摘要
本研究主要針對美國證券暨期貨交易委員會(Securities and Exchange committee)於1997年頒布的的法令-FRR No. 48 (Financial Reporting Release Number 48)進行檢測。該法令要求公司分兩階段在10-K財報上，選擇其中一種風險揭露的方式：財務報表（tabular）、敏感度分析（sensitivity analysis）、以及Value-at-risk(VaR)，揭露其所暴露的市場風險。而本文一開始，先著手進行探討FRR No.48，是否能有效減低外部投資人資訊不對稱的問題，續後，針對VaR的揭露對於投資人的影響做更進一步探討。
首先，針對Limsmeier et al. (2002)一文中提到的兩個假說重複驗證：（1）在FRR No. 48 使用之前，市場上，公司交易量的波動與其所面對的市場風險呈現正向相關；（2）FRR No. 48 揭露之後，公司交易量的波動與其所面對的市場風險仍呈現正向相關，但是交易量波動隨市場風險的變動因此降低。針對此二假說重複驗證後，假說二所得出的實證結果，並不如預期。我們推測，係數沒有下降的因素可能為樣本期間不同所導致。本文採用樣本是隨商業銀行首次揭露該值進行調整，故樣本期間長達7年之久。而部分銀行在搜尋樣本的過程中可能受特定事件影響而產生抵銷的效果。
此外，除了重複驗證Linsmeier et al.的假說之外，更進階延伸出的H3：驗證VaR的使用與否；以及H4: VaR值的揭露，是否對於降低外部投資人意見分歧的情形，比其他兩種方式來得更為顯著。實證結果顯示：VaR 的使用確實比其餘的兩個方法更為顯著；而且VaR 值的揭露，也充分顯示：與交易量的變動呈現正向相關。是故，FRR No. 48 能夠提供充分訊息給外部投資人。

Abstract
We hypothesize that firms’ quantitative market risk disclosures, including three alternative formats: tabular, sensitivity analysis and Value at risk (VaR) in their 10-K reports mandated by the Securities and Exchange Commission (SEC) Financial Reporting Release Number 48 (FRR No. 48) in 1997 convey useful information to investors, especially for VaR disclosures. First, we repeat Linsmeier et al. (2002) analysis: (1) In the absence of FRR No. 48 information, trading volume is positively associated with the absolute value of underlying market rate changes. (2) Trading volume sensitivity to absolute changes in underlying market rates is lower after FRR No. 48 disclosures than before the disclosures. We observe that firms’ trading volume is positively related to underlying market rate, but experiences a slightly greater coefficient of underlying market rate in the post regime than in the pre regime. We assume this difference attributes to time series data difference. In this paper, we collect data going through seven years. The macro effect may offset the significance in our result.
Moreover, we further test whether the VaR disclosure is better than tabular/ sensitivity disclosures and whether VaR value has a significant effect on reducing investors’ information asymmetry. Consistent with our hypotheses, our results suggest that VaR disclosures are more informative to investors than the others, and VaR values are positively associated with trading volumes as well. Therefore, FRR No. 48 information is useful to investors, particularly in VaR disclosures.

References
Chamberlain, S., Howe, J., and Popper, H., 1997, The exchange rate exposure of U.S. and Japanese banking institutions, Journal of Banking and Finance 21, 871-892.
Choi, J., Elyasiani, E., and Kopecky, K., 1992, The sensitivity of bank stock returns to market, interest, and exchange rates, Journal of Banking and Finance 16, 983-1004.
Chipalkatti, N., 2005, Do investors reward bank disclosure transparency? Evidence from India, Journal of International Accounting Research, Vol. 4, No.2, 25-32.
Elmy, F., LeGuyader, L., and Linsmeier, T. J., 1998, A review of initial filings under the SEC’s new market risk disclosure rules, Journal Corporate Accounting Finance 9, 33-45.
Emm, E. E., Gay, G. D., and Lin, C. M., 2007, Choices and best practice in corporate risk management disclosures, Journal of Applied Corporate Finance 19, 82-93.
Hull, J. and White, A., 1998, Value at risk when daily changes in market variables are not normally distributed, Journal of derivatives 5, 9-19.
Jorion, P., 2002, How informative are value-at-risk disclosures?, Accounting Review 77, 911-931.
Hodder, L., Koonce, L., and McAnally, M-L., 2001, SEC market risk disclosures: Implications for judgment and decision making, Accounting Horizons 15, 49-70.
Linsmeier, T. J., Thornton, D. B., Venkatachalam, M., and Welker, M., 2002, The effect of mandated market risk disclosures on trading volume sensitivity to interest rate, exchange rate, and commodity price movements, Accounting Review 77, 343-377.
Lenz, C., 2003, IAS versus U.S. GAAP: Information asymmetry- Based Evidence from Germany’s New Market 41, 445-472.
Lenz, C. and Verrecchia, R., 2000, The economic consequences of increased disclosure, Journal of Accounting Research 38, 91-124.
Lim, C. Y., Tan, M. S., 2007, Value relevance of value-at- risk disclosure, Review Quantitative Financial Accounting 10.
Liu, C. C., Ryan, S. G., and Tan, H., 2004, How banks’ value-at-risk disclosures predict their total and priced risk: effects of bank technical sophistication and learning over time, Review of Accounting Stidies 9, 265-294.
Seow, G. and Tam, K , 2002, The usefulness of derivative-related accounting disclosure, Review of Quantitative Finance and Accounting 18, 273-291.
Sribunnak, V. and Wong, F., 2006, The impact of excluding nonfinancial risk exposure on the usefulness of foreign exchange sensitivity-analysis risk disclosures,
39
Journal of Accounting, Auditing & Finance 21, 1-25.
Thornton, D. and Welker, M., 2000, The effect of oil and gas producers’ FRR No. 48 disclosures on investors risk assessments, Journal of Accounting, auditing & Finance, 85-114.
Wang, L., Alam, P., Makar, S., 2005, The value-relevance of derivatives disclosure by commercial banks: a comprehensive study of information content under No. 119 and 133, Review of Quantitative Finance and Accounting 25, 413-427.