Value-relevance of banks' fair value disclosures under SFAS No 107

• 成果类型: Article
• 署名作者: Barth, ME; Beaver, WH; Landsman, WR
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: ACCOUNTING REVIEW
• ISSN/ISSBN: 0001-4826
• 发表日期: 1996
• 页码: 513-537
• 关键词: commercial-banks; incremental information; investment securities; market valuation; historical cost; Share prices; earnings; income; taxes; cash

摘要

This study provides evidence that fair value estimates of loans, securities and long-term debt disclosed under SFAS No. 107 provide significant explanatory power for bank share prices beyond that provided by related book values, In contrast to Eccher et al, (1996) and Nelson (1996), we consistently find incremental explanatory power for loans' fair values, Relatively stronger findings are obtained using a set of significant conditioning variables, including nonperforming loans, and interest-sensitive assets and liabilities. The joint significance of these loan-related variables and loans' fair values indicates that loans' fair values do not reflect completely loan default and interest rate risk, The loans' coefficient is significantly larger for banks with higher regulatory capital, which is consistent with market participants discounting unrealized gains on loans disclosed by less healthy banks. The findings are robust with respect to the inclusion of additional explanatory variables and to a first differences formulation.