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Value-at-Risk Disclosures and the Implications on Bank Stakeholders
Year Of Publication: 2008
Month Of Publication: August
Pages: 27
Download Count: 10
View Count: 1601
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 9-4-2010
Publisher: Administrator
Summary
This paper examines the relationship between the trading disclosed value-at-risk (VaR) and the subsequent stock returns and bond returns, and the relationship between the VaR disclosures and the changes in the level of earnings. Using trading disclosed VaR that reported by U.S banks under FRR No.48 (1997) from 1997 to 2004, we find that betas and bond returns are sensitive and positively related to reported trading VaR while equity returns are not, and the trading VaR is inversely related to changes in the level of earnings in previous periods.
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Fang, Victor Sign in to follow this author
Ball, James Sign in to follow this author
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