Fair value estimates for illiquid cryptocurrency

IF 4.1 3区管理学 Q2 BUSINESS

International Journal of Accounting Information Systems Pub Date : 2024-07-13 DOI:10.1016/j.accinf.2024.100700

Guangyue Zhang , Alexander Sannella , Gerard Brennan , Muhammad Talha Afzal

{"title":"Fair value estimates for illiquid cryptocurrency","authors":"Guangyue Zhang , Alexander Sannella , Gerard Brennan , Muhammad Talha Afzal","doi":"10.1016/j.accinf.2024.100700","DOIUrl":null,"url":null,"abstract":"<div><p>To address the need for reporting and disclosure of cryptocurrency holdings in compliance with the FASB guidance for the use of fair value measurements for cryptocurrency (FASB, 2023), this paper develops a modeling process for reporting entities to measure the market value of cryptocurrencies with limited or no observable transactions. In this valuation model, we consider the last observable market information with time decay, its comparable assets market index, and dynamic real-time market participants’ sentiment and attention. Notably, the application of exogenous variables allows us to maximize the observable inputs in measuring fair value, such as asset classification based on economic traits and market participants’ attention and sentiment measurement with online media textual analytics. We propose a valuation framework and construct a prediction model that can achieve a prediction accuracy of 87 % on target asset resurging prices.</p></div>","PeriodicalId":47170,"journal":{"name":"International Journal of Accounting Information Systems","volume":"54 ","pages":"Article 100700"},"PeriodicalIF":4.1000,"publicationDate":"2024-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1467089524000332/pdfft?md5=fa4603da4cce065df67b40e125f5646e&pid=1-s2.0-S1467089524000332-main.pdf","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Accounting Information Systems","FirstCategoryId":"91","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1467089524000332","RegionNum":3,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS","Score":null,"Total":0}

引用次数: 0

Abstract

To address the need for reporting and disclosure of cryptocurrency holdings in compliance with the FASB guidance for the use of fair value measurements for cryptocurrency (FASB, 2023), this paper develops a modeling process for reporting entities to measure the market value of cryptocurrencies with limited or no observable transactions. In this valuation model, we consider the last observable market information with time decay, its comparable assets market index, and dynamic real-time market participants’ sentiment and attention. Notably, the application of exogenous variables allows us to maximize the observable inputs in measuring fair value, such as asset classification based on economic traits and market participants’ attention and sentiment measurement with online media textual analytics. We propose a valuation framework and construct a prediction model that can achieve a prediction accuracy of 87 % on target asset resurging prices.

查看原文本刊更多论文

非流动加密货币的公允价值估算

为满足报告和披露加密货币持有情况的需要，以符合美国财务会计准则委员会（FASB）关于加密货币使用公允价值计量的指导意见（FASB，2023 年），本文为报告实体开发了一个建模流程，以计量可观察交易有限或没有的加密货币的市场价值。在该估值模型中，我们考虑了具有时间衰减的最后可观测市场信息、其可比资产市场指数以及动态实时市场参与者的情绪和注意力。值得注意的是，外生变量的应用使我们在衡量公允价值时能够最大限度地利用可观察输入，如基于经济特征的资产分类和利用在线媒体文本分析的市场参与者关注度和情绪衡量。我们提出了一个估值框架，并构建了一个预测模型，该模型对目标资产复牌价格的预测准确率可达 87%。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

International Journal of Accounting Information Systems Multiple-

CiteScore

9.00

自引率

6.50%

发文量

期刊介绍： The International Journal of Accounting Information Systems will publish thoughtful, well developed articles that examine the rapidly evolving relationship between accounting and information technology. Articles may range from empirical to analytical, from practice-based to the development of new techniques, but must be related to problems facing the integration of accounting and information technology. The journal will address (but will not limit itself to) the following specific issues: control and auditability of information systems; management of information technology; artificial intelligence research in accounting; development issues in accounting and information systems; human factors issues related to information technology; development of theories related to information technology; methodological issues in information technology research; information systems validation; human–computer interaction research in accounting information systems. The journal welcomes and encourages articles from both practitioners and academicians.