Are Level 3 Fair Value Remeasurements Useful? Evidence from ASC 820 Rollforward Disclosures
利用ASC 820强制披露的详细数据，研究了美国上市银行第三层次公允价值重估的回报相关性，发现计入损益的重估比计入其他综合收益的更具相关性，且其他综合收益中的重估部分反映了暂时性流动性折价。
ABSTRACT Exploiting detailed disclosures mandated by Accounting Standard Codification (ASC) 820, we provide evidence for the return relevance of Level 3 fair value remeasurements for a comprehensive sample of U.S. listed banks. We find that Level 3 remeasurements recognized in earnings are more return relevant than those recognized in other comprehensive income (OCI). Our results suggest that Level 3 remeasurements in OCI partially reflect transitory illiquidity discounts that are less relevant when banks have the ability to hold the underlying assets. The regulatory capital treatment of OCI also affects the return relevance of Level 3 remeasurements in OCI. Importantly, we find no differences in the return relevance of realized versus unrealized Level 3 remeasurements in earnings, allaying concerns that investors perceive unrealized Level 3 remeasurements of lesser quality. Overall, our findings support the usefulness of the segregated disclosures of Level 3 fair value remeasurements. Data Availability: Data are available from the public sources cited in the text.