Evidence on the efficacy of interest-rate risk disclosures by commercial banks

International Journal of Accounting

Volumn 39, Issue 3, 2004, Pages 223-251

  Ahmed, Anwer S ^a   Beatty, Anne ^b   Bettinghaus, Bruce ^c  

^a SYRACUSE UNIVERSITY   (United States)

^b PENNSYLVANIA STATE UNIVERSITY   (United States)

^c MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

Fixed rate instruments; Interest rate gap; Maturity gap disclosures; Net interest income; Rate sensitive assets

Indexed keywords

EID: 4344621465     PISSN: 00207063     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intacc.2004.06.002     Document Type: Article

References (19)

1. Ahmed, A.S., Beatty, A., & Bettinghaus, B. (1999). Interest rate risk management of bank holding companies: An examination of trade-offs in the use of investment securities and interest rate swaps. Working paper, Pennsylvania State University
2. Ahmed, A. S., Beatty, A., & Takeda, C. (1997). Evidence on interest rate risk management and derivative usage by commercial banks. Working paper. Pennsylvania State University
3. Barton J. Does the use of financial derivatives affect earnings management decisions? The Accounting Review 76 1 2001, January 1-26
4. Culp C. Miller M. The SEC's costly disclosure rules Wall Street Journal 1996, June 25 A14
5. Flannery M. James C. The effect of interest rate changes on the common stock returns of financial institutions The Journal of Finance 39 4 1984 1141-1153
6. Gorton G. Rosen R. Banks and derivatives NBER Macroeconomics Annual 1995 299-339
7. Hirtle B. Derivatives, portfolio composition, and bank holding company interest rate risk exposure Journal of Financial Services Research 1997, December 243-266
8. Hodder, L. (2001). Reliability and relevance of SEC market risk disclosures by commercial banks. Working paper, The University of Texas
9. Hodder L. Koonce L. McAnally M.L. SEC market risk disclosures: Implications for judgment and decision making Accounting Horizons 15 1 2001 49-70
10. Lehn K. Testimony concerning disclosure of accounting policies for derivatives and disclosures of quantitative and qualitative information about market risk inherent in market risk sensitive instruments before the Sub-committee on Securities Committee on Banking, Housing, and Urban affairs 105th Congress. 1st session, March 4, 1997 1997
11. Linsmeier T.J. Pearson N. Quantitative disclosures of market risk in the SEC release Accounting Horizons 1997, March 107-135
12. Logan T. Montgomery P. Testimony on behalf of the Treasury Management Association concerning disclosure of accounting policies for derivatives and disclosures of quantitative and qualitative information about market risk inherent in market risk sensitive instruments before the Sub-committee on Securities Committee on Banking, Housing, and Urban affairs 105th Congress. 1st session, March 4, 1997 1997
13. McGuire W.J. The 1997 interest rate risk management survey 1998 Financial Managers Society http://www.Fmsinc.org
14. Rajgopal S. The association of accounting disclosures with the net commodity price risk exposure of oil and gas producers The Accounting Review 74 3 1999 251-280
15. Schrand C. The association between stock price interest rate sensitivity and disclosures about derivative instruments The Accounting Review 72 1 1997 87-109
16. Securities and Exchange Commission (SEC). (1997). Disclosure of accounting policies for derivative financial instruments and derivative commodity instruments and disclosure of qualitative and quantitative information about market risk inherent in derivative financial instruments, other financial instruments, and derivative commodity instruments. Release Nos. 33-7386; 3438223; IC-22487; FR-48; International Series No. 1047; File No. S7-35-95 (January 31, 1997), Washington, DC
17. Skinner D. Sloan R. Earnings surprises, growth expectations, and stock returns or don't let an earnings torpedo sink your portfolio Review of Accounting Studies 7 2/3 2002, June/September 289-312
18. Thornton, D., & Welker, M. (1999). The impact of market risk disclosures on stock price sensitivity to oil and gas prices. Working paper, Queens University, Ontario, Canada
19. Toevs A. Gap management: Managing interest rate risk in banks and thrifts Economic Review 1983, Spring 20-35 Federal Reserve Bank of San Francisco