Value-Relevance of Banks' Fair Value Disclosures Under SFAS No. 107

Download or read book Value-Relevance of Banks' Fair Value Disclosures Under SFAS No. 107 written by Mary E. Barth and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the relation between fair value disclosures under Statement of Financial Accounting Standards No. 107 (SFAS 107) and bank share prices. Our goal is to determine whether fair value disclosures explain cross-sectional variation in bank common share prices beyond that provided by the reported book value of common equity and other potentially informative disclosures in a way consistent with our predictions. As predicted, we find that fair values of securities and loans possess significant incremental explanatory power and are reflected positively in bank share prices. However, contrary to our predictions, the fair values of deposits, long-term debt, and off-balance sheet items provide no incremental explanatory power. One specification that includes a proxy for quot;core depositquot; intangibles -- a variables not covered by SFAS 107 -- indicates that core deposits are reflected positively in bank share prices.