Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis

Our paper presents early evidence on how investors rely on the fair value estimates of assets reported by banks as required by Statement of Financial Accounting Standards No. 157 (SFAS 157) in 2008. We observe significant variation in the pricing of different levels of fair value assets, with the pr...

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Main Authors: GOH, Beng Wee, NG, Jeffrey, OW YONG, Keng Kevin
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Language:English
Published: Institutional Knowledge at Singapore Management University 2009
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Online Access:https://ink.library.smu.edu.sg/soa_research/249
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spelling sg-smu-ink.soa_research-12482010-09-22T09:12:05Z Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis GOH, Beng Wee NG, Jeffrey OW YONG, Keng Kevin Our paper presents early evidence on how investors rely on the fair value estimates of assets reported by banks as required by Statement of Financial Accounting Standards No. 157 (SFAS 157) in 2008. We observe significant variation in the pricing of different levels of fair value assets, with the pricing being less for mark-to-model assets (i.e., assets with lower liquidity and greater information risk) than for mark-to-market assets. We also find that the pricing of mark-to-model assets declined over the course of 2008, consistent with increasing market concerns about illiquidity and information risk associated with these assets. In the cross-section, we find evidence that mark-to-model assets are priced higher by investors for banks with greater capital adequacy. We also find that the pricing of fair value assets, especially the mark-to-model assets, is higher when banks are audited by better auditors. Overall, our paper uses both time-series and cross-sectional analyses to provide insights on investors' valuation of the fair value estimates of assets as reported by banks during the economic crisis. 2009-04-01T07:00:00Z text https://ink.library.smu.edu.sg/soa_research/249 Research Collection School Of Accountancy eng Institutional Knowledge at Singapore Management University SFAS 157 valuation fair value mark-to-market liquidity audit quality Accounting Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic SFAS 157
valuation
fair value
mark-to-market
liquidity
audit quality
Accounting
Portfolio and Security Analysis
spellingShingle SFAS 157
valuation
fair value
mark-to-market
liquidity
audit quality
Accounting
Portfolio and Security Analysis
GOH, Beng Wee
NG, Jeffrey
OW YONG, Keng Kevin
Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis
description Our paper presents early evidence on how investors rely on the fair value estimates of assets reported by banks as required by Statement of Financial Accounting Standards No. 157 (SFAS 157) in 2008. We observe significant variation in the pricing of different levels of fair value assets, with the pricing being less for mark-to-model assets (i.e., assets with lower liquidity and greater information risk) than for mark-to-market assets. We also find that the pricing of mark-to-model assets declined over the course of 2008, consistent with increasing market concerns about illiquidity and information risk associated with these assets. In the cross-section, we find evidence that mark-to-model assets are priced higher by investors for banks with greater capital adequacy. We also find that the pricing of fair value assets, especially the mark-to-model assets, is higher when banks are audited by better auditors. Overall, our paper uses both time-series and cross-sectional analyses to provide insights on investors' valuation of the fair value estimates of assets as reported by banks during the economic crisis.
format text
author GOH, Beng Wee
NG, Jeffrey
OW YONG, Keng Kevin
author_facet GOH, Beng Wee
NG, Jeffrey
OW YONG, Keng Kevin
author_sort GOH, Beng Wee
title Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis
title_short Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis
title_full Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis
title_fullStr Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis
title_full_unstemmed Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis
title_sort market pricing of banks’ fair value assets reported under sfas 157 during the 2008 economic crisis
publisher Institutional Knowledge at Singapore Management University
publishDate 2009
url https://ink.library.smu.edu.sg/soa_research/249
_version_ 1770568713159835648