Who's the Fairest of Them All? Evidence from Closed-End Funds

• 成果类型: Article
• 署名作者: Lawrence, Alastair; Siriviriyakul, Subprasiri; Sloan, Richard G.
• 署名单位: University of California System; University of California Berkeley; City University of New York (CUNY) System; Baruch College (CUNY)
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr-51152
• 发表日期: 2016
• 页码: 207-227
• 关键词: VALUE-RELEVANCE; investment securities; value disclosures; COMMERCIAL-BANKS; market valuation; Share prices; VALUES; returns; losses

摘要

Prior research examining the ASC 820 fair value hierarchy concludes that Level 3 fair value measurements are significantly less value-relevant than Level 1 and Level 2 fair value measurements. We reevaluate this conclusion using the closed-end fund setting, in which fair value measurements are available for substantially all assets. Contrary to prior research, we find that Level 3 fair values are of similar value relevance to Level 1 and Level 2 fair values. Our findings suggest that the results in previous research are attributable to correlated omitted variable bias arising from the absence of fair value data for most assets.