2022-07-05 08:07




ABSTRACT This paper examines if the use of the fair value model is value relevant in companies where the investment properties are not their core business. An analysis is also made into whether the disclosed fair value of investment property is perceived by investors. The sample includes Portuguese listed companies subject to the mandatory adoption of IAS/IFRS since 2005. The results achieved indicate that investors price shares differently when companies choose either the cost model or the fair value model. However, results do not show evidence that investors significantly valuate differences between the historical cost and disclosed fair value in the notes for companies adopting the cost model.

Keywords: Fair value, investment property, value relevance, IAS 40


On 1st January 2005, International Accounting Standards (IAS)/International Financial Reporting Standards (IFRS) issued by International Accounting Standards Board (IASB) was adopted in Portugal, as in the European Union (EU), to promote higher quality financial reporting information and a consequent reduction of information asymmetry and to improve comparability and transparency.

After initial recognition there is still no consensus in how to measure investment property. International Accounting Standard (IAS) 40 – Investment Property allows companies to choose between the cost model and fair value model. According to the standard, the cost model requires to an entity to disclose the fair value of its investment property in the notes. Under the fair value model, any investment property should be measured at fair value, with changes being recognised as profits or losses.

The significant question behind this issue is whether fair value provides more relevant information without losing reliability. In fact, the choice between fair value and historical cost is a key issue in the current debate on accounting.

This study investigates the value relevance of applying the fair value model in Portuguese companies where investment properties do not represent their core business. Hence, three main issues should be analysed: if investors valuate the historical cost and the recognised fair value differently when pricing shares; whether they consider differences between the historical cost and disclosed fair value in the notes for companies adopting the cost model; finally, if recognising the fair value in the balance sheet or disclosing it in the notes is equally interpreted by investors.

With the purpose of knowing whether investors price shares differently when companies apply either the cost model or the fair value model to measure investment property, it was conducted an analysis based on the Lourenccedil;o and Curto (2008) research. This model is based on similar studies on the value relevance of accounting data for share pricing, namely Ohlson (1995) and Landsman et al. (2006).

Using a sample of Portuguese listed companies in the period after the mandatory IFRS adoption, the results obtained indicate that adopting the cost model or the fair value model affect share pricing but they do not show evidence that investors significantly valuate differences between the historical cost and disclosed fair value in the notes for companies adopting the cost model. Thus, as in the real estate industry also in companies where investment properties are not the core business, fair value seems to be relevant. However the exclusive focus in the Portuguese market gives rise to an analysis where a restricted number of firms is considered which may comprise a limitation of this work.

This paper adds relevant contribution to the existing literature in several ways. Actually, the current literature strictly focuses on the choice between the cost model and the fair value model in real estate industry. Therefore, this work intends to generalise those results to other industries where investment properties are not the core business (in this particular case Portuguese listed companies). Thus, it aims at filling in the existing gap on this matter, trying to achieve relevant results to all industries which were once limited to the real estate business. Moreover, it complements the existing literature that investigates the relevance and reliability of disclosed and recognised fair value amounts (Landsman, 2006) by documenting the relevance value for Portugal.

The paper proceeds as follows. Section 2 concerns the literature related with this study. Section 3 provides a regulatory background. Section 4 discusses the methodology applied that is used as the basis for empirical tests. Section 5 describes the sample selection and descriptive statistics. Section 6 presents the empirical results and section 7 concludes the study.


The value relevance of investment property fair value has been tested in several studies, especially in real estate industry. This paper contributes to the literature by addressing this issue in industries, in particular for the Portuguese market.

Several papers study the recognition versus disclosure of the fair value with many of them concluding that they are not substitutes. Muller et al. (2008) find that lower information asymmetry and greater liquidity are consequences for firms that choose the fair value model comparing to those choosing the cost model, suggesting that market participants do not view disclosure of fair value as equivalent to the recognition in the balance sheet of these amounts. Landsman (2006) provides evidence that both the disclosed and recognised fair values are useful to investors, although this depends on such factors as the amount of measurement error and source of the estimates.

Two recent studies examine the relation between fair value and investment property.




