The Decision Relevance of Loan Fair Values for Depositors
基于1994-2019年美国商业银行数据，发现贷款公允价值显著影响存款人决策，尤其是未保险存款的提取行为，其相关性主要源于贷款清算价值下降引发的恐慌性挤兑。
ABSTRACT Using a large sample of U.S. commercial banks from 1994 to 2019, we find that loan fair values are highly relevant for depositor decision making. A one‐standard‐deviation decrease in loan fair value performance is associated with more than 10% lower uninsured deposit flows than the sample average. Information in fair values about loan credit quality is quite limited and cannot account for the bulk of the relevance. Instead, consistent with models of bank fragility, the relevance seems to stem more from information on the decline in loan liquidation values, triggering panic‐based withdrawals motivated by (self‐fulfilling) expectations of withdrawals by other depositors. The findings inform the cost‐benefit tradeoff of reporting loan fair values.