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论文编号：	4925
作者编号：	1120090686
上传时间：	2012/12/24 12:58:36
中文题目：	金融负债公允价值变动损益的列报形式、 信用风险与投资者判断
英文题目：	Presentation Formats of Fair Value Gains/losses of Financial Liabilities, Credit Risk and Investors’ Judgments
指导老师：	张继勋
中文关键字：	信用风险 公允价值 个体投资者 投资判断
英文关键字：	Credit risk Fair value Individual investor Investment judgment
中文摘要：	在公司主体信用风险发生变动时，采用公允价值计量的负债的公允价值变动损益会带来“反直觉”的效应。由于这种“反直觉”效应很容易误导财务报表信息使用者，国际会计准则委员会（IASB）在2010年5月发布的征求意见稿中对这部分由信用风险引起的金融负债的公允价值变动损益提出了新的列报形式。在新提议的列报形式下，不再将这部分公允价值变动损益计入到净收益中，而是以其他综合收益项目列示在综合收益中。对于新提议的列报形式是否有助于财务报表信息使用者正确理解财务报表信息，是否有助于投资者做出准确恰当的投资判断，在实证中尚未得到检验。本文以心理学领域的信息加工理论和前景理论为基础，采用实验研究的方法，检验了由信用风险引起的金融负债公允价值变动损益在财务报表中列报形式，以及信用风险变动对个体投资者的投资判断决策的影响。 本文一共分为六章。第一章为绪论；第二章为文献回顾，首先简要地总结了对于以公允价值计量负债所引发的争议支持者和反对者的观点，然后分别总结了已有的关于公司主体信用风险变动对公司价值的影响的文献和个体投资者投资判断研究的文献研究；第三章运用前景理论和认知心理学中的信息加工理论分析了由信用风险引起的金融负债公允价值变动损益列报形式和信用风险对个体投资者的决策判断的影响，提出了本文的研究假设；第四章介绍了本研究具体的实验设计；第五章对实验研究获取的数据做了统计分析，检验了本文提出的研究假设；第六章是本研究的结论，总结了全文的研究结论、研究局限，同时提出了未来的研究方向。 本文的主要结论包括： 1. 理论分析表明，尽管经济实质相同，但金融负债公允价值变动损益在会计报表中列报形式不同会影响投资者的投资判断；同时，金融负债公允价值变动损益在会计报表中列报形式，以及导致金融负债的公允价值变动损益产生的信用风险的变动，也会共同对个体投资者的投资判断产生影响。此外，投资者对管理层的综合评价和投资者判断的市盈率对上述关系能够起到中介作用。 2. 实验结果表明，当金融负债公允价值变动损益列报为其他综合收益时，在信用风险下降的情况下，投资者判断的市盈率和投资吸引力均高于信用风险上升的情况；当金融负债公允价值变动损益列报为净收益时，在信用风险下降和信用风险上升的情况下，投资者判断的市盈率和投资吸引力均不存在明显差异。换言之，在金融负债公允价值变动损益列报为其他综合收益的情况下，个体投资者才能够对信用风险变化进行正确区分。 3. 实验结果表明，信息的性质（收益或损失）影响了由于金融负债公允价值变动损益列报形式不同所导致的投资者的投资判断的差异幅度。与金融负债公允价值变动损益列报为净收益相比，在其列报为其他综合收益的情况下，信用风险下降时个体投资者判断的市盈率更高，信用风险上升时个体投资者判断的市盈率降低更低，且前者提高的幅度要小于后者下降的幅度；与金融负债公允价值变动损益列报为净收益相比，在其列报为其他综合收益的情况下，信用风险下降时个体投资者判断的投资吸引力更高，信用风险上升时个体投资者判断的投资吸引力更低，且前者提高的幅度要小于后者下降的幅度。 4. 实验结果表明，投资者对公司管理层的综合评价完全中介了金融负债公允价值变动损益列报形式和信用风险变动对投资者的市盈率判断的影响；而投资者对市盈率的判断则部分地中介了投资者的公司管理层综合评价对投资者的投资吸引力判断的影响。
英文摘要：	The fair value change attributable to changes in liabilities’ credit risk has the counter-intuitive income statement effect when liabilities are measured at fair value and the entities’ credit risk changes. Because the financial information users are very apt to be misled by this counter-intuitive effect, International Accounting Standards Committee（IASB）published an exposure draft for comments on May, 2010. In the exposure draft, IASB proposed a new accounting treatment for the portion of fair value change attributable to changes in liabilities’ credit risk. By the proposal accounting treatment, the entity would back out this portion of fair value change from net income and present the amount in the other comprehensive income. It hasn’t been examined empirically whether the new proposal accounting treatment will help the financial information users correctly interpret the accounting information, or help investors make proper investment decisions and judgments. This study employs the theory and research results of cognitive psychology and examines the effects of credit risk and presentation formats of fair value change attributable to changes in liabilities’ credit risk on individual investors’ investment judgments and decision-making by experimental method. The current dissertation is composed of six chapters. Chapter one gives an overall introduction of this study; Chapter two firstly draws a brief conclusion in the opinions of the proponents and opponents about fair value measurement of liabilities, and then provides a review the literature in the research about the effect of the credit risk on the entity’s value and research about the judgment and decision-making of individual investors; Chapter three draws upon prospect theory and other theory in cognitive psychology to develop the hypotheses about the effect of the credit risk and the placement of fair value change attributable to changes in liabilities’ credit risk on individual investors’ investment judgments; Chapter four describes the current experimental design and related experimental procedures ; Chapter five analyses the data and verify the hypotheses; Chapter six concludes the whole dissertation, summarizes the research results, and discusses the implications, limitations, and directions for future research. The main conclusions of the current dissertation are listed as follows: 1. The theoretical analysis argues that different presentation formats of financial accounting information will exert different influence on individual investors’ investment judgments in spite of the same economical essence. Meanwhile, the presentation formats of the fair value gains/losses of financial liabilities and the change of credit risk have joint effects on individual investors’ investment judgments. In addition, individual investors’ composite appraisement for the entities’ management and investors’ P/E ratio judgment have mediation effects on the relationship mentioned above. 2. The experimental results indicate that, when the presentation format of fair value change attributable to changes in liabilities’ credit risk is other comprehensive income, the P/E ratio and investment attractiveness judged by investors is higher when credit risk decreases than those when credit risk increases. While the P/E ratio and investment attractiveness judged by investors doesn’t have significance difference when credit risk increases and decreases. That is, only when the presentation format of the fair value change of financial liabilities is other comprehensive income, can individual investors correctly differentiate the credit risk change direction by their investment judgments. 3. The experimental results indicates that the information valence(gains or losses) influences investors’ investment judgments change magnitude under different presentation formats of fair value changes of financial liabilities. Compared with the presentation formats as net income, the P/E ratio judged by investors increases when credit risk decreases and decreases when credit risk increases under the other comprehensive income presentation format, but the increasing magnitude is less than the decreasing magnitude. Compared with the presentation formats as net income, the investment attractiveness judged by investors increases when credit risk decreases and decreases when credit risk increases under the other comprehensive income presentation format, but the increasing magnitude is less than the decreasing magnitude. 4. The experimental results indicate that individual investors’ composite appraisement for the entities’ managements fully mediates the effects of presentation formats and credit risk change on investors’ P/E ratio judgments. While investors’ P/E ratio judgments partly mediates the effect of investors’ composite appraisement for the entities’ managements on investors’ investment attractiveness judgments.
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