Differential Pricing of Discretionary, Nondiscretionary and Noise Components of Loan Fair Values
Differential Pricing of Discretionary, Nondiscretionary and Noise Components of Loan Fair Values
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贷款公允价值的全权、非全权和噪音成分的差别定价
DOI：
10.2139/ssrn.146439
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发表时间：
1999
期刊：
影响因子：
--
通讯作者：
M. Venkatachalam
中科院分区：
文献类型：
--
作者：
W. Beaver;M. Venkatachalam
本研究以银行为样本，探讨贷款公允价值的三个组成部分对资本市场定价的影响。我们发现，非可自由支配成分是在美元对美元的基础上定价的，可自由支配成分被分配了一个显着更大的倍数，而噪声成分没有定价。这意味着贷款公允价值的相关性和可靠性在三个组成部分之间有所不同。我们为分配给任意分量的较大倍数提供信号解释。然而，不能排除估计的自由裁量成分代表其他具有积极定价含义的价值相关结构的可能性。
Using a sample of banks, this study examines the capital market pricing implications of three components of loan fair values. We find that the nondiscretionary component is priced on a dollar-for-dollar basis, the discretionary component is assigned a significantly larger multiple and the noise component is not priced. This implies that the relevance and reliability of loan fair values differs across the three components. We offer a signaling interpretation for the larger multiple assigned to the discretionary component. However, one cannot rule out the possibility that the estimated discretionary component proxying for other value-relevant constructs that have a positive pricing implication.