公允价值计量在我国会计核算中的应用研究(外文翻译参考).doc

毕 业 设 计（论 文）外 文 参 考 资 料 及 译 文

译文题目： 公允价值会计的危机:
正确理解最近的辩论
学生姓名： 葛慧敏 学 号： 0901208036
专　　业： 会计学
所在学院： 商学院
指导教师： 王思武
职　　称： 讲师

2013年3月10日

The Crisis of Fair Value Accounting: Making Sense of the Recent Debate*
Christian Laux
Goethe-University Frankfurt
and
Christian Leuz
The University of Chicago Booth School of Business & NBER
April 2009
(Forthcoming in Accounting, Organizations and Society)
Abstract

The recent financial crisis has led to a vigorous debate about the pros and cons of fair-value accounting (FVA). This debate presents a major challenge for FVA going forward and standard setters’ push to extend FVA into other areas. In this article, we highlight four important issues as an attempt to make sense of the debate. First, much of the controversy results from confusion about what is new and different about FVA. Second, while there are legitimate concerns about marking to market (or pure FVA) in times of financial crisis, it is less clear that these problems apply to FVA as stipulated by the accounting standards, be it IFRS or U.S. GAAP. Third, historical cost accounting (HCA) is unlikely to be the remedy. There are a number of concerns about HCA as well and these problems could be larger than those with FVA. Fourth, although it is difficult to fault the FVA standards per se, implementation issues are a potential concern, especially with respect to litigation. Finally, we identify several avenues for future research.

