公允價值選擇權之會計政策選擇與經理人獎酬：權益誘因的角色_

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題名：	公允價值選擇權之會計政策選擇與經理人獎酬：權益誘因的角色
作者：	戴家偉
作者(外文)：	TAI, CHIA-WEI
校院名稱：	國立臺北大學
系所名稱：	會計學系
指導教授：	陳維慈
學位類別：	博士
出版日期：	2019
主題關鍵詞：	公允價值選擇權；自願性公允價值會計；金融工具；權益誘因；voluntary FVA；financial instruments；fair value option；equity incentive
原始連結：	連回原系統網址
相關次數：	被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0) 排除自我引用:0 共同引用:0 點閱:2

本研究探討何種權益誘因趨使銀行對於金融工具採用公允價值選擇權。SFAS No.159號公報，金融資產與金融負債之公允價值選擇權，允許公司以公允價值評價其金融工具。因此，高階經理人可裁量性的使用公允價值選擇權予特定目的。一般而言，公司給予高階經理人權益誘因以促進其採取的行動能與股東的利益一致。Portfolio vega與Portfolio delta分別衡量經理人財富對股票報酬波動性的敏感程度與對股票價值的敏感程度（Coles, Daniel, and Naveen, 2006; Hayes, Lemmon,and Qiu, 2012）。因此，Portfolio vega提供經理人誘因去增加公司的風險，而Portfolio delta在財務報導決策上則有二股相對的影響（Armstrong, Larcker, Ormazabal, and Taylor, 2013）。雖然公允價值會計提供了攸關及透明的會計資訊，但公允價值盈餘實質上更具波動性，因此導致了較高的股票報酬波動及銀行風險。本研究發現，由於Portfolio vega減緩了風險承受的相關問題，因此趨使經理人更傾向對於金融工具採用公允價值。然而，Portfolio delta具有獎酬效果及風險效果。在獎酬效果方面，經理人未必能在揭露攸關及透明的資訊下獲得股價上升的好處；相反的，固有及故意性的估計偏誤及更波動的盈餘則造成了風險效果。本研究顯示出由於增加風險，Portfolio delta趨使經理人更不願意對於金融工具採用公允價值選擇權。此外，本研究發現當經理人同時面對Portfolio vega及delta時，並不會出現次級效應。最後，在額外測試中，本研究採用以CEO替代原高階經理人團隊的Portfolio vega與Portfolio delta、稀少事件下的Logistic迴歸模型及以十分位數替代原Portfolio vega與Portfolio delta值等測試，本研究之結論並未有改變。此外，加入其他經理人的風險特質，本研究發現其他經理人的風險特質對於Portfolio vega與公允價值選擇權有強化及弱化的不同效果。

以文找文

This study examines what equity incentives drive the bank to adopt the fair value option (FVO). SFAS No. 159, Fair Value Option for Financial Assets and Financial Liabilities, allows firms to value financial instruments at fair values. Therefore, top manager can discretionarily adopt the fair value option (FVO) for a specific intention. In general, the firm grants the top manager equity incentives to align manager’s action with stockholder’s interest. Portfolio vega and portfolio delta respectively measure the sensitivity of the manager’s wealth to stock return volatility and stock price (Coles, Daniel, and Naveen, 2006; Hayes, Lemmon, and Qiu, 2012). Therefore, portfolio vega provides managers with an incentive to increase ﬁrm risk whereas portfolio delta will have two countervailing effects on financial reporting decision (Armstrong, Larcker, Ormazabal, and Taylor, 2013). Although the fair value accounting (FVA) provide relevant and transparent accounting information, fair value earnings are substantially more volatile earnings, thus leading to a higher volatility of stock returns and more bank’s risk. This study documents that portfolio vega drives the managers to more likely adopt FVO because of mitigating the risk-related problem. However, portfolio delta possesses reward effect and risk effect. In respect of reward effect, managers do not necessarily benefit from the stock price because of relevant and transparent information. In contrast, inherent and intentional estimation errors and more volatile earnings increase risk effect. This study shows that portfolio delta drives the managers to less adopt FVO because of increasing risk effect under FVO. Specifically, empirical results of this study find that when the top management team or the CEO faces risk-taking incentive and pay-performance sensitivity in compensation simultaneously, the incentive to increase stock price will not dominate the incentive to take risk. Finally, in additional tests, this study replaces the top management team’s vega and delta with the CEO’s one, employs logistic regression for rare events, and uses a different measure of equity incentive for confirming the main result of this study. In addition, the additional tests show that the managerial characteristics and portfolio vega have stronger or weaker effect on FVO.

以文找文

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