會計避險企業之資訊外部性：來自分析師預測的證據

Externalities of Accounting-Hedger Presences: Evidence from Analysts' Forecasts

過往文獻以企業層級的避險資訊為研究標的，發現分析師未能正確洞悉其內涵。本研究聚焦產業層級的避險資訊環境，推論同產業內會計避險企業愈多，該產業的會計避險資訊愈豐沛，進而據此觀點檢視會計避險企業之存在可否創造資訊外部性。實證結果支持推論，發現產業內會計避險企業比例愈高，分析師對會計避險企業的預測準確度愈高且分歧程度愈低。此外，美國財會準則 161 號公報要求企業強化避險會計相關揭露，本研究發現該公報發布之後，會計避險企業之存在仍具有資訊外部性；就避險資訊之範疇，該結果隱含企業資訊與同業資訊為互補而非替代關係。總結全文，企業層級的避險資訊雖導致分析師誤判，但產業層級的整體避險資訊則有助於改善分析師預測績效。

Literature shows that analysts misunderstand the implications of firm-level hedging information. Shedding light on the aggregate hedging information at the industry level, we argue that more accounting hedgers within an industry disseminate more publicly available hedging information in that industry. We investigate whether accounting-hedger presences generate information externalities in the form of improved analyst forecasts. Empirically, we find that analysts' forecasts for accounting hedgers are improved with higher accuracy and lower dispersion due to greater accounting-hedger presences within industries. We also find that such information externalities remain unchanged in the post-SFAS 161 period, where firm-initiated and peer derivative disclosures are improved. The results suggest firm information and peer information in the context of hedge accounting might be complements rather than substitutes. Overall, the findings suggest that the aggregate hedging information at the industry level can be useful to help achieve better forecast performance, although such information at the firm level leads analysts astray due to the information's complexities and insufficiency.