Pertinence d'un nouveau compte de résultat: le cas de la comptabilisation des instruments financiers selon l'IAS 39

Nessrine Ben Hamida
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Nessrine Ben Hamida: Département recherche - ISC Recherche - ISC Paris - Institut Supérieur du Commerce de Paris

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Abstract: The IASB is developing proposals to require that companies recognize changes in the fair values of almost all financial instruments in income. Net income, comprehensive income, and the proposed "full fair value income" are likely to portray firm performance and risk very differently, especially for companies with significant exposure to changes in fair values of financial instruments. We calculate the volatility in each of these three alternative income metrics for a sample of French banks during 2005 to 2006, and test the risk-relevance of these different volatility measures. We find that for the average bank, the volatility of comprehensive income is nearly twice that of net income, and the volatility of full fair value income is nearly three times that of net income. We find that short-term interest rate beta, a marketbased measure of a bank's interest rate risk, is more closely associated with comprehensive income volatility than either net income volatility or fair value income volatility. Finally, we predict and find that the incremental volatility in comprehensive income is robustly negatively associated with bank share prices, suggesting that comprehensive income volatility captures incremental risk factors that the capital markets price. Our findings suggest that full fair value income volatility doesn't provide a more complete representation of bank risk, and is not more related to capital market pricing of risk in bank shares, than either net income volatility or comprehensive income volatility.

Keywords: Volatility; fair value; income; risk; financial instruments; Volatilité; juste valeur; résultat; risque et instruments financiers. (search for similar items in EconPapers)
Date: 2009-05-27
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Published in 30ème congrès de l'Association Francophone de Comptabilité, May 2009, Strasbourg, France. pp.CD ROM

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00459458

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