The association between stock-price interest rate sensitivity and disclosures about derivative...
利用上市储蓄与贷款协会样本，发现表外衍生品活动与股票价格利率敏感性正相关，且表内利率风险敞口也具有价值相关性，表明拟议的衍生品风险披露能提供有用信息。
Abstract Using a sample of publicly traded savings and loan associations (S&Ls), this paper provides evidence that off-balance-sheet derivatives activities are positively associated with tower stock-price interest rate sensitivity. Similar to the results for derivatives, on-balance-sheet exposures to interest rate changes, as measured by the maturity mismatch of institutions' assets and liabilities, are also value relevant. Currently, the measures of on-balance-sheet interest rate risk and the corresponding impact of derivatives used in this study are not required annual report disclosures. Rather, these data are obtained from regulatory filings. The reporting of the impact of derivatives on the corresponding measure of on-balance- sheet risk is analogous to the concept of "at-risk" disclosures for derivatives which have been encouraged by the FASB and SEC. Therefore, the results suggest that the proposed disclosures will provide value-relevant information about interest rate risk for S&Ls.