Value-relevance of banks' fair value disclosures under SFAS No. 107
Article Abstract:
A study was conducted to examine the value-relevance of the fair value disclosures of banks under Statement of Financial Accounting Standard (SFAS) No. 107. It investigates whether differences between the market and book values of common equity can be predictably explained as a function of differences between fair value estimates disclosed under SFAS No. 107 and their related book values. This study shows that fair value estimates of loans, securities and long-term debt disclosed under SFAS No. 107 has more significant explanatory power for bank share prices than other book values. Unlike Eccher et. al. (1996) and Nelson (1996), the estimates result in consistent incremental explanatory power for loans' fair values. Stronger findings are found when a set of significant condition variables are used, such as nonperforming loans and interest-sensitive assets and liabilities.
Publication Name: Accounting Review
Subject: Business, general
ISSN: 0001-4826
Year: 1996
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Supplemental data and the structure of thrift share price
Article Abstract:
Research was conducted into the effect of supplemental disclosures related to default and interest rate risk on the structure of thrift share prices. The market values of 165 publicly traded thrifts were analyzed for various factors, including supplemental disclosures, to test the validity of the study of Beaver, Eger, Ryan, and Wolfson (1989) on bank share prices when applied to thrifts. Research results differ from the findings of Beaver et al. in that the supplemental disclosure on interest rate risk is insignificant for thrifts, and that the default risk variable coefficient is smaller for thrifts. Results indicate that thrifts not disclosing the default risk variable are valued at a discount, the explanatory power of the default risk variable is robust, and findings related to scheduled items are robust.
Publication Name: Accounting Review
Subject: Business, general
ISSN: 0001-4826
Year: 1991
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Option pricing-based bond value estimates and a fundamental components approach to account for corporate debt
Article Abstract:
A study was conducted to examine the relevance and reliability of option pricing-based value estimates for bonds and their components, such as call, conversion, put and sinking fund features. Component values were estimated by using all possible estimation orders. Differences in bond component value estimates across estimation orders affected the relevance and reliability of financial statements that were based on a fundamental components approach for debt in financial statements. The components approach also denoted a material allocation of bond par value, affected each other's value estimates, and was sensitive to estimation order. Results showed that estimate variation across component estimation orders and comparisons of estimates were unreliable.
Publication Name: Accounting Review
Subject: Business, general
ISSN: 0001-4826
Year: 1998
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