Valuation Implications of FAS 159 Reported Gains and Losses From Fair Value Accounting for Liabilities
研究了FAS 159下公允价值负债损益的经济含义，发现这些损益与当期股票回报正相关，但与未来回报负相关，表明投资者错误定价了该收益成分，且错误定价在机构持股低的公司更严重。
This study examines the economic implications of fair value liability gains and losses arising from the adoption of Statement of Financial Accounting Standards No. 159 (hereafter, FAS 159). We find a positive correspondence between a firm’s FAS 159 fair value liability gains and losses and current period stock returns, consistent with the notion that these gains and losses are priced by equity investors. However, further analysis indicates that fair value gains and losses from liabilities have a statistically significant negative association with future returns, suggesting that investors misprice this earnings component and subsequently correct the mispricing. We also find that the negative association for fair value gains is stronger for firms with lower levels of institutional ownership.