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

Asymmetric Valuation Adjustments in Accumulated Other Comprehensive Income 162 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 ; and D S i,t is a dummy variable that takes the value of 1 when Sale i,t is less than Sale i,t –1 , and 0 otherwise. The sample period ranges from 2000 to 2014 (15 years), covering 47,341 observations for 8,005 firms. *, **, and *** indicate statistical significance at the 0.10, 0.05, and 0.01 levels, respectively, based on two-tailed t -statistics in Panel A, and adjusted by Newey- West for standard errors in Panel B. 6.4 Linear Specifications Using log-linear specifications that provide certain advantages as explained in the section of redesign (i.e., Subsection 4.2), we find results supporting our hypotheses. Table 8 reports results using the following linear form: (8) where ∆ is percentage change from t – 1 to t . Thus, , , and . Panel A of Table 8 reports results from estimations of pooled ordinary least squares of Eq. (8) and evidence consistently supporting H1. Both estimated coefficients, and , are positive (0.068 and 0.206, respectively) and highly significant ( t -statistics = 42.25 and 89.33, respectively). The negative estimated coefficients, and , constitute evidence supporting H1. The estimated value of is -0.066 ( t -statistic = -11.08), which suggests asymmetric OCI adjustments. Downward OCI adjustments are 0.066% smaller in the book value of equity than upward OCI adjustments for every 1% change in the market value of equity. Similarly, the estimated value of = -0.120 ( t -statistic = -12.13) reduces