公允价值英文文献

Relativevaluerelevanceofhistoricalcostvs.fairvalue:EvidencefrombankholdingcompaniesInderK.Khurana*,Myung-SunKim1SchoolofAccountancy,CollegeofBusiness,UniversityofMissouri––Columbia,317Middlebush,Columbia,MO65211,USAAbstractThisstudycomplementsthegrowingliteratureonthevaluerelevanceoffairvaluebyexaminingthevalidityofthehypothesisthatfairvalueismoreinformativethanhis-toricalcostasafinancialreportingstandardforfinancialinstruments.UsingthefairvaluedisclosuresmadeunderStatementofFinancialAccountingStandards(SFAS)No.107andSFASNo.115bybankholdingcompanies(BHCs)overthe1995–98period,wecomparetherelativeexplanatorypoweroffairvalueandhistoricalcostinexplainingequityvalues.Forourentiresample,weareunabletodetectadiscernibledifferenceintheinformativenessoffairvaluemeasurescollectivelyrelativetohistoricalcostmea-sures.However,forsmallBHCsandthosewithnoanalystsfollowing,wefindthathis-toricalcostmeasuresofloansanddepositsaremoreinformativethanfairvalues.Anecdotalevidenceindicatesthatloansanddepositsarenotactivelytradedandofteninvolvemoresubjectivitywithrespecttothemethodsandassumptionsusedinesti-matingtheirfairvalues.Incontrast,fairvalueofavailable-for-salesecurities,whicharemoreactivelytradedinwell-establishedmarkets,explainsequityvaluesmorethanhistoricalcost.Takentogether,ourresultsareconsistentwiththenotionthatfairvalueismore(less)valuerelevantwhenobjectivemarket-determinedfairvaluemeasuresare(not)available.Moreimportantly,ourresultssuggestthatsimplyrequiringfairvalueasthereportedmeasureforfinancialinstrumentsmaynotimprovethequalityof*Correspondingauthor.Tel.:[phone];fax:[phone].E-mailaddresses:[e-mail](I.K.Khurana),[e-mail](M.Kim).1Tel.:[phone]-4254/03/$-seefrontmatter
2003ElsevierScienceInc.Allrightsreserved.doi:10.1016/S0278-4254(02)00084-4JournalofAccountingandPublicPolicy22(2003)19–42financialinstrumentsthatarenottradedinactivemarketscanbeestablished.
2003ElsevierScienceInc.Allrightsreserved.1.IntroductionRecentlytheFinancialAccountingStandardsBoard(FASB)madeafun-damentaldecisionthatfairvalueisthemostrelevantattributeforfinancialinstruments(FASB,2000,p.8).Althoughthequotedmarketvalueistheprescribedmeasureoffairvalue,theFASBadoptedtheterm‘‘fairvalue’’insteadofmarketvaluetoencompassestimatedvaluesforfinancialinstru-mentsthatarenottradedinactivemarkets.Thedecisiontomandatefairvaluedisclosureswasmadeamidstalong-standingdebatebetweentheadvocatesoffairvalueaccountingandadvocatesofhistoricalcostaccounting.ThebasicpremiseunderlyingtheFASB
sdecisionisthatfairvalueoffinancialassetsandliabilitiesbetterenablesinvestors,creditorsandotherusersoffinancialstate-mentstoassesstheconsequencesofanentity
sinvestmentandfinancingstrategies.2Advocatesofhistoricalcost,ontheotherhand,pointtothere-ducedreliabilityoffairvalueestimatesrelativetohistoricalcost.Theirargu-mentssuggestthatinvestorswouldbereluctanttobasevaluationdecisionsonthemoresubjectivefairvalueestimates(Barth,1994,p.3).GiventheFASB
sstatedlong-termgoalofhavingallfinancialassetsandliabilitiesrecognizedinstatementsoffinancialpositionatfairvalueratherthanatamountsbasedonhistoricalcost,thepurposeofthisstudyistotestclaimsthatfairvalueismoreinformativerelativetohistoricalcost.Specifically,weexaminewhetherfairvalueoffinancialinstrumentsismoreinformativethanhistoricalcostinexplainingequitymarketvaluesofbankholdingcompanies(BHCs).ThegoalistodeterminewhetherfairvaluehasahigherassociationwithequitymarketvaluesofBHCsthanhistoricalcost.WefocusonBHCsforseveralreasons.First,financialstatementsofBHCsaredominatedbythefinancialinstrumentscoveredundertheFASB
spro-nouncementsonfairvaluedisclosures.ForoursampleofBHCs,assetsandliabilitiessubjectedtofairvaluedisclosuresconstitute,onaverage,87%and88%oftotalbookvalueofassets,respectively.Second,fairvaluedisclosuresaremorecomprehensiveandstandardizedforBHCsthanforfirmsinotherindustries.Finally,BHCsenableustoevaluatewhichfinancialinstruments,ifany,contributetothehigherassociationbetweenfairvalueandequityvalues.2TheFASB
sStatementofFinancialAccountingStandards(SFAS)No.133,AccountingforDerivativeInstrumentsandHedgingActivities,explicitlystatesthatfairvaluesforfinancialassetsandliabilitiesprovidemorerelevantandunderstandableinformationthancostbasedmeasures(FASB,1998,–222).20I.K.Khurana,M.Kim/JournalofAccountingandPublicPolicy22(2003)19–42WeusethefairvaluedisclosuresmadeunderSFASNo.107,DisclosuresaboutFairValueofFinancialInstruments,andSFASNo.115,AccountingforCertainInvestmentsinDebtandEquitySecurities,by302BHCsoverthe1995–98period.ForourentiresampleofBHCs,weareunabletodetectastatisticallysignificantdifferencebetweentheexplanatorypowerofhistoricalcostandfairvaluemeasuresoffinancialinstrumentscollectivelyinexplainingequityvalues.Wealsoprovideevidenceonwhethertheexplanatorypoweroffairvaluerelativetohistoricalcostdependsonadditionalfirmcharacteristics.FairvaluedisclosuresarelikelytobemoreinformativethanhistoricalcostforlargeBHCs,if