本文研究了公允价值模式的使用在投资性房地产不是其核心业务的公司中是否具 有价值。分析了投资者对投资性房地产的公允价值是否被披露的问题。该样本包括自 2005 以来要求采纳 IAS/IFRS 的葡萄牙上市公司。结果表明,当企业选择成本模式或公允 价值模式时,投资者的股价是不同的。然而,结果并没有显示出投资者重视对采用成本模 式的公司的历史成本和附注上披露的公允价值的差异的评估。


第一章 绪论










第二章 文献综述


一些论文研究了公允价值的确认与披露,其中许多人认为公允价值计量模式是不可替代的。Muller(2008)发现,较少的信息不对称和更大的流动性使公司选择公允价值模式,与选择成本模式的公司相比,市场参与者不认为公允价值的披露等同于资产负债表 中的账面价值。Landsman(2006)提供的证据表明,披露的和账面的公允价值对投资者是有用的,虽然这取决于估值误差和估算来源等因素。

最近的两项研究调查了公允价值与投资性房地产之间的关系。Avallone(2008)对一些欧洲房地产公司进行了价值相关性研究。他的结论是,投资性房地产所占比重越大,未来对资产的披露需求就越多,这就导致了公司选择公允价值模式来减少信息不对称。同样的,Nikolaev 和 Christensen(2009)调查了在 IFRS 通过后执行非金融资产的公允价值会计准则的公司。他们的结论表明,房地产公司更倾向于采用公允价值模式来计量他 们的投资性房地产,因为公允价值估值更有可能促进计量潜在的经济业绩。他们强调,历史成本提供的信息少于公允价值提供的信息。



Lourenccedil;oand Curto(2008)指出,投资者分析四个具有不同特征的欧洲国家的上市房地产公司,找出历史成本价值、公允价值和披露的投资性房地产的公允价值之间的区别。


第三章 准则出台背景

2002 年 7 月,欧洲议会和欧盟部长理事会条例要求所有公开交易的欧洲公司采用IAS/IFRS,而不是国家一般会计公认原则(GAAP),作为自 2005 年 1 月 1 日起的会计年度提交合并财务报表的基础。可比性、相关性和可理解性是本条例的主要目标。这意味着葡萄牙的准则在发生改变。在 IASB 颁布之前,葡萄牙的投资性房地产也被认为是一项金融投资,葡萄牙准则要求在成本模式下计量投资性房地产,不允许使用公允价值模式。

IAS40 将投资性房地产定义为资产(土地或建筑物或建筑物的一部分或二者兼有)持有以赚取租金或资本增值或两者兼而有之(IAS40.5)。无论是购买还是构建的投资性房 地产,最初都是以成本(包括交易成本和后续 IAS40)来进行初始计量的,允许公司在成本模式和公允价值模式(IAS40.30)之间进行选择。此外,公司的所有投资性房地产都必须采用同一种计量方法。实际上,公司可以从成本模式转为公允价值模式,反之则不允许。

如果公司选择成本模式,公司必须按照IAS16 执行。投资性房地产是以其成本减去资产负债表上的累计折旧和资产减值。尽管如此,公司必须在附注中披露其公允价值。

在公允价值模式下,初始确认投资性房地产改为公允价值计量后,应在资产负债表日反映资产的市场价值(IAS40.38)。公允价值的最佳估值价值是在同一地点和条件下的同类资产的当日价格。引用 IASB:“公允价值是一项熟悉市场情况的买卖双方在公平交易的条件下和自愿的情况下所确定的资产。”在这种模式下,不需要任何折旧。公允价值的所有变动必须在相应的损益表中反映。

2003 年,IASB 在修订 IAS40 时考虑过废除成本模式,使公允价值成为唯一的选择。后来他们之所以放弃这个选择,主要是有两个原因:“让制定者和使用者在使用公允价值 模式之前获取经验,留时间让房地产市场和估价行业都不发达的国家发展成熟。今后他们计划再次考虑使用成本模式。


第四章 方法

为了推断当企业使用成本模式或公允价值计量模式来对投资性房地产进行后续尽量,投资者是否会对股票有不同的判断,进行了一项基于 Lourenccedil;oandCurto(2008)研究的分析。他们分析基于类似的研究--Ohlson(1995)andLandsman 等(2006)对股票定价的会计信息价值相关性的研究。因此整篇文章对资产负债表项目里一些系数进行了比较,基于如下模型:

