Value-relevance of banks' derivatives disclosures

Journal Article (Journal Article)

This paper investigates the value-relevance of banks' derivatives disclosures provided under SFAS 119. The findings suggest that the fair value estimates for derivatives help explain cross-sectional variation in bank share prices and that the fair values have incremental explanatory power over and above notional amounts of derivatives. I also conduct cross-sectional tests to provide preliminary evidence on the usefulness of derivatives disclosures in examining banks' risk-management strategies. While I find that banks, on average, are reducing their risk exposures using derivatives, further analysis reveals that only 47% of the sample banks appear to use derivatives to reduce risk.

Full Text

Duke Authors

Cited Authors

  • Venkatachalam, M

Published Date

  • January 1, 1996

Published In

Volume / Issue

  • 22 / 1-3

Start / End Page

  • 327 - 355

International Standard Serial Number (ISSN)

  • 0165-4101

Digital Object Identifier (DOI)

  • 10.1016/S0165-4101(96)00433-8

Citation Source

  • Scopus