1、 1 外文翻译 原文 The value relevance of IFRS in the European banking industry Material Source: Review of Quantitative Finance and Accounting, Online First, 20 June 2010 Author: Mariarosaria AgostinoDanilo DragoDamiano B. Silipo Abstract The main purpose of the paper is to investigate the market valuation
2、of accounting information in the European banking industry before and after the adoption of IFRS, the latest version of International Accounting Standards. In a value relevance framework, we apply panel methods to a multiplicative interaction model, in which the partial effects of earnings and book
3、value on share prices are conditional on the adoption of IFRS. According to our evidence, the IFRS introduction enhanced the information content of both earnings and book value for more transparent banks. By contrast, less transparent entities did not experience significant increase in the value rel
4、evance of book value. 1 Introduction We investigate whether the value relevance increased after the adoption of IAS/IFRS by listed banks in Europe. Using a standard value-relevance model, we examine the value relevance of earnings and book value for 221 listed banks from 2000 to 2006. A number of pa
5、pers have studied the value relevance of IAS/IFRS, sampling companies that complied with international standards voluntarily. The literature shows that voluntary movement towards international accounting harmonization has varied with developments in local and international accounting regulations, in
6、dicating a certain degree of opportunism on the part of management (e.g., Stolowy and Ding 2003; Kao 2007), so these findings may be affected by selection bias. Our analysis, by contrast, considers the impact of mandatory introduction of IAS/IFRS. We use panel rather than cross-section data, the lat
7、ter used in most of the value-relevance literature. Indeed, notwithstanding harmonization, most of the political and economic factors influencing financial reporting practices remain local 2 and differentiated(Ball 2006). With panel data, combined to country-level clusterization, we can control for
8、individual and country characteristics that may be unobservable or hard to measure, such as legal systems, financial systems, or alignment between tax and financial reporting, and that differ across our sample. On the whole, our empirical results provide clear evidence that the impact of accounting
9、earnings on the price of bank stocks increased following the compulsory introduction of IFRS. On the other hand, in most estimations, no significant influence of book value on the stock price was found. 2 Related literature A number of studies compare the value relevance of IAS, US-GAAP and local GA
10、AP in other countries.Most are based on the model of Ohlson (1995) and subsequent refinements,which represents the value of the firm as a linear function of the book value of equity and the current value of any expected abnormal earnings (extra profit).3 Value relevance is estimated by the degree of
11、 explanatory power of the model. Barth et al. (2006), on a sample of 428 firms applying IAS from 1990 to 2004, found that the accounting quality of IAS is lower than US GAAP but higher than other domestic GAAP. Finally, introducing IAS reduces the difference in accounting quality between the IAS and
12、 US firms. By contrast,Harris and Muller (1999), based on a sample of 31 IAS firms cross-listed on US markets over the period 19921996, found limited evidence that reconciliation with US-GAAP,even in respect of IAS, provides relevant information to the market. Another way of appraising the relative
13、performance of IAS and US GAAP is suggested by Leuz (2003) and Bartov et al. (2005). These authors compare the value relevance for German companies traded on German stock exchanges before and after their switch from German accounting rules to either US GAAP or IAS. Leuz measures information asymmetr
14、y for firms on Germanys New Market, finding little evidence in bid/ask spreads or trading volume of differing value relevance of the switch to US GAAPS compared with a switch to IAS. Bartov et al. (2005) gets similar results by comparing value relevance measured as the slope coefficient of the retur
15、ns/earnings regression. Ashbaugh and Olsson (2002) examine non-US firms listed on Londons SEAQ and find that IAS and US GAAP earnings and book values of equity are equally value-relevant, but that the degree of value relevance depends on the valuation model used. The qualitative results for the bank
16、ing sector are similar. Barth et al. (1996) offer evidence that fair value estimates of loans, securities and long-term debt in the 3 United States under SFAS 107 have significant explanatory power with respect to the prices of bank stocks, greater than that of book values. But Nissim (2003) raises
17、doubts about the reliability of banks fair value disclosures for loans and Eccher et al. (1996) and Nelson (1996) found that the value relevance of SFAS 107 disclosures for bank shares have no incremental explanatory power, except in respect of investment securities. Park et al. (1999) also found ev
