ارتباط خطر ابتلا به استانداردهای بین المللی گزارشگری مالی: شواهدی از بانک های یونانی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|21505||2013||12 صفحه PDF||سفارش دهید||11120 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : International Review of Financial Analysis, Volume 27, April 2013, Pages 43–54
The main purpose of the paper is to estimate market, interest rate and exchange rate risk of Greek financial institutions and to explore the relationship between market-based measures of risk and accounting variables before and after the adoption of International Financial Reporting Standards (IFRS) in order to examine whether IFRS introduction enhances the information content of accounting data. Empirical results reveal that all banks are exposed to market risk while interest rate and exchange rate risk affect them occasionally. Moreover, the IFRS introduction reinforces the explanatory ability of accounting data, on systematic and non-systematic risks. Concerning the risk-relevance of accounting ratios, liquidity measures, credibility, earnings per share and provisions for credit loss are inversely related to systematic and non-systematic risks under IFRS. Moreover, loans to total assets ratio, interest rate spread and income diversification are directly associated with market measures of risk, while bank size is negatively related to both risk measures under IFRS. Our findings imply that the fair value orientation of IFRS is responsible for the higher risk-relevance of fundamentals as opposed to the historically oriented Greek Accounting Standards (GAS).
The increasing numbers of banks, which go bankrupt, calls for a renewed interest in assessing the risk performance of banks. Market measures of risk and accounting ratios are often used to make an assessment of the risk performance of a firm (inter alia: Beaver et al., 1970, Brimble and Hodgson, 2007, Chun and Ramasamy, 1989, Elyasiani and Mansur, 2005, Mansur et al., 1993 and Salkeld, 2011). Financial analysts, investors and stockholders pay considerable attention in analyzing the information on a firm's financial statements in order to use it as a base for their investments. Corporate executives also employ accounting data to formulate operating policies. Previous accounting literature indicates that the implementation of IFRS reinforces accounting quality and leads to value relevant accounting measures (inter alia: Barth et al., 2008, Iatridis, 2008, Karamanou and Nishiotis, 2009, Iatridis, 2010, Iatridis and Rouvolis, 2010, Morais and Curto, 2009 and Swartz and Negash, 2006). According to Niskanen et al., 2000 and Bartov et al., 2005 and Agostino, Drago, and Silipo (2011), the IFRS adoption emerges the value relevance of earnings. Moreover, Hung and Subramanyam (2007) find that the total assets, the book value of equity and the variability of book value and income are more value relevant under IFRS than under German GAAP. Barth et al. (2006) find that accounting quality of IAS is lower than US GAAP but higher than other domestic GAAP. From the aforementioned studies it is clear that further research is needed regarding the impact of IFRS on accounting quality and especially at risk-relevance. In other words, whether the adoption of IFRS, has increased the explanatory ability of accounting variables of balance sheet and income statement concerning systematic and non-systematic risks, remains under question. The scope of our work is to shed light on the risk relevance of accounting measures related to bank size, loans, liquidity, credibility, earnings and income diversification in the pre- and post-IFRS periods. It comes to fill-in studies that focus on value relevance of IFRS, by investigating the risk relevance of IFRS in a code-law country. Our investigation is concentrated on Greece, primarily to control for institutional and political factors such as the legal system, bank orientation and taxation. According to La Porta, Lopez-de-Silanes, Shleifer, and Vishny (1998) that investigates the legal system's effect on a country's financial system, the common law countries have better accounting systems and better protection of investors than code law countries.1 Additionally, Greek Accounting Standards differ substantially from IFRS as they emphasize to historical cost accounting and are heavily influenced by tax minimizing considerations (Baralexis, 2004, Iatridis and Dalla, 2011 and Koumanakos et al., 2005). Therefore accounting ratios that refer to loans valuation, bank size measured by total assets, deposits and income diversification may be more risk relevant variables under IFRS than under Greek Accounting Standards (GAS). The same argument applies to earnings per share ratio (EPS) given that the fair value orientation of IFRS is associated with lower earnings management. To this end we follow a theoretical risk decomposition model in order to measure the effect on the quality of accounting data due to a switch from a poor to a high quality and transparent accounting system as IFRS.2 The increasing information content of accounting variables (lending activity, liquidity, credibility, earnings and income diversification ratios) regarding risk can be possibly linked to IFRS adoption due to accounting harmonization and non-opportunistic managerial discretion. Our study contributes to the international accounting research in several aspects. First, we provide empirical evidence for the direct application of the common-law oriented IFRS (Barth et al., 2008) in a code-law country instead of using a multinational sample from common-law and code-law jurisdictions. Multinational datasets raise the concern of omitting country-specific elements that influence the properties under investigation (Soderstrom and Sun, 2007). Second, literature of IFRS mostly explores the value relevance of accounting variables, without taking into consideration any risk relevance issues. The risk relevance of loans to total assets, liquidity, credibility, income diversification, EPS, loan loss provisions ratios and bank size is investigated in a panel data model. Therefore, empirical evidence on risk relevance of IFRS is provided by using a broad set of accounting measures. Although the paper deals with a period before the impending financial crisis, our results provide evidence that IFRS may have auspicious effects on the financial markets' transparency. Third, previous research focuses on the information content of accounting measures within non-financial firms. The generalization of such results in banking institutions is under question since banks exhibit significant differences compared to non-financial firms. The rest of the paper is organized as follows. Section 2 describes the institutional background of Greece and how this complies with IFRS. In Section 3, the literature review is present. In Section 4, systematic and non-systematic risks are modeled and the main hypotheses tested are established. Section 5 reports the empirical findings. Finally, Section 6 includes the conclusions of the paper.
