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

Predicting Future Performance Using Fair Value versus Historical Cost: Evidence from Investment Property 326 The results of the probit model are reported in Table 5. Table 5 shows that firms using fair value for investment properties have higher leverage, have more institutional investors, have a greater amount of investment property, are more likely to be audited by a Big 4 auditing firm, and are more likely to be listed on the Hong Kong stock exchange. We then match each historical-cost-model firm to one fair-value-model firm in the same year by the nearest propensity score, where we use a 1% caliper distance of propensity score. We evaluate the covariate balance between the two groups to ensure that the differences in the means and medians of variables related to firm characteristics are not significant. The results of the second stage are presented in Table 6. The main results are qualitatively similar. Table 5 Determination of Using the Fair Value Model 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 ) Coefficient z -statistic Intercept -3.357 (-4.25) *** SIZE 0.072 (1.54) LEV 0.004 (2.28)** MB 0.000 (0.11) IP 2.73 (7.09) *** INST 0.653 (2.49)** INDE -0.188 (-0.27) BIG4 0.108 (1.90)* HK_LIST 0.213 (1.94)* Pseudo R 2 0.189 Note: All variables are defined in Appendix A. The z -statistics reported in parentheses are based on standard. Errors clustered by both firm and year. Here, * indicates p < 0.05, ** indicates p < 0.01, and *** indicates p < 0.001.