CAJ | 학술논문

金融危机发生之后伴随而来的是关于公允价值会计作用的争议。本文探索金融危机的形成原因,由系统流动性视角实证分析沪、深两市上市公司的市场数据和公允价值计量信息后发现,公允价值计量扩大了市场危机的传染效应,加速证券价格的下跌。进一步的研究公允价值会计对传染效应的作用途径后发现,公允价值计量导致证券流动性和市场流动性趋同,加速了市场危机期间证券的流动性枯竭效应,从而解释金融危机期间证券价格循环性下跌与流动性枯竭的现象。此外,经过样本分离等稳健性分析后,非金融行业以及不同产权情况同样存在上述公允价值计量的影响。
금융위궤발생지후반수이래적시관우공윤개치회계작용적쟁의。본문탐색금융위궤적형성원인,유계통류동성시각실증분석호、심량시상시공사적시장수거화공윤개치계량신식후발현,공윤개치계량확대료시장위궤적전염효응,가속증권개격적하질。진일보적연구공윤개치회계대전염효응적작용도경후발현,공윤개치계량도치증권류동성화시장류동성추동,가속료시장위궤기간증권적류동성고갈효응,종이해석금융위궤기간증권개격순배성하질여류동성고갈적현상。차외,경과양본분리등은건성분석후,비금융행업이급불동산권정황동양존재상술공윤개치계량적영향。
The 2008 financial crisis has led to a serious debate aboul the advantage and disadvantage of adopting fair-value accounting regime. The opponents claim that mark-to-market accounting lead- ing to the value of the balance sheets of enterprise would be driven by short-term fluctuations of the market condition that do not re- flect the value of the fundamentals of stocks. This debate presents a major challenge for fair-value accounting related to market risk. This paper investigates the unexpected economic consequence oi adopting fair value accounting principle. The paper exploits the mandatory disclosure of financial assets and liability designated as fair value to test whether the greater proportion of assets covered by market value accounting leads to higher market risk. This paper derives an empirical model allowing two different kind of market risk estimates to consider the relationship between the proportion of exposure to fair value and market risk, and finds the proportion of exposure is positive correlated with the decline effect of stock price and accelerated effect during market downward. In addition, the degree of accelerated effect is larger during more severe market risk. This paper further finds the adoption of fair value accounting will generate homo-characteristic between stocks, which leads to accelerate market downward risk. In robust check, this study tests the cluster effect of the empirical result and provide the similar result. Overall, the paper finds that the adopting fair value account- ing principle will lead to more market risk. The central value of this research is as support for investigation of the influence of adopting fair value accounting regime on stock market, the time interval of which is subdivided through a specific empirical research method. By applying these findings, a better understanding of the Chinese stock markets--the characteristics of their mechanisms, the process of price formation, and the methods for improving efficiency--can be achieved.