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Effect of informativeness of mandato...

Chen, Chia-I.

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Effect of informativeness of mandatory market value-at-risk disclosures on commercial banks' profitability.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Effect of informativeness of mandatory market value-at-risk disclosures on commercial banks' profitability./
Author:	Chen, Chia-I.
Description:	166 p.
Notes:	Source: Dissertation Abstracts International, Volume: 66-02, Section: A, page: 0665.
Contained By:	Dissertation Abstracts International66-02A.
Subject:	Business Administration, Accounting. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3163510
ISBN:	0542000490

Effect of informativeness of mandatory market value-at-risk disclosures on commercial banks' profitability.
Chen, Chia-I.

Effect of informativeness of mandatory market value-at-risk disclosures on commercial banks' profitability. - 166 p.

Source: Dissertation Abstracts International, Volume: 66-02, Section: A, page: 0665.

Thesis (D.B.A.)--Nova Southeastern University, 2005.

Using capital market theory, the author examines the informativeness of SEC-recommended Value-at-Risk (VaR) disclosures for derivatives trading activities in the commercial banking industry. The two primary research hypotheses are: (a) the quarterly changes of unexpected trading revenue for a subsequent financial reporting period is positively associated with quarterly change in average total Value-at-Risk for commercial banks; and (b) commercial bank shareholders' quarterly equity return is negatively associated with quarterly change in a bank's disclosed Value-at-Risk associated with interest rate risk, equity price movement, commodity price fluctuation; and foreign currency exchange risk.

ISBN: 0542000490Subjects--Topical Terms:

1020666
Business Administration, Accounting.

Effect of informativeness of mandatory market value-at-risk disclosures on commercial banks' profitability.
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245 1 0 $a Effect of informativeness of mandatory market value-at-risk disclosures on commercial banks' profitability.
300 $a 166 p.
500 $a Source: Dissertation Abstracts International, Volume: 66-02, Section: A, page: 0665.
500 $a Adviser: Moshe Levin.
502 $a Thesis (D.B.A.)--Nova Southeastern University, 2005.
520 $a Using capital market theory, the author examines the informativeness of SEC-recommended Value-at-Risk (VaR) disclosures for derivatives trading activities in the commercial banking industry. The two primary research hypotheses are: (a) the quarterly changes of unexpected trading revenue for a subsequent financial reporting period is positively associated with quarterly change in average total Value-at-Risk for commercial banks; and (b) commercial bank shareholders' quarterly equity return is negatively associated with quarterly change in a bank's disclosed Value-at-Risk associated with interest rate risk, equity price movement, commodity price fluctuation; and foreign currency exchange risk.
520 $a A search of the U.S. Office of the Comptroller of the Currency (OCC) database identified 281 banks that had filed detailed market risk information on their derivatives trading activities between the third quarter of 1997 and the fourth quarter of 2003. Quarterly data for all variables were collected from publicly available OCC Bank Derivatives Reports, the Center for Research in Security Prices database, and the banks' 10-Q and 10-K forms. Ordinary least-squares regression analyses were used to examine the research hypotheses.
520 $a With the exception of the relationship between commercial bank shareholders' equity returns following market risk disclosures and quarterly change in a bank's disclosed Value-at-Risk due to equity price movement, the results supported all of the research hypotheses. In other words, they show that SEC-recommended Value-at-Risk disclosures for derivative trading activities minimize information asymmetry between investors and managers of the commercial banks.
590 $a School code: 1191.
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650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, Finance. $3 626650
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710 2 0 $a Nova Southeastern University. $3 1017571
773 0 $t Dissertation Abstracts International $g 66-02A.
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791 $a D.B.A.
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