An investigation of capital market reactions to pronouncements on fair value accounting

• 成果类型: Article
• 署名作者: Cornett, MM; Rezaee, Z; Tehranian, H
• 署名单位: Boston College; Southern Illinois University System; Southern Illinois University; Middle Tennessee State University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/S0165-4101(96)00440-5
• 发表日期: 1996
• 关键词: impact; volatility; FIRMS

摘要

This paper examines the impact of twenty-three pronouncements related to fair value accounting (FVA) rules on equity prices of financial institutions. The results document that announcements that signal an increased (decreased) probability of issuance of FVA standards produce negative (positive) abnormal stock price reactions for sample banks. Further, the magnitude of the stock price reactions is negatively related to a bank's primary capital ratio and positively related to the ratio of the book value of the investment portfolio to total assets and the ratio of the difference between the market and book value of the investment portfolio to total assets.