دانلود مقاله ISI انگلیسی شماره 104021
ترجمه فارسی عنوان مقاله

مشتقات نرخ بهره در بانک ها استفاده می شود: معیارهای قیمت گذاری بازار جریان های نقدی

عنوان انگلیسی
Interest rate derivatives use in banking: Market pricing implications of cash flow hedges
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
104021 2018 44 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Banking & Finance, Volume 86, January 2018, Pages 113-126

پیش نمایش مقاله
پیش نمایش مقاله  مشتقات نرخ بهره در بانک ها استفاده می شود: معیارهای قیمت گذاری بازار جریان های نقدی

چکیده انگلیسی

We examine whether investors are able to fully anticipate the pricing implications of cash flow hedges in the banking industry. We show that mark-to-market adjustments on cash flow hedges are inversely related to future cash flows and that investors underestimate the extent of this inverse relation. Our evidence supports the notion that incomplete information on value relevant parameters makes it difficult for investors to accurately predict the effects of current cash flow hedge adjustments on future cash flows. Our results are also consistent with the evidence that investors have limited attention such that information, particularly information that is difficult to discern, is not fully reflected in stock prices. Thus, the additional disclosures mandated by regulatory agencies in the banking industry are not sufficient to overcome the challenges associated with incomplete information and investors’ limited attention.