Income statement effects of derivative fair value accounting: evidence from bank holding companies

Fair-value Income Measures;Statement of Financial Accounting Standards No. 133 (SFAS 133);Derivatives

Zhou, Hui

关键词: Fair-value Income Measures;    Statement of Financial Accounting Standards No. 133 (SFAS 133);    Derivatives;   

Others  :  https://www.ideals.illinois.edu/bitstream/handle/2142/26094/Zhou_Hui.pdf?sequence=1&isAllowed=y

美国|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

SFAS 133 requires most types of hedge ineffectiveness to be measured on a fair value basis and reported in earnings. This earnings recognition requirement was the focal point of controversy surrounding the adoption of SFAS 133. The debate also reflects the more general controversy over whether to recognize fair-value-based gains or losses into earnings. Using a sample of bank holding companies, I find evidence that the recognition of the fair-value-based hedging performance measure under SFAS 133 improves the value and risk relevance of accounting earnings. The findings of this study are relevant to the evaluation of SFAS 133 as well as the ongoing debate on the income statement treatment of net asset changes due to the application of fair value accounting.