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A multi-factor model for the valuation and risk management of demand deposits
Dewachter, Hans; Lyrio, Marco; Maes, Konstantijn - 2006
How should we value and manage deposit accounts where deposits have a zero contractual maturity, but which, in practice, remain stable through time and are remunerated below market rates? Does the economic value of the deposit account differ from the face value and can we reliably measure it? To...
Persistent link: https://www.econbiz.de/10011506605
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Constructing accounting uncertainity estimates variable
Serdarevic, Nino - In: e-Finanse: Financial Internet Quarterly 8 (2012) 3, pp. 62-75
revaluations. I draw special attention to recent IFRS convergences to US GAAP, especially in harmonizing with FAS 130 Reporting …
Persistent link: https://www.econbiz.de/10011551376
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The Valuation of Employee Stock Options - How Good Is the Standard?
Raupach, Peter - 2003
This study contributes to the valuation of employee stock options (ESO) in two ways: First, a new pricing model is presented, admitting a major part of calculations to be solved in closed form. Designed with a focus on good replication of empirics, the model fits with publicly observable...
Persistent link: https://www.econbiz.de/10010316309
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The Cost of Employee Stock Options
Raupach, Peter - 2003
This paper determines the cost of employee stock options (ESOs) to shareholders. I present a pricing method that seeks to replicate the empirics of exercise and cancellation as good as possible. In a first step, an intensity-based pricing model of El Karoui and Martellini is adapted to the needs...
Persistent link: https://www.econbiz.de/10010316271
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The crisis of fair value accounting: Making sense of the recent debate
Laux, Christian; Leuz, Christian - 2009
accounting standards, be it IFRS or U.S. GAAP. Third, historical cost accounting (HCA) is unlikely to be the remedy. There are a …
Persistent link: https://www.econbiz.de/10010303740
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How Do Fair Value Measurements of Financial Instruments Affect Investments in Banks?
Bergheim, Ralf; Ernstberger, Jürgen; Roos, Michael W. M. - 2014
This paper experimentally investigates how fair value measurements of financial instruments affect the decision of nonprofessional investors to invest in a bank's shares. Specifically, we assess how investors respond to variations in net income resulting from fair value adjustments in trading...
Persistent link: https://www.econbiz.de/10010368133
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Corporates’ monitoring costs of fair value disclosures in pre- versus post-IFRS7 era: Jordanian financial business evidence
Alharasis, Esraa Esam; Alidarous, Manal; Alkhwaldi, Abeer F. - In: Cogent Business & Management 10 (2023) 2, pp. 1-31
implementation of IFRS7 (pre- vs. post-IFRS7). The Ordinary Least Squares regression, which used 1470 firm-year observations from … 2005 to 2018, reveals that post-IFRS7 positively impacts audit fees, whereas pre-IFRS7 has no effect. According to the … change analysis, increasing Fair Value Disclosure (FVD) is the primary driver of rising audit expenses in the post-IFRS7 era …
Persistent link: https://www.econbiz.de/10014527340
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The economic consequences of including fair value adjustments to shareholders' equity in regulatory capital calculations
Chircop, Justin; Novotny-Farkas, Zoltán - 2014
We investigate the economic consequences of the implementation of a particular aspect of Basel III in the U.S. Specifically, the Basel III proposal and the corresponding U.S. rule (hereafter referred to as the removal of the AOCI filter) to make the inclusion of unrealized fair value gains and...
Persistent link: https://www.econbiz.de/10010494602
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Accounting for Financial Instruments in the Banking Industry: Conclusions from a Simulation Model
Gebhardt, Günther; Reichardt, Rolf; Wittenbrink, Carsten - 2003
The paper analyses the effects of three sets of accounting rules for financial instruments - Old IAS before IAS 39 became effective, Current IAS or US GAAP, and the Full Fair Value (FFV) model proposed by the Joint Working Group (JWG) - on the financial statements of banks. We develop a...
Persistent link: https://www.econbiz.de/10010311977
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Regulation and risk shuffling in bank securities portfolios
Fuster, Andreas; Vickery, James - 2018
Bank capital requirements are based on a mix of market values and book values. We investigate the effects of a policy change that ties regulatory capital to the market value of the "available-for-sale" investment securities portfolio for some banking organizations. Our analysis is based on...
Persistent link: https://www.econbiz.de/10012144694