ВЛИЯНИЕ РЫНОЧНОГО ЦИКЛА НА ЗНАЧИМОСТЬ БАЛАНСОВОЙ СТОИМОСТИ И ДОХОДОВ В БАНКОВСКОЙ ИНДУСТРИИ ПОЛЬШИ


https://doi.org/10.26794/2587-5671-2018-22-2-6-25

Полный текст:


Аннотация

Цель статьи — эмпирическое исследование влияния рыночного цикла на актуальную стоимость балансовых активов и доходов в банковской отрасли. В отличие от большинства предыдущих исследований, в статье непосредственно рассматривается влияние циклических колебаний настроений инвесторов на информативность этих ключевых переменных учета. Кроме того, исследование дополняет литературу, касающуюся проблематики стоимостной оценки финансовой отчетности банков, предоставляя эмпирические данные с формирующегося рынка капитала в Польше. Исследуемая выборка охватывает все отечественные коммерческие банки, котирующиеся на Варшавской фондовой бирже в период 1997–2016 гг. Эмпирические данные, основанные на анализе параметрической и непараметрической корреляции и регрессии, свидетельствуют о значительном влиянии рыночного цикла на стоимостную оценку балансовых значений, которая заметно возрастает (уменьшается) в периоды «бычьего» («медвежьего») состояния рынка ценных бумаг. В отличие от этого, информативность доходов, как представляется, определяется, главным образом, факторами, отличными от настроений инвесторов. Результаты исследования показывают, что течение рыночного цикла частично приводит к колебаниям актуальной балансовой стоимости собственного капитала и чистой прибыли в польской банковской отрасли. Однако необходимо продолжить изучение влияния рыночных циклов на ценностную оценку данных бухгалтерского учета, причем не только по отношению к банковскому сектору.


Об авторе

П. М. Болибок
Люблинский католический университет им. Иоанна Павла II
Польша

Петр Марек Болибок —  кандидат экономических наук, Кафедра банковского дела и финансов

Люблин



Список литературы

1. Koller T., Goedhart M., Wessels D. Valuation. Measuring and managing the value of companies. 5th ed. New Jersey, NJ: John Wiley & Sons; 2010.

2. Ball R., Brown P. An empirical evaluation of accounting income numbers. Journal of Accounting Research. 1968;6(2):159–178.

3. Kohlbeck M., Warfield T. Unrecorded intangible assets: Abnormal earnings and valuation. Accounting Horizons. 2007;21(1):23–41.

4. Subramanyam K. R., Venkatachalam M. The role of book value in equity valuation: Does the stock variable merely proxy for relevant past flows? University of Stanford Research Paper No. 1491R; 1998. Retrieved from https://www.gsb.stanford.edu/gsb-cmis/gsb-cmis-download-auth/316866.

5. Obinata T. Concept and relevance of income. The University of Tokyo, Graduate School of Economics, CIRJE Discussion Paper 2002-CF-171; 2002. Retrieved from https://ssrn.com/abstract=339060.

6. Nichols D.C., Wahlen J. How do earnings numbers relate to stock returns? A review of classic accounting research with updated evidence. Accounting Horizons. 2004;18(4):263–286.

7. Escaffre L., Sefsaf R. Comparing the value relevance of earnings and book value in IFRS and GAAP standards. Bankers, Markets and Investors. 2011;114:4–18.

8. Anandarajan A., Francis B., Hasan I., John K. Value relevance of banks: global evidence. Review of Quantitative Finance & Accounting. 2001;36(1):33–55.

9. Bolibok P. The relative value relevance of earnings, book values and cash flows in the Polish banking sector. Journal of Financial Management and Accounting. 2015;3(4):19–31.

10. Amor-Tapia B., Bona-Sánchez C., Pérez-Alemán J., Tascón-Fendández M. Earnings conservatism and litigation exposure in the banking industry. Revista Española de Financiación y Contabilidad. 2011;40(152):556–585.

11. Koziński W. The international banking crisis and domestic financial intermediation: the experience of Poland. BIS Papers. 2010;54:343–346.

12. Kane G., Leece R., Richardson F., Velury U. The impact of the recession on the value-relevance of accounting information. Australian Accounting Review. 2015;73(25):185–191.

13. Barth M. Fair value accounting: Evidence from investment securities and the market valuation of banks. The Accounting Review. 1994;69(1):1–25.

14. Ahmed A., Kilic E., Lobo G. Does recognition versus disclosure matter? Evidence from value-relevance of banks’ recognized and disclosed derivative instruments. The Accounting Review. 2006;81(3):567–588.

15. Bernard V., Merton R., Palepu K. Mark-to-market accounting for banks and thrifts: Lessons from the Danish experience. Journal of Accounting Research. 1995;33(1):1–32.

