مشتقات کیفیت خدمات در صنعت بانکداری: مدارک و شواهد از سردرگمی سرمایه گذار

Hedging derivatives are complex instruments that require particular scrutiny by bank regulators to ensure that a bank’s risk profile is consistent with sound banking practices. The Basel II agreement envisions a system of banking oversight that includes market discipline as a key element of the regulatory framework. A necessary condition in achieving market discipline is that market participants must be able to decipher the underlying conditions from reported results. We examine the relationship between investor confusion and the income effects arising from fair value recognition of hedging derivatives in the banking industry. We use abnormal trading volume as a proxy for investor confusion, and we find a positive and significant relationship between fair value accounting incomes and two alternative measures of abnormal trading volume. The findings suggest that accounting requirements alone may be insufficient to communicate the complexities of hedging derivatives to investors in a way that achieves the market discipline prescribed by Basel II. Bank regulators may need to augment extant efforts for transparency to ensure that risks are adequately communicated to the market.

We examine the relationship between abnormal trading volume and the income effects arising from fair value recognition of hedging derivatives in the banking industry. Using abnormal trading volume as a proxy for investor beliefs, we analyze earnings announcements by banks that adopted ASC 815, which addresses the fair value treatment of hedging derivative activity under US GAAP.2 We study hedging derivatives specifically because ASC 815 (originally SFAS No. 133) was intended to increase the transparency of financial statements. Under ASC 815 all hedging derivatives must be recognized at fair value, with the corresponding fluctuations in fair value reported in either net income or other comprehensive income. Our results show that the income effects3 of ASC 815 are significantly and positively related to abnormal trading volume surrounding earnings announcements. We interpret this finding to mean that the income effects of ASC 815 are associated with investor confusion,4 which indicates that the current measures may lead to confusion about bank risk, asset values, and stability. We evaluate the relationship between investor beliefs and the income effects resulting from fair value accounting of hedging derivatives through an analysis of abnormal trading volume. Price response reflects the aggregate market valuation; trading volume indicates the degree of belief dispersion among individuals (Garfinkel, 2009). Ahmed, Kilic, and Lobo (2006) demonstrate the value-relevance of fair value accounting for hedging derivatives in banks through an examination of equity price reactions. Prior studies suggest that trading volume offers insight into the effect of information on market participants not available through an examination of consensus valuation (i.e., price) alone (Bamber and Cheon, 1995, Holthausen and Verrecchia, 1990, Morse, 1980 and Ziebart, 1990). The paper proceeds as follows. First we expand the context and motivation for our study. Second, we describe our data sources and sample selection. We discuss our results in the final section.