Is Fair Value Always the Relevant Measure of Liabilities? Evidence from Bond Trades in the Secondary Market
研究了公允价值计量的负债是否对信用风险估计有增量信息，发现非公允价值计量的负债相关性更强，且资产端对称应用不影响这一结论。
Liabilities measured at fair value is a controversial topic, with major criticisms still unaddressed. Despite these criticisms, standard setters have chosen to move forward with a fair value oriented balance sheet. This study addresses two of these major criticisms by examining whether liabilities measured at fair value bring relevant information to the estimation of credit risk. Using the credit spreads of US non‐financial firms as a proxy for credit risk, the results show that liabilities measured at fair value are not as relevant to credit risk estimation as liabilities measured on a non‐fair value basis. Additionally, this study finds no support for the claim that the relevance of liabilities at fair value depends on a symmetrical application to the asset side of the balance sheet. Taken together, this study provides evidence that fair value is not always the relevant measure of liabilities.