Bank regulators limit the amount of deferred tax assets includable in the capital ratio calculations which measure the bank’s financial health. The increased balances in bank deferred tax assets after the beginning of the financial crisis raised concerns that applying this deferred tax asset regulatory capital limitation may contribute to the need for banks to raise more capital. Value relevance is the ability of information disclosed in the financial statements to capture and summarize firm value. Deferred tax value relevance literature generally omits the regulated industries. Because fair value accounting plays a much larger role the banking industry, the market value of a bank has a different relationship to its book value than its unregulated counterparts. Using annual bank data from 2004 through 2012 for publicly held banks in the United States, this study empirically examines the value relevance of the banks’ net deferred tax assets and liabilities over time (pre-crisis versus crisis periods). Findings indicate that although the deferred tax liabilities are value relevant in both the pre-crisis and crisis periods, the value relevance of the net deferred tax assets is limited to crisis period (increased net deferred tax asset balances). An additional test shows that investors view the increased levels of net deferred tax assets in relation to total assets as concerns about the bank’s financial health. This study also examines the whether investors value the net deferred tax assets of less financially healthy banks (low Tier I capital ratios) differently from the healthier banks. Findings indicate that the coefficient of net deferred tax assets for the less financially healthy banks is negative and significant. Using another measure of financial health (high probability of failure) finds similar results. This study extends the value relevance literature to the deferred tax accounts of commercial banks. It also shows that the deferred tax asset accounts are valued differently than the other assets, supporting the deferred tax asset limitation for capital ratio calculations. Finally, this study provides information useful to analysts’ valuations of the banks’ deferred tax accounts.

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本研究以實證檢驗了「營業虧損扣抵遞延所得稅資產」之評價，以及其對股價之價值攸關性。本研究除了發現「營業虧損扣抵遞延所得稅資產」與股價顯著正相關，具有「資產」的性質外，另外觀察在加入「營業虧損扣抵遞延所得稅資產」相關變數後，即「當期營業虧損扣抵變動數」（增加數），或「當期發生營業虧損扣抵虛擬變數」，發現當期發生的「營業虧損扣抵」與股價呈現顯著的負相關，可以推論當期發生的「營業虧損扣抵」對股價係負面消息，且本身使得帳上原有的「營業虧損扣抵遞延所得稅資產」及「所得稅抵減遞延所得稅資產」因本期所得額為負而價值降低；另一個虛擬變數「營業虧損扣抵有效年數虛擬變數」對股價為反向但結果不顯著，可能的原因係樣本公司帳上平均只有一年左右的「營業虧損扣抵遞延所得稅資產」，另外也暗示了「營業虧損扣抵遞延所得稅資產」和「所得稅抵減遞延所得稅資產」未來可實現性，有足夠的課稅所得可供抵減。 / The paper uses the empirical method to examine the value relevance of a company’s deferred tax assets from tax loss carryforwards which respond to the stock price. In addition to the positive effect of deferred tax assets from cumulative tax loss carryforwards, representing the “asset” valuation to save the future tax, the paper finds the negative effect of deferred tax assets from the contemporary tax loss carryforward, which respond to the stock price. The paper uses the incremental value of deferred tax assets from the contemporary tax loss carryforward as a specific variable and two dummy variables, whether the operating loss happens this year and the number of effective periods of unused tax loss carryforwards, to examine the effect of deferred tax assets from the contemporary tax loss carryforward. The empirical result finds that the variable, the incremental value of deferred tax assets from the contemporary tax loss carryforward, and the dummy variable, whether the operating loss happens this year, are significantly negatively related to the stock price in statistics, but the negative effect of the dummy variable, the number of effective periods of unused tax loss carryforwards, is not attested in statistics, with a possible reason of more or less than one effective period of unused tax loss carryforwards.

Made available in DSpace on 2015-03-05T19:14:43Z (GMT). No. of bitstreams: 0 Previous issue date: 24 / Nenhuma / A presente pesquisa analisou o impacto do reconhecimento de Ativos Fiscais Diferidos (AFDs) nos índices de liquidez corrente, liquidez geral, endividamento e rentabilidade sobre o patrimônio líquido de 36 empresas que fazem parte do nível de governança corporativa da BOVESPA, denominado “Novo Mercado”, com dados das demonstrações contábeis do período de 2006 a 2008. Os índices foram calculados sem a consideração e com a consideração de Ativos Fiscais Diferidos nas referidas demonstrações. A abordagem do estudo é quantitativa; quanto aos objetivos a pesquisa é descritiva e no que tange aos procedimentos técnicos é documental. Constatou-se, por meio do Teste “t”, que o reconhecimento de AFDs tem impacto estatisticamente significativo nos índices de liquidez e endividamento. Adicionalmente, buscando explicar os diferentes níveis de reconhecimento de AFDs na amostra, aplicou-se o teste de correlação e análise de dependência por meio de regressão múltipla. Os resultados revelam não existir relação significativa en / This research examined the impact of the recognition of deferred tax assets (AFDs) in rates of current liquidity, general liquidity, debt and profit of the inheritance of 36 companies that are part of the level of governance corporative from BOVESPA, called "New Market" with data from accounting statements for the period from 2006 to 2008. The indices were calculated without consideration and with consideration of deferred tax assets in these reported demostrations. The approach of the study is quantitative, as the aims; the research is descriptive, in regard about technical procedures; it is documentary. It was verified that the "t" test, that the recognition of AFDs has statistically significant impact on liquidity and debt. Additionally, trying to explain the different levels of recognition of AFDs in the sample, it was applied the test of correlation and dependency analysis through multiple regression. The results showed no significant relationship between the level of recognition AFDs and the explanatory

