The effects of SFAS 157 disclosures on investment decisions

• 成果类型: Article
• 署名作者: Iselin, Michael; Nicoletti, Allison
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; University of Pennsylvania
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2016.09.004
• 发表日期: 2017
• 关键词: LOAN LOSS PROVISIONS; earnings management; COMMERCIAL-BANKS; INFORMATION; equity; IMPACT; RISK

摘要

This paper examines whether public bank managers change both the composition and classification of their investment portfolios after SFAS 157. We first show that non-agency mortgage-backed securities (MBSNA) are the asset class most likely to be measured using level 3 inputs, which are based on unobservable information. We then find that relative to a control sample of private banks, public banks altered their investment portfolios in a manner that reduced the percentage of MBSNA holdings for which SFAS 157 disclosures are required. Taken together, this evidence is consistent with public banks attempting to avoid disclosure of level 3 assets through changes in both asset composition and classification. (C) 2016 Elsevier B.V. All rights reserved.