金融资产公允价值的价值相关性研究——来自我国金融行业的经验数据

Research on Value-Relevance of Financial Assets' Fair Value——Based on Empirical Data of Chinese Financial Industry

本文选取对金融资产公允价值影响最大的金融行业,采用价格模型实证分析了金融资产公允价值的价值相关性问题。结果发现,2007年金融资产公允价值变化额与股价在1%水平上显著正相关;2008年金融资产公允价值变化额与股价在5%水平上呈现负相关且较2007年弱。实证结果表明,金融资产公允价值的价值相关性受经济环境影响显著。本文在此基础上提出如何改进金融行业公允价值计量水平的建议。

This paper chooses the financial industry,which has the strongest influence on financial assets' fair value as the object to carry out an empirical analysis on the value-relevance of financial assets' fair value with the price model.The results show that in 2007,the fair value variation of financial assets and stock price are significant in positive correlation at 1 percent level.While in 2008,there appears a negative correlation at 5 percent level,which goes weaker than that of in 2007 in fair value variation of financial assets and stock price.The empirical results show that the value-relevance of financial assets' fair value is affected by the economic circumstances significantly.Based on this,the paper introduces some suggestions of how to improve the level of fair value measurement in the financial industry.