【作者】 朱丹；

【导师】 刘星；

【作者基本信息】 重庆大学 ， 技术经济及管理， 2010， 博士

【摘要】 计量是会计系统的核心职能。公允价值计量作为一种能代表未来、面向21世纪的会计计量模式(黄世忠,2001),是一个非常有意义、值得研究的选题。在2007年由美国次级贷款风波所引发的国际金融危机期间,公允价值计量在国际上成为了一些金融机构和政治团体的指责对象;而几乎与之同时,却正值我国发布以公允价值应用为最大亮点的新会计准则体系的全面应用和推广。在这样的背景下,论文运用理论分析和实证检验的方法探讨了公允价值会计在我国资本市场应用中的价值相关性问题,有关的研究结论可以为准则制定机构下一步的会计改革工作提供参考,以便确定在何种范围以及程度上应用公允价值计量。论文的研究工作从层次上分为基础研究、理论分析、实证检验和结论与政策建议四个部分。基础研究部分包括第2章和第3章,主要是公允价值会计实务的发展历程和相关文献的回顾。其中,第2章梳理了公允价值会计在美国财务会计准则体系、国际财务会计准则体系和我国财务会计准则体系中的发展历史,讨论了公允价值会计在本次国际金融危机中所引起的主要争论话题,重点突出了在当前背景下对公允价值会计在我国资本市场中应用的价值相关性问题展开研究的现实意义;第3章从文献回顾的角度分析了国内外关于公允价值会计、价值相关性和公允价值会计的价值相关性三方面的研究,发现针对我国资本市场的相关实证研究缺乏、针对经不同层级输入变量估计得到的公允价值在价值相关性方面的差异进行检验的研究也非常缺乏,因此找到了从公允价值估价层级系统的角度来研究公允价值会计在我国资本市场中应用的价值相关性问题这个入口。理论分析部分包括第4章和第5章,主要讨论了价值相关性检验的理论基础、公允价值的决策有用性和公允价值输入变量的层级与会计计量误差问题。其中,第4章首先讨论了在资本市场有效的前提下建立估值模型对会计信息的价值相关性进行检验的可行性,主要包括Ohlson估值模型的基本思想介绍;然后分别从信息观和计量观的角度分析了公允价值计量和公允价值会计的决策有用性,为后面的实证检验进行了理论铺垫;第5章从计量经济学的角度分析了会计计量的价格波动误差和价格计量误差,并结合公允价值输入变量的层级系统分析了经不同层级输入变量估值得到的公允价值在会计计量误差方面的差别以及对会计计量质量的影响,得出研究结论认为,在实证检验中,应区分不同行业和公司资产构成的特点以及公允价值估值所使用输入变量的层级来对公允价值计量的价值相关性进行检验,否则,各种不同计量误差的指标相混合,将不利于得出正确的研究结论。实证检验部分包括第6章和第7章,分别以封闭式基金会计主体和金融业上市公司为研究样本,对公允价值会计的价值相关性进行了检验。其中,封闭式基金由于资产构成比较单一,非常适合作为“盯市价值”的代表进行价值相关性检验。实证研究结果表明,公允价值计量是决策有用的,在历史成本计量之外还具有增量价值相关性;而且,表内确认和报告的公允价值较表外披露的公允价值更能明显增强会计信息对价格的解释力度;针对受公允价值会计影响最大的金融业,实证研究结果也表明,公允价值计量具有增量价值相关性,但在估值的可靠性方面,“代理理论”的影响超过了“信息不对称”理论的影响,因此投资者对“盯模价值”的信任程度低于对“盯市价值”的信赖。论文第8章包括研究结论、政策建议和后续研究设想。在总结论文的理论研究结论和实证研究结果之基础上,对公允价值计量在我国会计准则体系中的未来发展提出了应坚持公允价值计量、建立统一和可比的公允价值计量准则、同时加强对“盯模价值”估值技术和过程的规范、充分注意估值前提对公允价值计量的影响,以及加强对公允价值估值的监管工作等等政策建议。同时,还分析了论文研究的局限性,并对后续研究的方向与内容进行了设想。更多还原

