公允价值的收益波动性与市场反应——来自中国上市商业银行的证据

The Return Volatilities of Fair Value and the Response of the Market:The Evidence from the Listed Commercial Banks in China

本文以中国上市商业银行为样本,对中国新会计准则实施后公允价值收益波动性及其经济后果进行了考察。研究结果发现,公允价值计量属性的采用并未导致净利润波动性的增大;市场也没有将公允价值计量增加的收益波动性视为风险要素而予以定价;银行股票价格也未对公允价值收益波动性作出反应。这说明,中国股票市场对公允价值收益波动性反应不显著,公允价值"加速器"效应在我国股票市场并不存在。本研究结论对完善中国公允价值计量体系、加强金融市场会计监管具有借鉴意义。

With a sample of 14 Chinese listed commercial banks from 2006 to 2009,we investigate return volatilities caused by the newly introduced accounting method： fair value. We find that there is no much difference in the net return volatilities between historical - cost method and fair - value method. The fair - value return volatilities has neither been considered as risk elements and priced by the market,nor has any impact on bank share price,which indicates that the fairvalue return volatilities has no significant function or ＂accelerating effect＂ on the stock market in China. Our conclusions may be of some significance to improving fair value accounting system and strengthening accounting regulations on financial market in China.