The Value-Relevance of Derivative Disclosures by Commercial Banks: A Comprehensive Study of Information Content Under SFAS Nos. 119 and 133

• Published in: Review of quantitative finance and accounting Vol. 25; no. 4; pp. 413 - 427
• Main Authors: Wang, Li, Alam, Pervaiz, Makar, Stephen
• Format: Journal Article
• Language: English
• Published: New York Springer Nature B.V 01-12-2005
• Subjects: Accounting; Accounting standards; Banking industry; Banks; Book value; Commercial banks; Comptrollers; Data analysis; Derivatives; Disclosure; Earnings; Fair value; FASB statements; Finance; Financial accounting standards; Financial instruments; Information content; Information exchange; Investigations; Reporting requirements; SFAS 119; SFAS 133; Studies; Time series; Trust companies; Valuation; United States > US
• ISSN: 0924-865X; 1573-7179
• DOI: 10.1007/s11156-005-5462-y

This study examines the value-relevance of banks' derivative disclosures under Statements of Financial Accounting Standards (SFAS) Nos. 119 and 133. Using the complete time-series of SFAS No. 119 disaggregated notional value disclosures and the most recently available SFAS No. 133 fair value data, this study investigates whether such expanded disclosures provide incremental information content beyond earnings and book value. Our results indicate that banks' notional principal amount disclosures are value-relevant, and that this evidence of incremental information content is robust to the inclusion of recently available fair value data and alternative model specifications. [PUBLICATION ABSTRACT]