Information content and the contractual nature of hedging derivative incomes☆ |
Abstract:
In a sample of 87 banks representing 631 bank-years for the period 1996–2003, we examine whether information content of hedging derivative incomes is predicated on the contractual nature of the derivative. Of particular interest are the different abnormal trading volume reactions to incomes arising from executory contracts (i.e., cash flow and net investmen hedges) and incomes arising from nonexecutory contracts i.e., fair value hedges). We find a positive and significant relationship between two alternative measures of abnormal trading volume and incomes arising from cash flow and net investment hedges. The results are robust in an equity valuation framework. Our findings suggest that derivative incomes are informative, notably those incomes that are related to executory contracts. An implication for standard setters is thatthe complex rules for disaggregating incomes on hedging derivatives provide valuable information to the market. |
| Keywords: |
Information content , contractual ,nature hedging, derivative, incomes |
| Author(s): |
Jack W. Dorminey , Barbara Apostolou |
| Source: |
Advances in Accounting, incorporating Advances in International Accounting 28 (2012) 218–225 |
| Subject: |
حسابداری و حسابرسی |
| Category: |
مقاله مجله |
| Release Date: |
2012 |
| No of Pages: |
8 |
| Price(Tomans): |
0 |
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