Empirical Research on the Relationship between Stock Prices and the Fair Value Accounting Information

股票价格与公允价值会计信息关系的实证研究

基本信息

批准号：
09630134
负责人：
SAKURAI Hisakatsu
金额：
$ 1.47万
依托单位：
Kobe University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
1997
资助国家：
日本
起止时间：
1997 至 1999
项目状态：
已结题

项目摘要

Empirical study based on bank share prices listed on the Tokyo Stock Exchange shows evidence that fair value amount of securities and derivatives disclosed as footnotes to the financial statements provide significant explanatory power for bank share prices beyond that provided by related book values. Especially, incremental explanatory power is found for fair value of interest swap. Notional or contractual amounts of off-balance sheet instruments are also reflected in the stock prices, which implies that investors may interpret them as a useful proxy for future income generated by goodwill or know-how for risk control.Value-relevance is also empirically confirmed for pension accounting information disclosed by Japanese corporations, which prepare consolidated financial statements, based on the U.S. standards. The coefficient on fair value of total pension plan assets is positive and significant as predicted. Both accumulated and projected pension obligations are negatively correlated to the stock prices at the statistically significant level. This is the strong evidence of the usefulness of pension accounting, which is newly introduced into the Japanese accounting standards.Real estate value tax provides a basis for estimating fair value of land owned by the corporation. Regression of stock prices on the estimated fair value of real estate gives evidence that the fair value amount possess significant incremental information contents beyond those provided by book value of net worth and fair value of securities.Generally speaking, value relevance is found for the fair value of securities, derivatives, real estate, and pension plan assets and obligations. Therefore, it is worthwhile to study the empirical relationship between stock returns and the changes of fair value of these assets and liabilities.

基于东京证券交易所列出的银行股价的实证研究表明，公允价值的证券和衍生品披露为财务报表的脚注为银行股价提供了重要的解释能力，超出了相关账面价值。尤其是，发现了有关关注的互换的增量解释能力。股票价格也反映了概念或合同数量的票房表仪器，这意味着投资者可以将其解释为善意或智慧控制风险控制的未来收入的有用替代。对日本公司披露的养老金会计信息也经验证实，这是由美国准备合成的财务宣传的养老金会计信息。总养老金计划资产的公允价值系数是积极而显着的。累计和预计的养老金义务都与统计学上的股票价格负相关。这是养老金会计有用性的有力证据，该养老金会计新介绍给日本会计标准。真实的房地产价值税为估计公司拥有的土地的公允价值提供了基础。股票价格对房地产公允价值的估计公允价值的回归提供了证据，表明，公允价值具有超出证券净值和公允价值的账面价值所提供的大量渐进信息内容。从一般语言上讲，对于证券，衍生品，房地产和养老金计划资产和义务的证券公允价值的价值相关性。因此，值得研究股票回报与这些资产和负债的公允价值变化之间的经验关系。