SEC Market-Risk Disclosures: Enhancing Comparability

Financial Analysts Journal

Volumn 57, Issue 2, 2001, Pages 62-78

  Hodder, Leslie ^a   McAnally, Mary Lea ^a  

^a UNIVERSITY OF TEXAS AT AUSTIN   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0010019493     PISSN: 0015198X     EISSN: None     Source Type: Journal    
DOI: 10.2469/faj.v57.n2.2434     Document Type: Article

References (23)

1. Ahmed. A., A. Beatty, and B. Bettinghaus. 1999. "Evidence on the Efficacy of Market Risk Disclosures by Commercial Banks." Working paper, Pennsylvania State University.
2. AICPA Special Committee on Financial Reporting. 1994. "The Information Needs of Investors and Creditors." New York: AICPA. (See accounting.rutgers.edu/raw/aicpa/index1.htm.)
3. Beder, T.S. 1995. "VAR: Seductive but Dangerous." Financial Analysts Journal, vol. 51, no. 5 (September/October):12-24.
4. Blankley, A., R. Lamb, and R. Schroeder. 2000. "Compliance with SEC Disclosure Requirements about Market Risk." Journal of Derivatives, vol. 7, no. 3 (Spring):39-50.
5. Bodnar, G., R. Marston, and G. Hayt. 1998. "1998 Wharton Survey of Financial Risk Management by U.S. Nonfinancial Firms." Financial Management, vol. 27, no. 4 (Winter):70-91.
6. Cremonino, A., and M. Giorgino. 1999. "A VAR Model as Risk Management Tool and Risk Adjusted Performance Measures." Working paper, Politecnico di Milano.
7. Duffie, D., and J. Pan. 1997. "An Overview of Value at Risk." Journal of Derivatives, vol. 4, no. 3 (Spring):7-19.
8. Elmy, F., L. LeGuyader, and T. Linsmeier. 1998. "A Review of Initial Filings under the SEC's New Market Risk Disclosure Rules." Journal of Corporate Accounting and Finance, vol. 9, no. 4 (Summer):33-45.
9. Hendricks, D. 1996. "Evaluation of Value at Risk Models Using Historical Data." Economic Policy Review, vol. 2 (April):39-69.
10. Hodder, L., L. Koonce, and M.L. McAnally. 2000. "Behavioral Implications of SEC Market Risk Disclosures." Working paper, University of Texas at Austin.
11. Jackson, P., D. Maude, and W. Perraudin. 1998. Bank Capital and Value at Risk. London, U.K.: Bank of England.
12. Kupiec, P. 1995. "Techniques for Verifying the Accuracy of Risk Measurement Models." Journal of Derivatives, vol. 3, no. 2 (Winter):73-84.
13. Linsmeier, T., and N. Pearson. 1997. "Quantitative Disclosures of Market Risk in the SEC Release." Accounting Horizons, vol. 11, no. 1 (March):107-135.
14. _. 2000. "Value at Risk." Financial Analysts Journal, vol. 56, no. 2 (March/April):47-67.
15. Linsmeier, T., D. Thornton, M. Venkatachalam, and M. Welker. 2000. "Do SEC Disclosures Reduce Investors' Disagreements about Firms' Exposure to Market Risk?" Working paper, Queens University (October).
16. Lo, A. 1999. "The Three P's of Total Risk Management." Financial Analysts Journal, vol. 55, no. 1 (January/February):13-26.
17. Olsen, R. 1997. "Investment Risk: The Experts' Perspective." Financial Analysts Journal, vol. 53, no. 2 (March/April):62-66.
18. Putnam, B. 2000. "Managing Firm Risk." In Ethical Issues for Today's Firm. Charlottesville, VA: AIMR.
19. Rajgopal, S. 1999. "Early Evidence on the Informativeness of the SEC's Market Risk Disclosures: The Case of Commodity Price Risk Exposure of Oil and Gas Producers." Accounting Review, vol. 74, no. 3 (July):251-280.
20. Rajgopal, S., and M. Venkatachalam. 1999. "Are Earnings Sensitivity Measures Risk-Relevant? The Case of Oil Price Risk for the Petroleum Refining Industry." Working paper, University of Washington.
21. Roulstone, D. 1999. "Effect of the SEC Financial Reporting Release No. 48 on Derivative and Market Risk Disclosures." Accounting Horizons, vol. 13, no. 4 (December):343-363.
22. SEC. 1997. Disclosure of Accounting Policies for Derivative Financial Instruments, and Derivative Commodity Instruments (Release No. 33-7386) and Disclosure of Quantitative and Qualitative Information about Market Risk Inherent in Derivative Financial Instruments, Other Financial Instruments, and Derivative Commodity Instruments (Release No 34-38223). IC-22487, FRR 48, International Series No. 1047, File No. 27-35-95 (Washington, DC: SEC).
23. Thornton, D., and M. Welker. 1999. "Impact of Market Risk Disclosures on Stock Price Sensitivity to Oil and Gas Prices." Working paper. Queen's University.