18、idence of value relevance for fair value accounting of investment securities. Barth et al. (2008) consider three indicators of accounting quality: earnings management, prompt loss recognition and value relevance; they posit that accounting quality is higher when earnings management is less, loss rec
19、ognition prompter and the value relevance of the amounts entered greater. And in fact according to their estimations following the adoption of IAS firms display less earnings management, more timely loss recognition,and greater value relevance of the accounting amounts. That is, their results sustai
20、n the thesis that international standards produce better accounting quality than local GAAP outside the US. To date, however, there has very few papers on the value relevance of IFRS as endorsed by the European Union. Among them, Morais and Curto (2007), which lends support to the thesis that the va
21、lue relevance of European listed firms accounting amounts increased with adoption of IFRS. They also found that the impact of the adoption of the international standards is greater in civil code than in common law countries. However, their data include the period 20002005 and do not distinguish betw
22、een voluntary and compulsory adoption. By contrast, Daske et al. (2008) in a very recent paper deal with voluntary and compulsory adoption of IFRS. They provide an extensive analysis of the early effects of mandatory adoption of IAS around the world. Among other things, they proved that there are mo
23、dest but economically significant capital-market benefits around the introduction of mandatory IAS reporting. But these benefits are more pronounced for firms that voluntarily switched to IFRS before the mandatory adoption. However, capital-market benefits occur only in countries with relatively str
24、ict enforcement regimes and in countries where the institutional environment provides strong incentives to firms to be transparent. In the other adopting countries market liquidity and the cost of capital remain largely unchanged around the mandate. With respect to the previous work our paper focuse
25、s on a different issue (the value-relevance of the compulsory adoption of IFRS), and considers a more homogeneous context with respect to the institutional, environmental and firms characteristics. 4 3 Empirical questions and methodology The conventional wisdom, corroborated by some empirical studie
26、s (see, for instance Barth,et al. 2006, 2008), has it that replacing local GAAP with IAS/IFRS should improve the quality of accounting amounts. Here we test this prediction on European listed banks, for which IFRS became mandatory in 2005. Using data from 2000 to 2006, we investigate whether the new
27、 standards are in fact more value-relevant by estimating a panel valuation model to see whether the value-relevance of accounting information changed. Formally, building on the well-known Ohlson (1995) framework, we estimate the following model: tittititit p o s t I A SB V P Sp o s t I A SE P SB V P
28、 SP 43210 ittit dTp o stIA SE P S 5 where itP is the stock price 6 months after the end of the fiscal year, itBVPS is per-share book value, itEPS is earnings per share, and postIAS is a dummy coded 1 when IFRS become mandatory, namely for the years 2005 and 2006, and 0 otherwise. Previous studies us
29、ing the same dependent variable are Barth et al. (2008, 2006). As a robustness check,however, we also employ the price of the stock 3 months after the end of the year (see Sect. 5). Finally, the T variable is a trend, and itiit is a composite error, in which the individual effect ( i ) summarizes un
30、observed time-invariant bank characteristics and the second term ( it ) captures idiosyncratic shocks to market value. The reason for disaggregating this error term is that this enables us to control properly for unobserved heterogeneity of banks, factoring out a different fixed effect for each one.
31、 4 Data Our sample includes banks whose shares are traded on a stock exchange in one of the EU-15 countries (Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland,Italy, Luxembourg, Netherlands, Portugal, Spain, Sweden, United Kingdom). Information on share prices, book value and earn
32、ings are drawn from BankscopeBureau van Djik. In our sample, earnings are never negative. After adjusting for data availability for different variables, we have a final sample of 1,201 annual observations for 221 European listed banks. The panel is unbalanced and spans the years 20002006. Table 2 ar
33、ranges the banks by nationality. Denmark, Italy,France, Germany and Britain have the most banks in the sample, Luxembourg the fewest. 5 Results 5 5.1 Unbalanced panel estimates 5.2 Balanced panel estimates 5.3 Segmentations by capitalization, legal form, and rating 5.4 Further robustness checks 6 Co
