Effects of SFAS 133 on the Risk Relevance of Accounting Measures of Banks' Derivative Exposures

• 成果类型: Article
• 署名作者: Ahmed, Anwer S.; Kilic, Emre; Lobo, Gerald J.
• 署名单位: Texas A&M University System; Texas A&M University College Station; University of Houston System; University of Houston
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• DOI: 10.2308/accr.00000033
• 发表日期: 2011
• 页码: 769-804
• 关键词: EMPIRICAL-ANALYSIS; MARKET DISCIPLINE; management; DISCLOSURES; association; determinants; incentives; price; cost

摘要

We provide evidence on the effects of SFAS 133 on the risk relevance of accounting measures of bank derivative exposures to bond markets. First, we find that interest rate derivatives classified as hedging are more negatively associated with fixed-rate bond spreads after SFAS 133. We also find that hedging derivatives offset non-trading positions to a greater extent after SFAS 133. Second, for the largest 25 banks, we find that interest and foreign exchange rate trading derivatives are more negatively associated with fixed-rate bond spreads after SFAS 133, consistent with more economic hedges being classified as trading after SFAS 133. For these banks, trading derivative exposures offset non-derivative trading exposures to a greater extent after SFAS 133. Our results suggest that, contrary to critics' claims, SFAS 133 has increased the risk relevance of accounting measures of derivative exposures to bond investors and benefited banks in terms of reducing their cost of capital.