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

Asymmetric Valuation Adjustments in Accumulated Other Comprehensive Income 160 In Panel A of Table 6, both estimated coefficients, = 0.058 and = 0.307, are positive and highly significant ( t -statistics = 24.52 and 103.51, respectively). These results indicate positive associations between upward OCI adjustments and improving business conditions. For results supporting H1, both estimated coefficients, = -0.053 ( t -statistic = -16.22) and = -0.119 ( t -statistic = -32.03), are significantly negative. These numbers indicate significant differences between upward and downward OCI adjustments with respect to positive and negative changes in economic conditions. Upward OCI adjustments increase the book value of equity by 0.053% or 0.119% more than downward OCI adjustments. In Panel B of Table 6, the means, medians and t-statistics, which are adjusted by the Newey-West for standard errors, are largely consistent with the results in Panel A and our other tables. Table 6 Regressions using Total Assets minus Total Debts as the Dependent Variable β 0 β M 1 β M 2 β S 1 β S 2 Adj. Expected sign + – + – R 2 Panel A: Pooled Cross Sectional OLS Regressions 0.006*** 0.058*** -0.053*** 0.307*** -0.119*** 0.198 (4.65) (24.52) (-16.22) (103.51) (-32.03) Panel B: Fama-MacBeth Regressions Over Years 2000 and 2014 (15 Regressions) Median 0.000 0.069 -0.068 0.290 -0.107 0.182 Mean 0.003* 0.072*** -0.073*** 0.292*** -0.117*** 0.187 Fama-MacBeth (2.04) (6.75) (-5.33) (22.46) (-12.9) t -statistic Note: This table presents results from pooled cross sectional OLS and Fama-MacBeth regressions 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 ; 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 ; and D S i,t is a dummy variable that takes the value of 1