Key Words: Mark-to-market； Fair value accounting； Financial institutions；Liquidity； Financial crisis； Banks；Procyclicality
1. Introduction
The recent financial crisis has turned the spotlight on fair-value accounting (FVA) and led to a major policy debate involving among others the U.S. Congress, the European Commission as well banking and accounting regulators around the world. Critics argue that FVA, often also called mark-to-market accounting (MTM),1has significantly contributed to the financial crisis and exacerbated its severity for financial institutions in the U.S. and around the world.2On the other extreme, proponents of FVA argue that it merely played the role of the proverbial messenger that is now being shot (e.g., Turner, 2008; Veron, 2008).3In our view, there are problems with both positions. FVA is neither responsible for the crisis nor is it merely a measurement system that reports asset values without having economic effects of its own.
In this article, we attempt to make sense of the current fair-value debate and discuss whether many of the arguments in this debate hold up to further scrutiny. We come to the following four conclusions. First, much of the controversy about FVA results from confusion about what is new and different about FVA as well as different views about the purpose of FVA. In our view, the debate about FVA takes us back to several old accounting issues, like the tradeoff between relevance and reliability, which have been debated for decades. Except in rare circumstances, standard setters will always face these issues and tradeoffs; FVA is just another example. This insight is helpful to better understand some of the arguments brought forward in the debate.
Second, there are legitimate concerns about marking asset values to market prices in times of financial crisis once we recognize that there are ties to contracts and regulation or that managers and investors may care about market reactions over the short term. However, it is not obvious that these problems are best addressed with changes to the accounting system. These problems could also (and perhaps more appropriately) be addressed by adjusting contracts and regulation. Moreover, the concern about the downward spiral is most pronounced for FVA in its pure form but it does not apply in the same way to FVA as stipulated by U.S. GAAP or IFRS. Both standards allow for deviations from market prices under certain circumstances (e.g., prices from fire sales). Thus, it is not clear that the standards themselves are the source of the problem.
However, as our third conclusion highlights, there could be implementation problems in practice. It is important to recognize that accounting rules interact with other elements of the institutional framework, which could give rise to unintended consequences. For instance we point out that managers’ concerns about litigation could make a deviation from market prices less likely even when it would be appropriate. Concerns about SEC enforcement could have similar effects. At the same time, it is important to recognize that giving management more flexibility to deal with potential problems of FVA (e.g., in times of crisis) also opens the door for manipulation. For instance, managers could use deviations from allegedly depressed market values to avoid losses and impairments. Judging from evidence in other areas in accounting (e.g., loans and goodwill) as well as the U.S. savings and loans (S&L) crisis, this concern should not be underestimated. Thus, standard setters and enforcement agencies face a delicate tradeoff (e.g., between contagion effects and timely impairment).
Fourth, we emphasize that a return to historical cost accounting (HCA) is unlikely to be a remedy to the problems with FVA. HCA has a set of problems as well and it is possible that for 3certain assets they are as severe, or even worse than the problems with FVA. For instance, HCA likely provides incentives engage in so called “gains trading” or to securitize and sell assets. Moreover, lack of transparency under HCA could make matters worse during crises.
We conclude our article with several suggestions for future research. Based on extant empirical evidence, it is difficult to evaluate the role of FVA in the current crisis. In particular, we need more work on the question of whether market prices significantly deviated from fundamental values during this crisis and more evidence that FVA did have an effect above and beyond the procyclicality of asset values and bank lending.
In Section 2, we provide a quick overview over FVA and some of the key arguments for and against FVA. In Section 3, we discuss the concern that FVA contributes to contagion and procyclicality as well as ways to address this concern, including how current accounting practices help to alleviate problems of contagion. We consider potential implementation problems in Section 4 and conclude with suggestions for future research in Section 5.
2. Fair-value accounting: What is it and what are the key arguments?
FVA is a way to measure assets and liabilities that appear on a company’s balance sheet. FAS 157 defines fair value as “the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.” When quoted prices in active markets for identical assets or liabilities are available, they have to be used as the measurement for fair value (Level 1 inputs). If not, Level 2 or Level 3 inputs should be used. Level 2 applies to cases for which there are observable inputs, which includes quoted prices for similar assets or liabilities in active markets, quoted prices from identical or similar assets in 4inactive markets, and other relevant market data. Level 3 inputs are unobservable inputs (e.g.,
model assumptions). They should be used to derive a fair value if observable inputs are not available, which is commonly referred to as a mark-to-model approach.
Fair value is defined similarly under IFRS as the amount for which an asset could be exchanged, or a liability settled, between knowledgeable, willing parties, in an arm’s length transaction. In determining fair value, IFRS make similar distinctions among inputs as FAS 157: Quoted prices in active markets must be used as fair value when available. In the absence of such prices, an entity should use valuation techniques and all relevant market information that is available so that valuation techniques maximize the use of observable inputs (IAS 39). It is recognized that an entity might have to make significant adjustments to an observed price in order to arrive at the price at which an orderly transaction would have taken place (e.g., IASB Expert Advisory Panel, 2008).
