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

基于东京证券交易所上市银行股价的实证研究表明，作为财务报表脚注披露的证券和衍生品的公允价值金额对银行股价的解释力显著高于相关账面价值。特别是对于利息互换的公允价值，发现了增量解释力。表外工具的名义或合同金额也反映在股价中，这意味着投资者可以将其解释为商誉或风险控制技术产生的未来收入的有用代理。根据美国准则编制合并财务报表的日本企业披露的养老金会计信息的价值相关性也得到了实证证实。养老金计划总资产公允价值系数与预测结果一致，为正且显著。累积和预计养老金义务与股票价格呈显著负相关。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。房地产价值税为估计公司拥有的土地的公允价值提供了依据。股票价格对房地产公允价值估计的回归表明，房地产公允价值的信息量比净资产账面价值和证券公允价值所提供的信息量具有显著的增量。一般来说，证券、衍生品、房地产和养老金计划资产和债务的公允价值存在价值相关性。因此，研究股票收益与这些资产负债公允价值变动之间的实证关系是值得的。

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.