16. Eccher E., Ramesh K., Thiagarajan S. Fair value disclosures by bank holding companies. Journal of Accounting and Economics. 1996;22:79–117.

17. Nelson K. Fair value accounting for commercial banks: An empirical analysis of SFAS No. 107. The Accounting Review. 1996;71(2):161–182.

18. Barth M., Clinch G. Revalued financial, tangible, and intangible assets: Associations with share prices and nonmarket-based value estimates. Journal of Accounting Research. 1998;36 (Suppl.):199–233.

19. Beaver W., Eger C., Ryan S., Wolfson M. Financial reporting, supplemental disclosures, and bank share prices. Journal of Accounting Research. 1989;27(2):157–178.

20. Beaver W., Venkatachalam M. Differential pricing of components of bank loan fair values. Journal of Accounting, Auditing, and Finance. 2003;18:41–67.

21. Venkatachalam M. Value-relevance of banks’ derivatives disclosures. Journal of Accounting and Economics. 1996;22(1–3):327–355.

22. Park M., Park T., Ro B. Fair value disclosures for investment securities and bank equity: Evidence from SFAS No. 115. Journal of Accounting, Auditing, and Finance, 1999;14(3):347–370.

23. Philips G.E., Mayne L. Income measures and bank stock values. Journal of Accounting Research. 1970;8:178–188.

24. Wahlen J. The nature of information in commercial bank loan loss disclosures. The Accounting Review. 1994;69(3):455–478.

25. Beaver W., Engel E. Discretionary behavior with respect to allowances for loan losses and the behavior of security prices. Journal of Accounting and Economics. 1996;22:177–206.

26. Ahmed A., Takeda C. Stock market valuation of gains and losses on commercial banks’ investment securities. An empirical analysis. Journal of Accounting and Economics. 1995;20:207–225.

27. Lim C., Walker M., Lee E. Are the loan loss and fair value components of bank income rationally priced? Paper presented at Marie Curie ITN Final Conference on Financial Risk Management & Risk Reporting, University of Konstanz, Germany; 2013, April.

28. Bolibok P. Value relevance of impairment provisions in the Polish banking sector. Research Papers of Wroclaw University of Economics. 2015;397:58–67.

29. Ryan S., Tucker J., Zarowin P. Classification and market pricing of the cash flows and accruals on trading positions. The Accounting Review. 2006;81(2):443–472.

30. Hodder L., Hopkins P., Wahlen J. Risk-relevance of fair-value income measures for commercial banks. The Accounting Review. 2006;81(2):337–375.

31. Cheng F.-F., Ariff M. Abnormal returns of bank stocks and their factor-analyzed determinants. Journal of Accounting, Business & Management. 2007;14:1–16.

32. Cheng F.-F., Annuar N. The effect of financial risks on the earnings response in Australian bank stocks. Journal of Money, Investment, and Banking. 2008;6:17–26.

33. Soh W.N., Cheng F.-F., Annuar N. The effect of financial risk on the earnings response in Thailand banks’ stock. International Journal of Finance and Economics. 2009;31:55–65.

34. Abuzayed B., Molyneux P., Al-Fayoumi N. Market value, book value, and earnings: is bank efficiency a missing link? Managerial Finance. 2009;35(2):156–179.

35. Siam W., Rashid K. The impact of income statement components decomposition on share market value of the Jordanian commercial banks. International Journal of Business, Accounting, and Finance. 2010;4(2):84–101.

36. Al-Horani A. Testing the relationship between abnormal returns and non-interest earnings: The case of Jordanian commercial banks. International Research Journal of Finance and Economics. 2010;55:108–117.

37. Dimitropoulos P., Asteriou D., Koumanakos E. The relevance of earnings and cash flows in a heavily regulated industry: Evidence from the Greek banking sector. Advances in Accounting. 2010;26:290–303.

38. Tjhoa E., Hermawan A. Informativeness of earnings and cash flows: Evidence in Indonesia, Malaysia, and Thailand banking industry; 2014. Retrieved from URL: http://www.af.polyu.edu.hk/files/jiar2014/cc078%20paper%20elisa%20and%20ancella_final.pdf .

39. Ohlson J. Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research. 1995;11(2):661–687.

40. Bolibok P. Application of the Ohlson model for testing the value relevance of accounting data in Polish banking sector. Finanse, Rynki Finansowe, Ubezpieczenia. 2014;65:463–471.

41. Gao Z., Li W., O’Hanlon J. The informativeness of US banks’ statements of cash fl ws; 2016. URL: https://dx.doi.org/10.2139/ssrn.2568762.

42. Agostino M., Drago D., Silipo D. The value relevance of IFRS in the European banking industry. Review of Quantitative Finance and Accounting. 2011;36(23):437–457.

