A Study of Income Smoothing on the Fair Value Option in the Banking Industry
美國於2007年發佈Statement of Financial Accounting Standards No. 159, The Fair Value Option for Financial Assets and Financial Liabilities，允許公司自願性採用公允價值選擇權於金融工具，並將公允價值變動之未實現損益 (FVOGL) 認列於淨利。此準則提供一項盈餘平穩之工具，並得以減少銀行過往經由裁決性放款呆帳損失 (discretionary loan loss provisions，DLLP)，仍達成預期盈餘目標。本研究自2008年第一季至2017年第三季，獲取86家銀行控股公司 (bank holding companies)，2,997筆銀行/季觀察值，DLLP迴歸模型的實證結果顯示，銀行於公允價值選擇權之未實現損益 (FVOGL) 確實達到準則本意，亦即減緩會計配比不當，降低盈餘波動性，在盈餘平穩之時，同時，減少DLLP之使用；其次，銀行傾向以金融資產未實現損益 (FVOGLA) 達到盈餘平穩目的，並且較少依賴DLLP，原因在於金融資產之類別較多，得以適用公允價值選擇權；再者，金融工具未實現損益區分來自信用風險變動 (FVOGLC) 及其他因素 (FVOGLO) 產生者，兩者同時與DLLP存在負向關聯。
The Statement of Financial Accounting Standards No. 159, The Fair Value Option for Financial Assets and Financial Liabilities, was issued in 2007 to allow firms to voluntarily adopt the fair value option for financial instruments with changes in fair value (FVOGL) recognized in net income. This Statement provides a tool for income smoothing to banks which previously used discretionary loan loss provisions (DLLP) to achieve earnings targets. This study collects data for 86 bank holding companies and 2,997 bank/quarter observations over the period from the first quarter of 2008 to the third quarter of 2017 to examine related hypotheses. The empirical results of DLLP regression models present as follows: First, banks use FVOGL to achieve the intent of this Statement to mitigate accounting mismatches and reduce earnings volatility, thereby using less DLLP. Second, banks are inclined to use FVOGLA (for assets) to engage in income smoothing and rely less on DLLP due to there being more categories of financial assets to which the fair value option can apply. Third, by dividing FVOGL into FVOGLC (for credit risk) and FVOGLO (other factors), this study obtains evidence that both FVOGLO and FVOGLO are negatively associated with DLLP.
fair value option, discretionary loan loss provisions, income smoothing, accounting mismatches, earnings volatility