P 代表是股票价格为 4 的地方,也就是财政年终后的第三个月。资产是公司总资产减去总投资物业的数字;IP 相当于投资物业的确认金额;负债是公司的总负债;NI 代表净营业收入。所有这些变量除以了总股数。由于资产价值、投资财产和净收益都代表着公司的财富,因此它们对股价有正向影响(即正系数)。相比之下,预测负债系数为负值。


为了区分公司识别历史成本和投资性房地产的公允价值,可变IP必须分为两个不同的术语,每一个乘以一个虚拟变量。当公司认可投资物业的成本时,虚拟成本等于1。另一方面,当公司认可投资性房地产的公允价值时,虚拟公允价值等于 1,否则为 0。以上描述的过程产生如下的经济模型:




因此,这一点的目标是测试beta;4 是否有统计学上的意义。如果是这样的话那就意味着在对股票进行定价时,投资者考虑了资产负债表中的信息和附注上披露的数值之间的差异。


鉴于投资者总能获得投资性房地产的公允价值(即在资产负债表或附注中披露),本文得第三个问题是分析投资者是否评估这些信息有没有被提供。为了完成它,在IPxCOST 被采用成本计量的公司附注上披露的公允价值替换掉的地方需要构建和(2)相类似的经济回归,即以下的回归:


第五章 样本选择和数据

本文研究的样本公司是 2005 至 2008 期间在 Lisbon 证券交易所上市的普通股票市 场上属于 PSI 指数公司的葡萄牙上市公司。选择的日期是在国际会计准则第 40 号生效之后,因此这些公司的公允价值需要被披露。2005 年之后,上市公司应采用国际会计准则代替葡萄牙的准则。在这期间内,一些公司不再是指数成分公司,一些公司新上市了。 因此,本文最初考虑了总共 60 家公司来代表 209 家公司进行年度考察。表 1 显示了这些样本的组成部分。

足球俱乐部因为其不同的会计期间而被排除在最初的样本之外。那些无法获得数据 的公司也被排除在外。然后,为了检测离群点,那些观察到的 RS 的绝对值大于 2 的被移除掉了。这将导致 75 家公司的年度观察,代表了 21 家公司的最终样本。从观察的总数来看,39 家公司应用成本模式,36 家应用公允价值模式。随后,为了减轻对异方差性,在年底所有变量除以流通股数量(Barth,1994)。

所有这些会计数据都来自于 Comissatilde;ode Mercadode Valores Mobiliaacute;rios(CMVM) 网站。这些股价是从雅虎财务数据库中获得的。所搜集的对数据的描述性统计后面将在表 2 的回归模型中使用。在前面的分析中可以看出投资性房地产在公司的资产结构中只占非常小的一部分。事实上,资产的平均值(不包括投资性房地产)是每股 28.49 欧元,而成本模式和公允价值模式下的投资性房地产的平均值为分别为 0.2 和 0.5。此外,我们可以看到,披露的投资性房地产的公允价值高于对应的历史成本,分别为0.27和0.2。因此,真正的挑战应当是分析这些投资方式的差异是否显著衡量了投资性房地产不是其核心业务的公司的股价。

第六章 实证结果


表3显示了估计的经济模型且可以被观察到其所有的系数在统计学上的显著性。然而,IPxCOST系数只有5%的统计学显著相关水平,所有其他系数相关的显着性水平为1%。调整后的 R-squared 值为 0.7321,这意味着独立变量模型解释了73%的股价变化。

正如预期的那样,除了负债系数本来就是负的,其他所有的系数都是正的。关于 IPxCOST和IPxFAIRVALUE(分别对应beta;2和beta;3),他们都是正相关的。此外,进行了Wald测试来分析这些系数的平等性。在表3中可以看到,相关的 p 值导致我们拒绝零假设,即beta;2和beta;3之间的平等关系不成立。这意味着当公司采用其中一种或另外一种计量模式时,投资者对股票的定价是不一样的。


表4说明了通过计量回归方程(3)的值,这些值的调整R-squared为 0.7148。从方程(2)添加到方程(3)上的新变量IP_DFV_COST,其10%的显著水平说明其无显著相关。由于零假设不成立,对于投资性房地产公允价值在附注中披露的信息对采用成本模式的公司股票价格的影响可以忽略不计。其



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