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

Asymmetric Valuation Adjustments in Accumulated Other Comprehensive Income 158 Note: This table presents results from a pooled cross sectional OLS regression of the following model: where NA i,t is the book value of net assets, measured as total assets (Compustat item “AT”) minus 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 is a dummy variable that takes the value of 1 when MVE i,t is less than MVE i,t –1 , and 0 otherwise; Sale i,t is net sales (“SALE”) of firm i in year t ; D S i,t is a dummy variable that takes the value of 1 when Sale i,t is less thanless than Sale i,t –1 , and 0 otherwise; and KLD i,t is the KLD score measured as the total number of strengths minus the number of concerns over six social/environmental dimensions of firm i for year t . The sample period ranges from 2000 to 2014 (15 years), covering 15,936 observations for 3,023 firms. *, **, and *** indicate statistical significance at the 0.10, 0.05, and 0.01 levels, respectively, based on two-tailed t -statistics in parenthesis. 6. Robustness Tests 6.1 Fama-MacBeth Regressions Our inferences can be overstated in estimating the above cross-sectional regressions if the regression residuals have positive cross-sectional correlations. To address this concern, we estimate the Fama-MacBeth analysis over each of the 15 years (i.e., years 2000 to 2014). Table 5 lists the means, medians and t -statistics, adjusted by the Newey-West for standard errors, for annual regressions of Eq. (3) every year (i.e., 2000 to 2014). Results in the table are consistent with our primary results in all respects. For example, the mean of coefficients for and are 0.108 and 0.244, respectively (Newey-West adjusting t -statistics = 8.5 and 19.99, respectively). OCI adjustments increase the book value of net assets by 0.108% and 0.244% for every 1% improvement in market-based and accounting- based information inputs, respectively. Concerning results supporting H1, both coefficients and are negative on average (-0.118 and -0.107, respectively) and highly significant (Newey-West adjusting t -statistics = -7.48 and -10.96, respectively). These significantly negative coefficients indicate that the downward OCI adjustments are less than upward adjustments by 0.118% and 0.107% of the book value of equity when there is a 1% change in the market value of equity and in sales revenue, respectively.