AccountingReview, NOV 2018

公允价值计量对银行资产信息不对称的影响及自身信用风险收益和损失的调节作用

作者：Fontes, JC (UCPCatolica Lisbon Sch Business & Econ); 

Panaretou,A (Univ Lancaster); Peasnell, KV (Univ Lancaster)

摘要：本文研究了在银行资产中使用公允价值计量（FVM）是否能够减少股权投资者之间的信息不对称（买卖差价），以及这是如何受到自身信贷风险损益（OCR）确认的影响。研究结果表明，资产的FVM与明显较低的信息不对称性有关，而且当银行也认识到OCR时，这种减少的幅度是其两倍多。此外，研究发现对于提供更详细的OCR叙述性披露的银行，买卖价差逐渐降低。调查结果还表明，资产FVM和OCR识别对买卖差价的影响反映了银行特征和信息环境质量的差异。

关键词：混合属性模型；自身信贷风险；公允价值选择；金融工具；银行

The Impact of FairValue Measurement for Bank Assets on Information Asymmetry and the ModeratingEffect of Own Credit Risk Gains and Losses 

Fontes,JC (UCP Catolica Lisbon Sch Business & Econ); Panaretou, A (UnivLancaster); Peasnell, KV (Univ Lancaster)

ABSTRACT

We examine whether theuse of fair value measurement (FVM) for bank assets reduces informationasymmetry among equity investors (bid-ask spread) and how this is affected bythe recognition of own credit risk gains and losses (OCR). Our findings showthat FVM of assets is associated with noticeably lower information asymmetry, andthat this reduction is more than twice as large when banks also recognize OCR.In addition, we find that the bid-ask spread is incrementally lower for banksthat provide more detailed narrative disclosures on OCR. The findings alsoindicate that the effects of asset FVM and OCR recognition on the bid-askspread do not simply capture the differences in the characteristics of thebanks and the quality of their information environments.

Keywords:Mixed-attribute model; Own credit risk; Fair value option; Financialinstruments; Banks 

原文链接：

http://aaajournals.org/doi/abs/10.2308/accr-52070

翻译：谭丰林