贷款公允价值与存款人决策的相关性

IF 4.9 2区管理学 Q1 BUSINESS, FINANCE

Journal of Accounting Research Pub Date : 2024-07-11 DOI:10.1111/1475-679x.12564

QI CHEN, RAHUL VASHISHTHA, SHUYAN WANG

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引用次数: 0

摘要

利用 1994 年至 2019 年的大量美国商业银行样本，我们发现贷款公允价值与储户决策高度相关。贷款公允价值每下降一个标准差，未投保存款流量就会比样本平均值低 10%以上。公允价值中有关贷款信用质量的信息非常有限，无法解释大部分相关性。相反，与银行脆弱性模型相一致的是，相关性似乎更多地是源于贷款清算价值下降的信息，这些信息引发了由其他存款人（自我实现的）取款预期引起的恐慌性取款。这些发现为报告贷款公允价值的成本效益权衡提供了参考。

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The Decision Relevance of Loan Fair Values for Depositors

Using a large sample of U.S. commercial banks from 1994 to 2019, we find that loan fair values are highly relevant for depositor decision making. A one‐standard‐deviation decrease in loan fair value performance is associated with more than 10% lower uninsured deposit flows than the sample average. Information in fair values about loan credit quality is quite limited and cannot account for the bulk of the relevance. Instead, consistent with models of bank fragility, the relevance seems to stem more from information on the decline in loan liquidation values, triggering panic‐based withdrawals motivated by (self‐fulfilling) expectations of withdrawals by other depositors. The findings inform the cost‐benefit tradeoff of reporting loan fair values.

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来源期刊

Journal of Accounting Research BUSINESS, FINANCE-

CiteScore

7.80

自引率

6.80%

发文量

期刊介绍： The Journal of Accounting Research is a general-interest accounting journal. It publishes original research in all areas of accounting and related fields that utilizes tools from basic disciplines such as economics, statistics, psychology, and sociology. This research typically uses analytical, empirical archival, experimental, and field study methods and addresses economic questions, external and internal, in accounting, auditing, disclosure, financial reporting, taxation, and information as well as related fields such as corporate finance, investments, capital markets, law, contracting, and information economics.