نتیجه گیری انگلیسی
The main purpose of this study is to shed light on the risk relevance of IFRS for the Greek banking sector. The IFRS adoption affects the information content of accounting variables and this may have significant effect on systematic and non-systematic risk measures. Based on our findings that only the market risk affects Greek banks over the period 2000–2009, while the interest rate and the foreign exchange risk affect them occasionally, our analysis is focused on the former. Information on our main hypotheses tested can be very useful for investors, bank managers and policy makers in a code-law country with weak protection mechanisms for investors. Fundamental information concerning loans to assets ratio is very helpful for measuring systematic risk independently of the accounting standards. However, information provided by this ratio affects also significantly non-systematic risk of banks under IFRS. The fair value orientation under IFRS may reveal the contribution of lending activity to non-systematic risk. This result is quite useful for investors that formulate investment strategies taking into account non-systematic risk. As far as the risk relevance of liquidity is considered, our liquidity ratio under IFRS is negatively related to systematic risk. Given that under IFRS bank's deposits to central bank are measured as cash this enhances the role of cash in bank management strategies. The bank size measured by total assets is a risk relevant variable only under IFRS. This can mainly attributed to the fact that the level of risk of some risky components of total assets is reflected more precisely under IFRS. This result implies more market discipline for bank managers. The diversification across interest and non-interest activities seems to be positively correlated with the systematic and non-systematic risks only under IFRS. This can be attributed to the components of the non-interest income defined by IFRS. The main implication of this result is that bank managers should try to find other ways than income diversification to reduce their risk exposure to systematic and non-systematic risks. By combining all the above information the bank managers should follow strategies by attracting depositors, restructuring loan portfolio and keeping a critical amount of liquidity in order to reduce risk. The risk relevance of credit loss provisions to loans ratio (i.e. conservatism measure) in pre- and post-IFRS periods is significant. It seems that provision for credit loss is considered by investors to be an effort of rehabilitating a bank's loan portfolio with beneficial effects on bank's risk in both periods. However, non-systematic risk is reduced more under IFRS by such strategies providing useful information for bank managers when implementing relevant strategies. Given that the fair value orientation of IFRS is associated with lower earnings management (Koumanakos et al., 2008 and Koumanakos et al., 2005) our findings for the risk relevance of EPS under IFRS only, imply that risk reduction may not be achieved by earnings management strategies. Under more standardized system earnings reveal significant benefits on systematic and non-systematic risks. Overall, the main policy implication of our findings is that the transition toward more transparent accounting systems increases the risk relevance of accounting variables. This is a very important result for bank managers and investors in the conduct of investment and risk management strategies. Under IFRS, the accounting information is directed toward the needs of investors. Credible information is critical to efficient capital markets because it increases the incentive to invest in risky assets such as stocks and it favors the optimal allocation of saving to investment. Moreover, the Third Pillar of the new Basel Capital Accord tightens market discipline by imposing new disclosure and transparency requirements. Effective market discipline depends on the stakeholders being provided with the information necessary to assess each bank's financial position. In turn, this assessment depends on the quality of accounting data. Future research should be focused on the risk relevance of IFRS in other code-law and common-law countries. Particular interest should be given also to any cross-sectoral differences within a code-law or a common-law country.