【Abstract】 Measurement is the core function of accounting system. As the one looking into the future and facing the 21 century (Huang, 2001),fair value measurement itself is a very meaningful topic which deserves researching. During the current global financial crisis arisen from the US mortgage-backed securities problem, fair value accounting was seriously blamed by bankers and some political organizations; while almost at the same time, China announced her new set of financial accounting standards whose highlight was exactly the employment of the fair value measurement in most of its standards. Under such the background, I focused my research on the value relevance of fair value accounting in Chinese capital market, both with theoretical analysis and empirical tests. These results may help the standard setters to consider to what extend and at what level shall the fair value measurement apply.The whole dissertation can be divided into four parts, research basis, theoretical analysis, empirical tests and research conclusion with suggestions.Chapter 2 and chapter 3 constitute the research basis, mainly about the historical development of fair value accounting practices and literature review. In chapter 2, I discussed the fair value accounting development in US Statement of Financial Accounting Standards system, in IASB International Financial Reporting Standards system and in the Chinese Accounting Standards system, also the main debate on fair value accounting during the global financial crisis, emphasis on the operational significance of a thoroughly study on the value relevance of fair value accounting in Chinese capital market. Chapter 3 discussed literatures on fair value, value relevance and the value relevance of fair value accounting, just to find out the lack of empirical tests aimed at the Chinese capital market and the lack of empirical evidences on value relevance differences of fair values with different inputs levels. Then I decided to focus my research on the value relevance of fair value accounting in our capital market from the fair value hierarchy’s approach.The theoretical analysis are developed in chapter 4 and chapter 5, mainly about the theory basis of relevance tests, the decision usefulness of fair value accounting, the fair value hierarchy and accounting measurement errors. In chapter 4, I discussed the possibility of conducting value relevance tests with valuation models under the market efficiency theory, through a shortly review of the derivation of the Ohlson valuation model; then the decision usefulness of fair value measurement and fair value accounting are considered from both an information perspective and a measurement or valuation perspective, which supports the later empirical tests theoretically. Chapter 5 considers the price movement errors and price measurement errors from an econometrics’view, then combined with the fair value hierarchy theory, it concludes that fair values with different inputs levels differ in measurement qualities, so while conducting empirical tests, fair value hierarchy will possibly have significant effects on value relevance. Only be aware of this fact and distinguish different industries or enterprises with different asset structures, can a perfect conclusion be expected in a relevance study on fair value measurement.The empirical tests are reported in chapter 6 and chapter 7, each test the value relevance of fair value practices with evidences from the close-end funds and the banking & insurance companies. The asset structure of close-end funds is very simple compared with other entities, for 90% of which are investment securities. For this reason, it is a very good sample for relevance tests of“mark-to-market”values. The results show that fair value metric is decision useful, it increases the value relevance besides historical cost, and, it will more relevant if been reported in the statement instead of just been disclosed. The banking and insurance companies may be one of the most influenced industries by fair value requirements, empirical evidences from these companies also show that fair value is relevant besides historical cost measurement, but according to the valuation reliability, the effects from“principal-agent theory”is more powerful than that from the“information asymmetry theory”, for“mark-to-model”estimations are significantly trusted less than“mark-to-market”values by market participants.Chapter 8 is about conclusions, policy suggestions and thoughts and plans on future researches. After those theoretical conclusions and empirical results are summed up, I suggest insisting fair value measurement in future Chinese accounting standards system, setting up a unified and comparable standard on fair value measurement and at the same time, especially strengthening regulations on valuation technologies and process of“mark-to-model”estimates, taking precautions against the effects of valuation premise. Also, I summarized the limitations of my dissertation before ending, with future research plans and my continuous concern on this topic.更多还原