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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上市银行股价的实证研究表明，在财务报表附注中披露的证券和衍生工具的公允价值金额为银行股价提供了比相关账面价值更大的解释力。特别是，利率互换的公允价值具有增量解释力。资产负债表外工具的名义金额或合同金额也反映在股票价格中，这意味着投资者可能会将其理解为商誉或风险控制技术所产生的未来收益的有用替代物。此外，根据美国标准编制合并财务报表的日本企业所披露的养老金会计信息也证实了价值相关性。养老金计划总资产的公允价值系数为正，且与预测一致。在统计显著性水平上，累积和预测的养老金债务与股票价格呈负相关。这是日本会计准则中新引入的养老金会计有用性的有力证据。真实的遗产价值税为估算法人拥有的土地的公允价值提供了基础。股票价格对真实的房地产公允价值的回归分析表明，公允价值金额具有显著的增量信息含量，超过了净资产账面价值和证券公允价值所提供的增量信息含量，一般而言，证券、衍生工具、真实的房地产、养老金计划资产和义务的公允价值具有价值相关性。因此，股票收益率与这些资产和负债公允价值变动之间的实证关系值得研究。