FAIR VALUE DISCLOSURES BY BANK-HOLDING COMPANIES

This paper examines the value relevance of fair value data disclosed u nder SFAS 107 by banks for 1992 and 1993. Collectively, the evidence s uggests differences between fair and book values of financial instrume nts are associated with market-to-book ratios. However, fair value dis closures for financial instruments other than securities are value-rel evant only in limited settings. In addition, only in 1992 are fair val ue variables associated with market-to-book ratios after incorporating existing historical cost information. Further analysis suggests the w eaker 1993 results are not necessarily due to increased measurement er ror in fair value numbers.