43. Bolibok P. The impact of IFRS on the value relevance of accounting data of banks listed on the Warsaw Stock Exchange. Copernican Journal of Finance and Accounting. 2014;3(1):33–43.

44. Bolibok P. Does standardization of accounting improve the value relevance of financial reporting in banking sector? Journal of Financial Management and Accounting. 2015;3(2):65–76.

45. Dobija D., Klimczak K. Development of accounting in Poland: Market efficiency and the value relevance of reported earnings. The International Journal of Accounting. 2010;45:356–374.

46. Klimczak K. Market reaction to mandatory IFRS adoption: Evidence from Poland. Accounting and Management Information Systems. 2011;10(2):228–248.

47. Hayn C. The information content of losses. Journal of Accounting and Economics. 1995;20(2):125–153.

48. Elliott J., Hanna J. D. Repeated accounting write-offs and the information content of earnings. Journal of Accounting Research. 1996;34:135–155.

49. Basu S. The conservatism principle and the asymmetric timeliness of earnings. Journal of Accounting and Economics. 1997;24(1):3–37.

50. Davis-Friday P., Gordon E. Relative valuation roles of equity book value, net income, and cash flows during a macroeconomic shock: The case of Mexico and the 1994 currency crisis. Journal of International Accounting Research. 2005;4(1):1–21.

51. Graham R., King R., Bailes J. The value relevance of accounting information during a financial crisis: Thailand and the 1997 decline in the value of the Baht. Journal of International Financial Management and Accounting. 2000;11(2):84–107.

52. Ho L.-C., Liu C.-S., Sohn P. The value relevance of accounting information around the 1997 Asian financial crisis — the case of South Korea. Asia-Pacific Journal of Accounting & Economics. 2001;8(2):83–107.

53. Eng L.L., Nabar S., Chng C.K. The predictive value of earnings, cash fl ws and accruals in the period surrounding the Asian fi crisis: Evidence from Hong Kong, Malaysia, Singapore, and Thailand. Journal of International Financial Management and Accounting. 2005;16(3):165–193.

54. Johnson M. Business cycles and the relationship between security returns and earnings. Review of Accounting Studies. 1999;4(2):93–117.

55. Jenkins D., Kane G., Velury U. Earnings conservatism and value relevance across the business cycle. Journal of Business Finance and Accounting. 2009;36:1041–1058.

56. Bepari M. Relative and incremental value relevance of book value and earnings during the global financial crisis. International Journal of Commerce and Management. 2015;25(4):531–556.

57. Persakis A., Iatridis G. Earnings quality under financial crisis: A global empirical investigation. Journal of Multinational Financial Management. 2015;30:1–35.

58. Cohen L., Cornett M., Marcus A., Tehranian H. Bank earnings management and tail risk during the financial ancial crisis. Journal of Money, Credit and Banking. 2014;46(1):171–197.

59. Ma M., Song V. Discretionary loan loss provisions and systemic risk in the banking industry. Accounting Perspectives. 2016;15(2):89–130.

60. Morris R.D., Kang H., Jie J. The determinants and value relevance of banks’ discretionary loan loss provisions during the financial crisis. Journal of Contemporary Accounting & Economics. 2016;12:176–190.

61. Bolibok P. The impact of the global financial crisis on the value relevance of leverage in the Polish banking sector. Finanse, Rynki Finansowe, Ubezpieczenia, 2016;4 (82/2):679–688.

62. Dougherty C. Introduction to econometrics. 4th ed. New York, NY: Oxford University Press; 2011.


Дополнительные файлы

Для цитирования: Болибок П.М. ВЛИЯНИЕ РЫНОЧНОГО ЦИКЛА НА ЗНАЧИМОСТЬ БАЛАНСОВОЙ СТОИМОСТИ И ДОХОДОВ В БАНКОВСКОЙ ИНДУСТРИИ ПОЛЬШИ. Финансы: теория и практика/Finance: Theory and Practice. 2018;22(2):6-25. https://doi.org/10.26794/2587-5671-2018-22-2-6-25

For citation: Bolibok P.M. THE IMPACT OF THE MARKET CYCLE ON THE VALUE RELEVANCE OF BOOK VALUES AND EARNINGS IN THE BANKING INDUSTRY: AN EVIDENCE FROM POLAND. Finance: Theory and Practice. 2018;22(2):6-25. https://doi.org/10.26794/2587-5671-2018-22-2-6-25

Просмотров: 153

Обратные ссылки

  • Обратные ссылки не определены.


Creative Commons License
Контент доступен под лицензией Creative Commons Attribution 4.0 License.


ISSN 2587-5671 (Print)
ISSN 2587-7089 (Online)