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Commercial Banks and Value Relevance of Derivative Disclosures after SFAS 133: Evidence from the USA

机译:商业银行与SFAS 133之后衍生产品披露的价值相关性:来自美国的证据

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In the last decade there has been a significant increase in the use of derivatives as a vehicle to manage financial risk. The sudden spurt of derivatives has resulted in the Financial Accounting Standards Board (FASB) being forced to develop new standards for quantification and disclosure. The financial standard of interest to this study is Statement of Financial Accounting Standards (SFAS 133). SFAS 133 requires all derivatives, without exception and regardless of the accounting treatment for the underlying asset, liability, or transaction, to be recognized in the balance sheet as either liabilities or assets. SFAS 133 entitled Accounting for derivative activities and hedging (and SFAS 137, which postponed the implementation of SFAS 133 until June 2000) is different from prior standards in that it requires recognition as opposed to mere disclosure in the notes. The justification given for implementing SFAS 133 was to increase transparency to investors. In this study we empirically investigate this issue with particular focus on whether SFAS 133 provides incremental information above that provided by reported earnings, book value, and proxies for omitted variables. We study commercial banks since they are among the most frequent users of large-scale derivative contracts and their use has increased significantly over the last two decades, and in particular over the last five years. Our findings indicate that information regarding total derivative contracts, when disclosed in the financial statements as required by SFAS 133/137, is value relevant to investors. However, investors view this information negatively, perhaps attributing this to higher risk. Losses on holding derivatives are viewed positively and gains are viewed negatively.
机译:在过去的十年中,使用衍生工具作为管理财务风险的手段有了显着的增长。衍生产品的突然涌现导致财务会计准则委员会(FASB)被迫制定新的量化和披露准则。本研究感兴趣的财务标准是《财务会计标准声明》(SFAS 133)。 SFAS 133要求所有衍生工具,无一例外,无论基础资产,负债或交易的会计处理如何,均应在资产负债表中确认为负债或资产。 SFAS 133标题为“衍生活动和套期会计”(和SFAS 137,将SFAS 133的实施推迟到2000年6月)与先前的标准不同,因为它需要确认,而不是在注释中仅仅是披露。实施SFAS 133的理由是增加对投资者的透明度。在本研究中,我们以经验方式调查此问题,尤其关注SFAS 133是否提供的增量信息高于报告的收入,账面价值和遗漏变量的代理所提供的增量信息。我们研究商业银行,因为它们是大型衍生品合约的最常使用者,并且在过去的二十年中,尤其是在过去的五年中,商业银行的使用已大大增加。我们的发现表明,按照SFAS 133/137的要求在财务报表中披露的有关衍生工具总合同的信息与投资者有关。但是,投资者对这些信息的看法是负面的,也许将其归因于较高的风险。持有衍生工具的损失被正面看待,收益被负面地看待。

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