Guangyue Zhang , Alexander Sannella , Gerard Brennan , Muhammad Talha Afzal
{"title":"非流动加密货币的公允价值估算","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":"{\"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}","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}
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.
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.