吕易

关键词：公允价值;分层披露;价值相关性;内部控制

摘 要：为了正确计量金融工具提升资本市场定价效率和防范金融危机，中国于2014年颁布《企业会计准则第39号—公允价值计量》（CAS39），强制要求公允价值资产和负债分层披露。选择2010—2018年A股金融业上市公司为样本，以准则颁布为外生冲击事件，采用DID研究方法，检验不同层次公允价值信息的价值相关性。同时分析各个层次公允价值资产和负债价值相关性的异同以及研究内部控制对分层公允价值计量价值相关性的调节作用。结果表明：（1）CAS39的实施提高了公允价值资产和负债的价值相关性;（2）分层研究发现，除一层公允价值负债以外，各层公允价值信息均产生有效信息供给;（3）高质量的内部控制增加投资者对公允价值定价反应系数。研究结论为公允价值分层披露与价值相关性提供了理论解释和经验证据，为规范和完善金融业公允价值准则的实施提供了参考。

中图分类号：F234文献标志码：A文章编号：1001-2435（2021）03-0145-13

Hierarchical Measurement of Fair Value，Internal Control and Value Relevance

LV Yi （School of Economics and Management，Anhui Normal University，Wuhu Anhui 241002，China）

Key words：fair value;hierarchical measurement;value relevance;internal control

Abstract：In order to correctly measure financial instruments，improve the efficiency of capital market pricing and prevent financial crises，China issued Accounting Standards for Business Enterprises No. 39 - Fair Value Measurement （CAS39） in 2014，hierarchical information of fair-value assets and liabilities are forced to disclose. Regarding the promulgation as an entry point，using DID method，this paper uses Chinese financial companies data listed in Shanghai from 2010 to 2018，investigates the relation between hierarchical fair-value information and stock price firstly;then tests the similarities and differences between the value of fair value assets and liabilities at all levels;finally，analyzes the effect of internal control on hierarchical fair value. The study finds that （1） the implementation of CAS39 significantly improves the value relevance;（2） The hierarchical study finds that，except for the one level of fair value liabilities，all levels of fair value information provide effective information supply;（3） High-quality internal control increases investors response coefficient to fair value pricing. The study provides both theoretical explanation and empirical evidence for the hierarchical fair value disclosure and value relevance and offers guidance for the implementation of fair value standards in the financial industry.

一、引 言

为保障我国金融市场不断发展，正确计量金融工具、合理估测风险对引导投资者定价，合理配置经济资源，防范金融危机具有重大意义。公允价值计量较之传统历史成本而言，价值相关性更强，更能及时反映证券盈余波动，缺点是可靠性不足，难以被投资者核实，面对世通、安然财务丑闻以及2007—2008年美国股市崩盘，公允价值计量金融工具可靠性不足、流动性定价问题饱受市场谴责。[1]美国会计准则委员会（FASB）、国际会计准则委员会（IASB）等准则制定者接连更新公允价值准则，提出分层披露的思想。……