On the market valuation of insurance accounting: An assessment of historical cost and fair value measurements
研究了欧洲保险公司在IFRS历史成本与Solvency II公允价值两种会计框架下，股票价格与会计信息的关系，发现公允价值更能解释股价，且该效应源于监管报告的意外信息，对低破产风险公司更有用。
Abstract We analyze the relationship between stock prices and insurance accounting and compare a historical cost with a full fair value measurement approach. During our sample period, European insurers had to determine the fair value of all assets and liabilities according to the Solvency II (SII) regulation, in addition to the historical‐cost‐based setup of the International Financial Reporting Standards (IFRS). This alternative source of information allowed investors to update their expectations about future dividends, risks, and firm values. Comparing both frameworks, we report three findings. First, we show that the association between stock prices and SII full fair value accounting items is greater than that of IFRS historical cost measurements. Second, we find that this effect stems from unexpected news disclosed by regulatory reporting. Third, our results suggest that insurance accounting is relevant for firms exposed to lower insolvency risk and offers no additional information when the risk level is high.