34、ncluding remarks Our intention was to determine whether the mandatory application of IFRS increased the value relevance of accounting information to the prices of bank shares in the European Union. As we expected, the marginal effect (value relevance) of earnings increased for the entire sample. Thi
35、s result is robust to different specifications of the model and to different samples. The largest incremental effect was in Germany and Italy, the smallest in the United Kingdom. This is consistent with the accepted view that IAS/IFRS requires more disclosure than local regulations in the Continenta
36、l European countries. For equity book value, our results are less clear-cut. The results for the unbalanced panel indicate that the marginal effect of this variable is negative in the years following the introduction of the new standards. However, they are not robust to different specifications.For
37、the balanced panel (banks reporting data in all the sample years) the marginal effect of book value is never significant in the post-adoption period. Generally speaking, it may be not surprising that book value is less value-relevant. Empirical work (Collins et al. 1999) suggests that this variable
38、is more important when current earnings do not provide a good proxy for future earnings or when there is a heightened increased danger of bankruptcy or abandonment. However, these conditions do not apply to our sample banks, which realized positive and relatively stable profits over the survey perio
39、d. In fact, the pattern differs considerably between small and large banks, and between rated and non-rated banks. For the smaller (and the non-rated) institutions, the impact of earnings increases while that of book value tends to decrease and become statistically insignificant. For the larger (and
40、 the rated) banks, the coefficients of both earnings and book value increase after 2005, and both variables exert a positive and significant marginal effect on share prices. These results suggest that the overall result on book value may reflect the weight of less transparent banks, which do not app
41、ear to have overcome their problems of opaqueness, even after the introduction of the new international accounting standards. It is also possible that small and non-rated banks are more opaque because they 6 are owned by shareholders operating in local markets. To inquire into this question, we spli
42、t the sample according to legal form, i.e. into cooperative banks and public limited companies. Cooperative banks have closer and longer-term relationships with their member-customers (owners). Therefore, they do not need great transparency. The results for the cooperative banks confirm those for th
43、e entire sample. By contrast, for the banks organized as public limited companies, the book value continues to have a positive, though decreasing, impact on the share price even after the adoption of IFRS. Summing up according to our evidence, the introduction of the new accounting standards seems t
44、o have enhanced the information content of both earnings and book value for more transparent intermediaries. Less transparent entities, by contrast, seem not to have experienced significant increase in the value relevance of book value. Possible explanations for this phenomenon may provide interesti
45、ng avenues for future research. 译文 在欧洲银行业的国际财务报告准则的价值相关性 资料来源 : 审查财务和会计计量，在线第一， 2010 年 6 月 20 日 作者： Mariarosaria AgostinoDanilo DragoDamiano B. Silipo 摘要 本文的主要目的是探讨欧洲银行业之前和之后的国际财务报告准则，国际会计标准的最新版本采用了会计信息的市场价值。在一个价值相关性的框架内，我们小组的方法适用于乘法交互模型， 其中部分影响收入和股票价格账面价值取决于采用国际财务报告准则 。根据我们的证据，提高了引进国际财务报告准则的收益和更透明的
46、银行帐面价值的信息内容。 与此相反，透明度较低的实体并 没有经历明显增加的价值相关性账面价值 。 1 引言 我们调查了在欧洲的上市银行在采用 国际会计准则 /国际财务报告准则后价值相关性是否增加。使 用标准价值相关性模型，我们研究了从 2000 年到 2006年 221 家上市银行的收入的价值相关性和账面价值。 许多论文已经研究了国际会计准则 /国际财务报告准则价值相关性，抽样公司自愿遵守国际标准。文献表明，对国际会计协调随意运动在当地和国际会计准则的发展各不相同，显示出对部分管理一定程度的机会主义（例如， Stolowy7 和 Ding 2003 年； Kao 2007 年），那么这些研究结
47、果通过选择偏倚可能会受到影响。通过对比，我们的分析考虑到国际会计准则 /国际财务报告准则强制性介绍的影响。 我们用面板而不是截面数据 ,后者应 用于大部分价值相关性文学。事实上 ,尽管统一 ,大部分的政治和经济因素影响财务报告的做法是地方性和有区别的（ Ball 2006）。利用面板数据 , 结合国家级的集群化，我们可以控制个人和国家的特点，可能无法观察或难以衡量，如法律制度，金融系统，或税收和财务报告之间的调整，不同于 我们样品。 从总体上看，我们的实证结果提供明确的证据表明，强制推行国际财务报告准则后对银行股票价格上升的会计收益的影响。 另一方面 ,在大多数估计，股票价格的账面价值的显著影
48、响没有被发现。 2 相关文献 大量研究比较国际会计准则，美国会计准则和 其他国家的当地会计准则的价值相关性。大多数是基于 Ohlson 模型（ 1995 年）和随后的改进，它代表作为普通股的账面价值的线性函数的公司价值和任何预期异常收益的当前价值（额外利润）。价值相关性是由该模型的解释力度来估计。巴特等（ 2006 年），以 428 家公司为样本调查从 1990 年至 2004 年采用国际会计准则的情况，发现了国际会计准则的会计质量低于美国通用会计准则，但比其他国内会计准则较高。最后，引入国际会计准则减少了国际会计准则和美国公司之间的品质差异。相比之下 ,哈里斯和科尔穆勒（ 1999），以 1
49、992-1996 年期间在美国市场上交叉上市的 31 家采用 国际会计准则的企业为样本 发现与美国通用会计准则和解，甚至对 国际会计准则的 证据有限 ,提供相关信息传递给市场。 评价国际会计准则和美国公认会计准则的相对性能的另一种方式是由Leuz（ 2003）和 Bartov 等（ 2005）建议的。这些作者比较了在德国证券交易所上市交易之前和之后他们从德国会计准则或美国会计准则切换到德国企业或国际会计准则的价值相关性。 Leuz 测量了德国的新市场上企业的信息不对称，发现相比切换到国际会计准则，切换到美国通用会计准则的在买入价 /卖出价传播或交 易量不同的价值相关性有微不足道的证据 。 Bartov 等（ 2005 年）获得通过比较盈利回归系数的坡度值得到类似的结果。阿什博和奥尔森（ 2002）研究伦敦的 SEAQ 上市的非美国公司发现，国际会计准则和美国公认会计准则的收益和账面价值具有同样的价值，但关联程度依使用的估值模型而定。 对银行部门的定性结果是相似的。巴特等（ 1996 年）提供的证据表明根据SFAS107 估计的贷款，证券和美国长期债券的公允价值，相对于银行股票的价格，比账面价值有更明显的解释能力。
