出金融控股公司似乎有Shefrin and Statman(1985)處分效果（即當期備供出售金融資產未實現利益會於下一期實現，增加下期備供出售金融資產已實現利益），因此當期未實現利益能預測下一期盈餘，而銀行業則無處分效果，其未實現損益不具預測性；合理定價模型(rational pricing model)顯示，只有金控公司未實現損益對異常報酬率達到邊際(10%)顯著，且異常報酬率為隔年六月至後年五月的累積異常報酬率(CAR)與購買並持有報酬率(BHAR)才存在此現象，而不管是銀行業或是整體樣本來看，未實現損益並未被合理定價；結合二個模型測試市場效率性，發現備供出售金融資產未實現損益不具市場效率性，而金融工具評價損益則具有市場效率性。 / This study investigates the value relevance of unrealized gains and losses on available-for-sale securities(hereinafter “UAFS”) by adopting the framework of Sloan(1996) and using Mishkin Test(1983) to examine the market efficiency. The reults are as follows: The earnings forecasting model shows that financial holding companies’ UAFS is predictive of one-year-ahead earnings. It seems that the change of UAFS of financial holdings consists with the theory of disposition effect of Shefrin and Statman(1985) which suggests that investors tend to realize the gains of securities in the next period while hold loss securities. Therefore, it is likely that UFAS could forecast next period earnings of financial holding companies. The rational pricing model shows that only UAFS of financial holdings are rationally priced with marginal significance through abnormal returns (CAR and BHAR) for the period beginning five months after the firm’s fiscal year-end through the fifth month after the next fiscal year-end, whereas the coefficients of banks or all sample are insignificant. Combinig with the two models to test market efficiency, this study finds that unrealized gains and losses on available-for-sale securities are inefficient while the valuation gains and losses on financial instruments are efficient.

本研究之目的在探討，上期對本期所做之盈餘預測與本期實際盈餘間誤差所產生之未預期盈餘，對於管理階層在本期預測下期盈餘以及財務分析師針對該預測所作之預測修正，即對於該兩者的攸關性是否會隨著34號公報之實施而提高，也就是說，在34號公報實施之後，未預期盈餘對於管理當局盈餘預測以及分析師預測修正之影響，是否會更加顯著相關。 實證結果顯示，不論34號公報適用前後，管理當局盈餘預測與未預期盈餘之間皆具有攸關性，但在34號公報適用之後，兩者之間的顯著性並未增強；而另一方面，在34號公報適用前後，財務分析師盈餘預測修正與未預期盈餘之間皆具有攸關性，且在34號公報適用之後，兩者之間的顯著性有增強。 / This thesis examines whether the issuance of SFAS No.34 can heighten the association between the unexpected earnings for current period and the management earnings forecast for the next period. This research also examines if the issuance of SFAS No.34 will heighten the relationship between the unexpected earnings for current period and the analysts’ revision of the management earnings forecast for the next period. The unexpected earnings mean the difference between the earnings forecast for current period and the actual earnings in current period This thesis finds that there is a negative association between management earnings forecast and the error of the expected earnings whether SFAS No.34 has been issued or not, but the issuance of SFAS No.34 doesn’t heighten the association between the management earnings forecast and the error of the expected earnings. Besides, the result of the research shows that there is a positive relationship between the analyst’s revision of the management earnings forecast and the error of the expected earnings. Furthermore, the relationship is heightened by the issuance of SFAS No.34.