Risk-relevance of fair-value income measures for commercial banks

Accounting Review

Volumn 81, Issue 2, 2006, Pages 337-375

  Hodder, Leslie D ^a   Hopkins, Patrick E ^a   Wahlen, James M ^a  

^a INDIANA UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33645902912     PISSN: 00014826     EISSN: None     Source Type: Journal    
DOI: 10.2308/accr.2006.81.2.337     Document Type: Article

References (39)

1. Ahmed, A., and C. Takeda. 1995. Stock market valuation of gains and losses on commercial banks' investment securities: An empirical analysis. Journal of Accounting & Economics 20 (2): 207-236.
2. Baginski, S., and J. Wahlen. 2003. Residual income risk, intrinsic values and share prices. The Accounting Review 78 (January): 327-351.
3. Barth, M. 1994. Fair value accounting: Evidence from investment securities and the market valuation of banks. The Accounting Review 69 (January): 1-25.
4. _, W. Landsman, and J. Wahlen. 1995. Fair value accounting: Effects on banks' earnings volatility, regulatory capital, and value of contractual cash flows. Journal of Banking and Finance 19: 577-605.
5. _, W. Beaver, and W. Landsman. 1996. Value-relevance of banks' fair value disclosures under SFAS No. 107. The Accounting Review (October): 513-537.
6. _, _, and _. 2001. The relevance of the value relevance literature for financial accounting standard setting: Another view. Journal of Accounting and Economics (31): 77-104.
7. Beaver, W., P. Kettler, and M. Scholes. 1970. The association between market-determined and accounting-determined measures of risk. The Accounting Review (October): 654-682.
8. Botosan, C., and M. Plumlee. 2002. A re-examination of disclosure level and the expected cost of equity capital. Journal of Accounting Research 40 (March): 21-40.
9. _, and _. 2005. Assessing alternative proxies for the expected risk premium. The Accounting Review (January): 21-53.
10. Cahan, S. F., S. M. Courtenay, P. L. Gronewoller, and D. Upton. 2000. Value-relevance of mandated comprehensive income disclosures. Journal of Business, Finance and Accounting 27 (November/December): 1273-1301.
11. Claus, J., and J. Thomas. 2001. Equity premia as low as three percent? Evidence from analysts' earnings forecasts for domestic and international stock markets. Journal of Finance 56 (October): 1629-1666.
12. Dean, T. J. 2000. Banks need to write on fair value. ABA Bankers News (April 18): 3.
13. Dhaliwal, D., K. R. Subramanyam, and R. Trezevant. 1998. Is comprehensive income superior to net income as a measure of firm performance? Journal of Accounting and Economics 26 (January): 43-67.
14. Easton, P., G. Taylor, P. Shroff, and T. Sougiannis. 2002. Using forecasts of earnings to simultaneously estimate growth and the rate of return on equity investment. Journal of Accounting Research 40 (3): 657-677.
15. Eccher, A., K. Ramesh, and R. Thiagarajan. 1996. Fair value disclosures by bank holding companies. Journal of Accounting & Economics 22: 79-117.
16. Elgers, P. 1980. Accounting-based risk predictions: A re-examination. The Accounting Review 55 (3): 389-408.
17. Fama, E., and K. French. 1992. The cross-section of expected stock returns. Journal of Finance 47: 427-465.
18. Feltham, G. A., and J. Ohlson. 1999. Residual earnings valuation with risk and stochastic interest rates. The Accounting Review 74 (2): 165-183.
19. Financial Accounting Standards Board (FASB). 1991. Disclosures about Fair Value of Financial Instruments. Statement of Financial Accounting Standards No. 107. Norwalk, CT: FASB.
20. _. 1993. Accounting for Certain Investments in Debt and Equity Securities. Statement of Financial Accounting Standards No. 115. Norwalk, CT: FASB.
21. _. 1997. Reporting Comprehensive Income. Statement of Financial Accounting Standards No. 130. Norwalk, CT: FASB.
22. _. 1998. Accounting for Derivative Instruments and Hedging Activities. Statement of Financial Accounting Standards No. 133. Norwalk, CT: FASB.
23. Flannery, M. and C. James. 1984. The effect of interest rate changes on the common stock returns of financial institutions. Journal of Finance (39): 1141-1153.
24. Gebhardt. W., C. M. C. Lee, and B. Swaminathan. 2001. Toward an implied cost of capital. Journal of Accounting Research 39 (June): 135-176.
25. Gode, D., and J. Ohlson. 2004. Accounting-based valuation with changing interest rates. Review of Accounting Studies 9 (4): 419-449.
26. Hirst, E., P. Hopkins, and A. Yen. 2002. A content analysis of the comprehensive income exposure draft comment letters. Working paper, The University of Texas at Austin.
27. _, _, and J. Wahlen. 2004. Fair values, income measurement, and bank analysts' risk and valuation judgments. The Accounting Review 79 (2): 453-472.
28. Hodder, L. 2005. Relevance of market risk disclosures by commercial banks. Working paper, Indiana University.
29. Holthausen, R., and R. Watts. 2001. The relevance of the value relevance literature for financial accounting standard setting. Journal of Accounting and Economics (31): 3-75.
30. Joint Working Group of Banking Associations on Financial Instruments. 1999. Accounting for Financial Instruments for Banks. New York, NY: Self published.
31. Joint Working Group of Standard Setters. 2000. Recommendations on Accounting for Financial Instruments and Similar Items. Norwalk, CT: FASB.
32. Nelson, K. 1996. Fair value accounting for commercial banks: An empirical analysis of SFAS No. 107. The Accounting Review 11 (April): 161-182.
33. Ohlson, J. A. 1995. Earnings, book values and dividends in equity valuation. Contemporary Accounting Research (Spring): 661-687.
34. _, and B. E. Nauroth-Juettner. 2005. Expected EPS and EPS growth as determinants of value. Review of Accounting Studies 10 (June-September): 349-366.
35. Petroni, K., and J. Wahlen. 1995. Fair values of equity and debt securities and share prices of property-liability insurers. Journal of Risk and Insurance 62 (December): 719-738.
36. Riffe, S., 1996. The valuation of off-balance-sheet financial instrument disclosures in the banking industry. In Derivatives, Regulation and Banking: Advances in Finance, Investment and Banking Series. Amsterdam, The Netherlands: North-Holland.
37. Ryan, S. 1997. A survey of research relating accounting numbers to systematic equity risk, with implications for risk disclosure policy and future research. Accounting Horizons (June): 82-95.
38. Schrand, C. 1997. The association between stock-price interest rate sensitivity and disclosures about derivative instruments. The Accounting Review (72): 87-109.
39. Venkatachalam, M. 1996. Value-relevance of banks' derivative disclosures. Journal of Accounting and Economics (27): 327-355.