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

325 NTU Management Review Vol. 30 No. 2 Aug. 2020 6. Additional Analyses 6.1 Self-selection Bias CAS 3 mandates that firms can choose the fair value model if and only if the local property market is active, and the fair value of an entity’s investment property can be estimated reliably. This means that not all firms can voluntarily switch to the fair value model. However, a self-selection concern remains because managers are allowed to select the fair value or historical cost method for investment property when the fair value information of the investment property is reliable. To mitigate endogenous issues that may lead to biased ordinary least squares (OLS) estimates, we employ a propensity-score matching as a robustness check. This nonparametric matching technique facilitates causal inference in non-experimental settings by constructing a control group of firms using the fair value model that is similar to a treatment group of firms using the historical cost model (Rosenbaum and Rubin, 1983; Rosenbaum, 2002). In the first stage, we estimate a probit model, in which a fair value choice is a dependent variable and determinants of fair value choice are independent variables. The determinants that we use in the first stage of the probit regression are firm size, firm leverage, growth, intensity of investment properties, proportion of institutional investors, proportion of independent directors, whether firms are audited by Big 4 auditors, and whether firms are cross-listed on the Hong Kong stock exchange. The first stage model is shown below. Prob ( D_FV it = 1) = Probit ( β 0 + β 1 SIZE it + β 2 LEV it + β 3 MB it + β 4 IP it + β 5 INST it + β 6 INDE it + β 7 BIG4 it + β 8 HK_LIST it + YearDummy + ε i , t ) . (3) where D_FV it is the dependent variable, an indicator variable which equals 1 if firm i selects the fair value model at year t , and 0 otherwise. SIZE it is measured as the log of the total assets of firm i ; LEV it is measured as the debt-to-total assets ratio of firm i . MB it is measured by the market-to-book ratio of firm i . IP is measured as the investment properties scaled by total assets of firm i in year t ; INST it is the proportion of institutional investors of firm i . INDE it is the proportion of independent directors on the board of firm i . BIG4 it is an indicator which equals 1 if firm i is audited by a Big 4 audit firm in year t , and 0 otherwise; and HK_LIST it is an indicator which equals 1 if firm i is cross-listed on the Hong Kong stock exchange in year t , and 0 otherwise.