臺大管理論叢 NTU Management Review VOL.30 NO.2

Asymmetric Valuation Adjustments in Accumulated Other Comprehensive Income 156 Model (4) presents results from a pooled cross sectional OLS regression of the following model: where AT i,t is total assets (Compustat item “AT”), and DT i,t is total debt (“DT”) of firm i at the end of fiscal year t , and excluding net income (“NI”) and shares sold (“SSTK”), plus dividends paid (“DVC”) over year t ; MVE i,t is the market value of equity, measured as the absolute value of price (“PRCC_F”) times shares outstanding (“CSHO”) of firm i at the end of year t ; D M i,t + q is a dummy variable that takes the value of 1 when MVE i,t is less than MVE i,t – q , and 0 otherwise; D M i,t +1 is a dummy variable that takes the value of 1 when MVE i,t +1 is less than MVE i,t , and 0 otherwise; Sale i,t is net sales (“SALE”) of firm i in year t ; D S i,t + q is a dummy variable that takes the value of 1 when t k = t – q +1 ( Sale k ) is less than g = t –2 q +1 ( Sale g ) t – p , and 0 otherwise; and D S i,t +1 is a dummy variable that takes the value of 1 when Sale i,t +1 is less than Sale i,t , and 0 otherwise. The sample period ranges from 2000 to 2014 (15 years). *, **, and *** indicate statistical significance at the 0.10, 0.05, and 0.01 levels, respectively, based on two-tailed t -statistics in parenthesis. 5.3 Agency Costs and Asymmetric OCI Adjustments Table 4 reports the results of estimating Eq. (7). We start from using market-based and accounting-based information inputs separately as independent variables in Models (1) and (2), respectively. Model (3) includes both the market-based and accounting-based information inputs as independent variables. Over the three models in Table 4, ethics (as measured by KLD score) mitigate the degrees of asymmetric OCI adjustments. In Model (1), is 0.008 and highly significant at the 1% level ( t -statistic = 4.71). This result supports H3, because the difference in asymmetric OCI adjustments is smaller between improving and deteriorating business conditions for firms with high ethics. shows that OCI adjustments increase the book value of net assets by 0.134% when business conditions improve by 1%. For 1% deterioration in business conditions, the book value of net assets decreases by 0.043% (i.e., 0.134 – 0.091) before corporate ethics are taken into consideration. For firms with one KLD score higher, the book value of net assets decreases by 0.051% (i.e., 0.134 – 0.091 + 0.008) when business conditions deteriorate by 1%. Similarly, is 0.009 and highly significant ( t -statistic = 2.78), supporting H3. For firms with one KLD score higher, Model (2) indicates that the asymmetric OCI adjustments are 0.009% smaller between improving and deteriorating business conditions of 1%. Specifically, the significant and positive coefficient, , indicates that the