Fair Value Disclosure ; Evidence from Investment Securities and the Market Valuation of Japanese Banks

本研究从公允价值披露和盈余管理的角度考察了1990 ~ 1995年日本银行业的盈余信息与股票价格之间的关系。这样，投资者就可以通过银行披露的信息来调整他们对银行收益和价值的预期。本研究在日本资本市场上检验调整后盈余是否具有信息含量。日本银行业在1992年之前一直将最高股息支付率保持在40%，最近又面临着注销因地价大幅下跌而造成的巨额坏账损失。在1990至1995年期间，他们的收入数字被假定为得到管理。本研究在日本资本市场上检验调整后盈余是否具有信息含量，并分析市场上投资者是否看穿了管理盈余，本研究评价了Jones（1991）、Barth（1994）、Beaver=Engel（1996）、Sloan（1996）等人的研究成果，然后对已有的模型进行了扩展，并采用面板数据分析方法对新模型进行了检验，结果表明，投资证券公允价值信息具有较强的正向信息含量，投资者对盈余管理行为有一定程度的识破。

This study examines the relationships between banks'earnings information and their stock prices during 1990 to 1995 from the points of fair value disclosure and earnings management.Japanese banks have started the fair value disclosure of investment securities from 1990. Then, investors have been able to adjust their expectation of banks'earnings and value by the disclosure information. This study tests whether the adjusted earnings have the information content in the Japan Capital Market. Japanese banks had a guideline to keep maximum dividend pay-out ratio by forty percent until 1992, and recently faced to write off huge losses of bad debts caused from the big decrease of land price. During 1990 to 1995 their earnings figures are assumed to be managed. This study tests whether the adjusted earnings have the information content in the Japan Capital Market, and analyzes whether the managed earnings were seen through by investors in the market.This research evaluates Jones (1991), Barth (1994), Beaver=Engel (1996), Sloan (1996) and others, then extends their models and tests new models by panel data analysis method.We find that fair value information of investment securities has strong positive information content and that earnings management is partially seen through by investors.