Usefulness of Interest Income Sensitivity Disclosures
研究发现银行利息收入敏感性披露能预测未来净利息收入变化，分析师预测和股市反应也受其影响，且信息增量优于监管数据，反驳了此类披露无用的观点。
ABSTRACT We document multiple dimensions of usefulness of banks' interest income sensitivity disclosures. First, we find management-generated sensitivity measures are predictive of future realized changes in net interest income. Second, we find financial analysts' forecasts of net interest income reflect information provided by interest income sensitivity disclosures. Third, we find equity market responses to interest rate shocks as well as firms' interest rate betas are larger for banks with greater disclosed sensitivity of net interest income to interest rate changes. Across all of these tests, the informativeness of income sensitivity measures is incremental to that of regulatory data. These results suggest that interest income sensitivity disclosures are informative measures of interest rate risk. Our results contradict assertions that these disclosures are useless due to lack of relevance of income sensitivity, poor modeling techniques, and/or redundancy relative to regulatory data. JEL Classifications: G21; M41.