金融業法定信用損失與IFRS 9預期信用損失之價值攸關性

The Value Relevance of Legal Credit Loss and Expected Credit Loss Under IFRS 9 in Financial Industry

由於我國金融業除須依IFRS 9規定提列相關備抵預期信用損失外，尚須依金管會規定提列備抵呆帳。本文以2018年至2021年我國上市櫃金融業公司為樣本，探討依IFRS 9與法規提列之備抵損失與預期信用損失是否具價值攸關。
本文實證結果：(1)總備抵損失與總預期信用損失均具價值攸關；依法規增列之備抵損失具價值攸關，而依IFRS 9衡量備抵損失則不具價值攸關，支持主管機關監管有效之觀點。(2)依IFRS 9提列之壞帳費用低估組中，僅依法規增列之備抵損失有正向評價係數；而依IFRS 9提列之壞帳費用高估組中，依IFRS 9衡量與依法規增列之備抵損失均具價值攸關。(3)投資人視金融業專家會計師查核後列報之依IFRS 9衡量之備抵損失資訊品質較高而給予正向評價，支持Oberson (2021)較強的治理機制有助提升金融業資訊品質之觀點。(4)適用IFRS 9期間備抵損失之價值攸關性顯著高於適用IAS 39期間之備抵損失。

Since 2018, besides the Financial Supervisory Commission in Taiwan (FSC Taiwan) regulations governing the procedures for evaluating assets and dealing with non-performing/non-accrual loans (hereafter the FSC Taiwan regulations), Taiwanese financial firms are required to disclose any differences in loss allowance based on the provisions for expected credit losses under IFRS 9. The study aims to compare the two systems (i.e. IFRS 9 and the FSC Taiwan regulations) and examine whether total loss allowance and expected credit losses are value-relevant as assessed by the two systems separately.
The experimental results reveal several findings. First, the total loss allowance and the total expected credit loss are both value-relevant, but additional loss allowance under ROC regulations is value-relevant while the loss allowance under IFRS 9 is not. Second, for the subsample of underestimated bad debt expenses under IFRS 9, only the coefficient of additional loss allowance under the FSC Taiwan regulations is significantly positive; for the subsample of overestimated bad debt expenses under IFRS 9, both the coefficient of loss allowance under the IFRS 9 and the FSC regulations are significantly positive. Third, investors regard the quality of loss allowance under IFRS 9 audited by specialized auditors as a positive, reliable metric. Fourth, the value relevance of the allowance loss during the IFRS 9 period is significantly higher than that of during the IAS 39 period.