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

本文从公允价值披露和盈余管理的角度考察了1990-1995年间银行盈利信息与股价的关系。日本银行业从1990年开始对投资证券进行公允价值披露。这样，投资者就可以通过披露信息来调整他们对银行盈利和价值的预期。本研究检验调整后的盈余是否具有日本资本市场的信息含量。日本银行的指导方针是在1992年之前将最高派息率保持在40%，最近还面临着注销因地价大幅下降而造成的巨额坏账损失。在1990至1995年间，他们的收入数字被认为是经过管理的。本文对日本资本市场上调整后的盈余是否具有信息含量进行了检验，并对管理盈余是否被市场上的投资者识破进行了分析。本研究对Jones(1991)、Barth(1994)、Beaver=Engel(1996)、Sloan(1996)等人进行了评价，然后扩展了他们的模型，并用面板数据分析方法对新模型进行了检验。

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.