本研究檢視衍生性金融商品的使用程度，是否因第34號公報的實施，而顯著影響公司的盈餘與股價報酬之間的關係。其次，分析在第34號公報實施之後，資本市場投資者是否更理性反應公司應用衍生性金融商品的使用程度。本文以我國2004至2008年上市公司之一般產業為研究對象，剔除金融保險業及資料不齊全之公司後進行實證。首先，採用複迴歸檢測第34號公報適用前後盈餘與股價報酬關聯性，進而採取Mishkin (1983) 理性預期模型，探討34號公報後，市場對公司應用衍生性金融商品是否有過度反應或反應不足之現象。實證結果發現，採用第34公報後將顯著提高公司財務報表的透明度，進一步提高衍生性金融商品的使用程度對提高盈餘與股價報酬關聯性；市場理性預期的測試部份，實證發現，雖然第34號公報的公佈實施有助於提高財務報表的透明度，投資者解讀公司衍生性金融商品之使用與盈餘持續性的關係時，皆能理性反應，並未受到第34號公報實施的影響。

This research examines the possible impact on firms’ earnings and stock return after implementing SFAS No.34 which directly imposes effect on financial derivatives usage. Furthermore, this research also analyzes post SFAS No.34’s effect on market investors’ rational response of financial derivatives usage. This research adopts empirical analyzing method and studis Taiwan listed firms for year 2004 to 2008, and meanwhile, excludes financial firms and firms with missing data. In order to analyze the alteration in relationship between earnings and stock returns, this study examines both pre adoption and post adoption period of SFAS No.34 using multiple regressions. Moreover, by using the Mishkin’s rational expectation model (1983), this study discusses if market has overreacted or underreacted to firms’ application of financial derivatives. Empirical results indicate that implementing SFAS No.34 will significantly enhance corporate financial statement transparency as well as improve financial derivatives usage to enhance the relationship between firms’ earnings and stock returns. On the other hand, the test of market rational expectations suggests that although SFAS No.34 helps to enhance corporate financial statement transparency, however, market investors’ rational on interpreting corporate financial derivatives usage and earnings persistency relationship remains. Therefore, interpretation ability has not been affected by adopting SFAS No.34.

目錄
第壹章　緒論1
第一節　研究背景與動機1
第二節　研究目的4
第三節　論文架構4
第四節　研究流程6
第貳章　文獻探討與研究假說7
第一節　我國對金融商品會計處理準則之介紹7
第二節　國內外與金融商品相關之文獻13
第三節  公司使用衍生性金融商品之目的19
第四節  研究假說20
第參章　研究方法22
第一節　實證模型與變數定義22
第二節　研究期間、樣本選取與資料來源25
第肆章　實證結果與分析26
第一節　敘述性統計及相關分析26
第二節　假說一迴歸分析27
第三節　假說二MISHKIN檢定結果28
第四節　敏感性測試	32
第伍章　研究結論與限制35
第一節　結論35
第二節  限制35
參考文獻36
中文文獻36
英文文獻38

圖目錄
圖1　研究流程圖6
圖2　34號公報內容之規範架構	11
 
表目錄
表2-1　金融商品續後評價一覽表7
表2-2　34號公報實施前後處理方法之差異比較12
表2-3　衍生性金融商品之歸類彙總12
表2-4　34號公報所規定之三種避險型態彙整13
表4-1  敘述性統計26
表4-2  相關係數分析27
表4-3　假說一-迴歸分析結果28
表4-4  假說二-NONLINEAR GLS ESTIMATION OF EARNINGS31
表4-5  敏感性測試-NONLINEAR GLS ESTIMATION OF EARNINGS34

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