Usefulness of Interest Income Sensitivity Disclosures

• 成果类型: Article
• 署名作者: Cheng, Mei; Hodder, Leslie D.; Watkins, Jessica
• 署名单位: University of Arizona; Indiana University System; IU Kelley School of Business; Indiana University Bloomington; University of Notre Dame
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/tar-2017-0072
• 发表日期: 2021
• 页码: 117-146
• 关键词: forecast accuracy; risk disclosures; corporate; QUALITY

摘要

We document multiple dimensions of usefulness of banks' interest income sensitivity disclosures. First, we find management-generated sensitivity measures are predictive of future realized changes in net interest income. Second, we find financial analysts' forecasts of net interest income reflect information provided by interest income sensitivity disclosures. Third, we find equity market responses to interest rate shocks as well as firms' interest rate betas are larger for banks with greater disclosed sensitivity of net interest income to interest rate changes. Across all of these tests, the informativeness of income sensitivity measures is incremental to that of regulatory data. These results suggest that interest income sensitivity disclosures are informative measures of interest rate risk. Our results contradict assertions that these disclosures are useless due to lack of relevance of income sensitivity, poor modeling techniques, and/or redundancy relative to regulatory data.