3. Fair-value accounting, illiquidity, and financial crises
FVA and its application through the business cycle have been subject to considerable debate (e.g., ECB, 2004; Banque de France, 2008; IMF, 2008). The chief concern is that FVA is procyclical, i.e., it exacerbates swings in the financial system, and that it may even cause a downward spiral in financial markets. U.S. GAAP and, more recently, also IFRS allow for a re-classification of fair-value assets into a category to which HCA and less stringent impairment tests apply. U.S. GAAP and IFRS have mechanisms to avoid negative spillovers in distressed markets and a downward spiral.
To address contagion and procyclicality is not to have direct (mechanical) regulatory or contractual ties to FVA. For instance, it would be possible to adjust the accounting numbers for the purpose of determining regulatory capital. Such adjustments already exist. For example, for the purpose of calculating regulatory capital, the Federal Deposit Insurance Corporation and the Federal Reserve adjust bank’s equity as reported under U.S. GAAP for unrealized losses and gains for available-for-sale (AFS) debt securities to obtain Tier 1 capital (e.g., Schedule HC-R in FR Y-9C). Thus, regulatory capital as calculated by U.S. banking regulators is not affected by changes in the fair value of AFS debt securities, unless they are sold or the impairments are other-than-temporary.13Similarly, Li (2008) documents that debt contracts often exclude fair-value changes in accounting-based debt covenants. These examples demonstrate that it is not clear that contagion and procyclicality are best addressed directly in the accounting system. Perhaps these issues are better left to the prudential regulators and contracting parties, who in turn can make adjustments to the numbers reported in the financial statements as they see fit. In our view, this is an interesting issue for future research. In summary, Allen and Carletti (2008) and Plantin et al. (2008a)provide important contributions to the FVA debate by illustrating potential contagion effects. However, they do not show that HCA would be
preferable. In fact, Plantin et al. (2008a) are quite explicit about the problems of HCA. Furthermore, they do not speak directly to the role of FVA in the current crisis because they do not model FVA as implemented in practice. As noted above, FVA as required by U.S. GAAP or IFRS as well as U.S. regulatory capital requirements for banks have mechanisms in place that should alleviate potential contagion effects. Whether these mechanisms work properly in practice is our next question.
4. Are there implementation problems with fair-value accounting standards?
Given the discussion in the preceding section, it is not obvious that extant accounting standards can be blamed for causing contagion effects. But it is possible that, in practice or in crises, the standards do not work as intended. Ultimately, this is an empirical question and answering it is beyond the scope of this article. But we can at least raise and discuss two important implementation issues.
Many have argued that both the emphasis of FAS 157 on observable inputs (i.e., Level 1 and Level 2) and extant SEC guidance make it very difficult for firms to deviate from market prices, even if these prices are below fundamentals or give rise to contagion effects (e.g., Wallison, 2008a, Bigman and Desmond, 2009). Consistent with these claims, the relevant standards in U.S. GAAP and IFRSas well as guidance for these standards are quite restrictive as to when it is appropriate for managers to deviate from observable market prices.However, such restrictions should not be surprising. By allowing deviations from market price in some instances, standard setters face the problem of distinguishing between a situation in which a market price is indeed misleading and a situation in which a manager merely claims that this is so
in order to avoid a write-down. Without restrictive guidance, the standards could be easily gamed. There is evidence that managers can be reluctant to take write-downs even when assets are substantially impaired.15Consistent with this concern, current estimates of banks’ loan losses far exceed the write-downs that banks have taken so far and they also exceed the difference between the loans’ carrying values and banks’ fair value disclosures for these loans according to FAS 107 (e.g., Citigroup, 2009; Goldman Sachs, 2009; IMF, 2009).16
While this expected feature of second-best standards is one explanation for the criticism of FVA during the crisis, it is clearly also possible that extant rules and guidance are too restrictive (even from a second-best perspective) and that we would have been better off giving managers more flexibility in the crisis.17This is in essence the view that the House Financial Services Committee adopted in a hearing on MTM accounting rules on March 12, 2009. As a result of this political pressure, the FASB relaxed the conditions for moving assets into Level 3 in April 2009. Moreover, the financial statements of U.S. banks for fiscal 2008 show that banks have been able to move assets into the Level 3
Category as the financial crisis unfolded, so it was clearly not impossible to move to models (see also IMF, 2008). But it is of course possible that banks did not move enough assets into the Level 3 category to prevent contagion effects. In the end, we need more research on this issue.18
A second implementation problem may arise from litigation risk. Deviations from market prices under existing FVA standards require substantial judgement by the preparers and the auditors. However, managers, directors and auditors face severe litigation risks as well as substantial legal penalties, including prison terms, which recently have been increased by the Sarbanes-Oxley Act of 2002. In this environment, managers, directors, and auditors are likely to weigh the personal costs and risks associated with deviations from market prices differently than investors. For example, it is conceivable that a manager is reluctant to use an appropriate model-
based fair value that is higher than an observable price from a very illiquid market, especially when there is substantial down-side risk for the economy or the firm, as there typically is in financial crises.
From a litigation risk perspective, guidance as to when deviations are appropriate is likely to play an important role, especially in litigious environments and when enforce