This diploma thesis deals with the deferred tax issue in the context of changing the US GAAP accounting system to IFRS. First of all, it summarizes the theoretical approaches to recognition, measurement and reporting of deferred tax and examines the factors, which could affect its appearance in the individual and consolidated financial statements. Then this diploma thesis focuses on the comparison between the US GAAP and IFRS rules regarding deferred tax accounting. The output of this comparison is demonstrated in a form of analysis table pointing to the fundamental conceptual differences. Next part of the thesis presents the first IFRS adoption issue in relation to IFRS 1, where the effect of the first adoption on the presented deferred tax is accentuated. After all, the findings from the theoretical part of the diploma thesis are applied in the practical example of PJSC LUKOIL, which had to change US GAAP to IFRS in 2014 due to the new legislation requirement. This last part examines the differential attitudes of both accounting systems to deferred tax and presentation and significance of deferred tax at the first IFRS adoption.

Submitted by Mariana Dornelles Vargas (marianadv) on 2015-05-27T20:33:40Z No. of bitstreams: 1 fatores_explicativos.pdf: 1077501 bytes, checksum: e633110f5c7b548e00a08d4f421dae36 (MD5) / Made available in DSpace on 2015-05-27T20:33:40Z (GMT). No. of bitstreams: 1 fatores_explicativos.pdf: 1077501 bytes, checksum: e633110f5c7b548e00a08d4f421dae36 (MD5) Previous issue date: 2012-03-27 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / O estudo trata dos fatores explicativos do reconhecimento de ativos de natureza fiscal. Seu objetivo é identificar esses fatores em empresas pertencentes ao ramo de agronegócios. Estudos anteriores, alguns com enfoque nos ativos fiscais diferidos, identificaram, entre os fatores explicativos, a alavancagem, rentabilidade, lucratividade, endividamento, liquidez e tamanho das empresas. A partir da definição dos ativos em geral, o estudo propõe a classificação dos ativos fiscais em recuperáveis, diferidos e litigiosos. A pesquisa é aplicada, documental, explicativa e descritiva e com abordagem predominantemente quantitativa, com a utilização de técnicas estatísticas e econométricas. Foram analisadas as demonstrações contábeis, incluídas as notas explicativas, de empresas de capital aberto, listadas na BMF&BOVESPA, do ramo de agronegócio, no período de 2001 a 2010. Justifica-se o estudo nesse setor por ser destaque na balança comercial brasileira. Além disso, apresenta uma cadeia produtiva bem delineada, o que torna perceptível a sistemática não-cumulativa de tributos, com o consequente reconhecimento sucessivo de ativos fiscais recuperáveis (apropriação de créditos fiscais). Os resultados indicaram a interdependência entre o reconhecimento de ativos fiscais (o nível de reconhecimento de um ativo fiscal explica o nível do outro), além de evidenciarem que tais ativos podem ser explicados pelas variáveis Alavancagem, Liquidez Corrente, Ativo Imobilizado (Intensidade de Capital), Ativo Intangível, pelas Exportações, pelo Tamanho (com base na Receita Líquida) e pelo Estado de localização da sede da empresa. A variável Estados e as espécies desses ativos foram significantes nos modelos, o que confirmou o viés de omissão de variáveis em pesquisas anteriores, além de justificar a divergência de sinais de algumas variáveis. Comparando com os resultados de pesquisas anteriores, não foram determinantes do reconhecimento a rentabilidade, lucratividade e endividamento (ressalvado o caso especifico do ICMS). O trabalho contribuiu para evidenciar uma nova perspectiva de reconhecimento de ativos de natureza fiscal. / The study examines the factors of tax assets recognition. The objective is to identify these factors in agribusiness companies. Previous studies, some focusing on deferred tax assets, identified as a factor: leverage, profitability, indebtedness, marketability and firm size. From the definition of assets, the study proposes the classification of the asset tax in add-value, deferred and litigation. The research is applied, documentary, descriptive and explanatory, with quantitative approach through using statistical and econometric techniques. The financial statements were analyzed, including notes, of agribusiness companies listed on BMF&BOVESPA, in the period 2001 to 2010. This sector of Brazilian economy contributes to improve the trade balance. Moreover, it presents a specific supply chain with successive recognition of tax assets add-value (appropriation of tax credits). The results showed the interdependence between the recognition of tax assets (the level of recognition of a tax asset explains the level of another), and also show that this assets can be explained by the variables Leverage, Marketability, Fixed Assets (Capital Intensity), Intangible Assets, Exports, Firm Size and the States. The factor State and the species of these assets were significant in the models. This confirmed the omitted variable in previous research and justifies the difference of signs of some variables. However, were not determinants of tax assets recognition: profitability and indebtedness (except for the specific case of ICMS). The results show a new approach to recognition of tax assets.