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1999 Fiscal Year Final Research Report Summary

Empirical Research on the Relationship between Stock Prices and the Fair Value Accounting Information

Research Project

Project/Area Number 09630134
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeSingle-year Grants
Section一般
Research Field Accounting
Research InstitutionKobe University

Principal Investigator

SAKURAI Hisakatsu  Kobe University, Graduate School of Business Administration, Professor, 経営学研究科, 教授 (10127368)

Project Period (FY) 1997 – 1999
Keywordsfair value accounting / stock pricing / securities / derivatives / interest swap / real estate / pension / financial instruments
Research Abstract

Empirical study based on bank share prices listed on the Tokyo Stock Exchange shows evidence that fair value amount of securities and derivatives disclosed as footnotes to the financial statements provide significant explanatory power for bank share prices beyond that provided by related book values. Especially, incremental explanatory power is found for fair value of interest swap. Notional or contractual amounts of off-balance sheet instruments are also reflected in the stock prices, which implies that investors may interpret them as a useful proxy for future income generated by goodwill or know-how for risk control.
Value-relevance is also empirically confirmed for pension accounting information disclosed by Japanese corporations, which prepare consolidated financial statements, based on the U.S. standards. The coefficient on fair value of total pension plan assets is positive and significant as predicted. Both accumulated and projected pension obligations are negatively correlated to the stock prices at the statistically significant level. This is the strong evidence of the usefulness of pension accounting, which is newly introduced into the Japanese accounting standards.
Real estate value tax provides a basis for estimating fair value of land owned by the corporation. Regression of stock prices on the estimated fair value of real estate gives evidence that the fair value amount possess significant incremental information contents beyond those provided by book value of net worth and fair value of securities.
Generally speaking, value relevance is found for the fair value of securities, derivatives, real estate, and pension plan assets and obligations. Therefore, it is worthwhile to study the empirical relationship between stock returns and the changes of fair value of these assets and liabilities.

  • Research Products

    (14 results)

All Other

All Publications (14 results)

  • [Publications] 桜井久勝: "アメリカの公正価値会計情報と株価形成"国民経済雑誌. 176巻2号. 49-63 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 桜井久勝: "土地および有価証券の時価評価額と株価形成"神戸大学経営学部ディスカッション・ペーパー. 9733号. 1-20 (1997)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 桜井久勝: "意思決定有用性とディスクロージャー:企業年金会計情報を中心に"企業会計. 50巻1号. 59-65 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 桜井久勝: "資産・負債の時価評価額と株価形成"会計. 153巻2号. 29-43 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 桜井久勝: "銀行のデリバティブ会計情報と株価形成"中野勲・山地秀俊(編著)『21世紀の会計評価論』勁草書房. 113-130 (1998)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 桜井久勝: "金利スワップのオンバランス処理"会計. 155巻4号. 1-15 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] 桜井久勝: "金融商品の時価情報と企業評価"国民経済雑誌. 179巻5号. 29-42 (1999)

    • Description
      「研究成果報告書概要(和文)」より
  • [Publications] Sakurai,Hisakatsu: "A Review of Empirical Relationship between Fair Value Accounting Information and Stock Prices"KOKUMIN-KEIZAI ZASSHI. Vol.176, No.2. 49-63 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Sakurai,Hisakatsu: "Stock Pricing and Fair Accounting Information of Securities and Real Estate"Discussion Paper of School of Business Administration of Kobe University. No.9733. 1-20 (1997)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Sakurai,Hisakatsu: "Decision Usefulness and Disclosure : In case of pension Accounting Information"KIGYO-KAIKEI. Vol.50, No.1. 59-65 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Sakurai,Hisakatsu: "Empirical Relationship between Fair Value Disclosures and Stock Prices in the Tokyo Stock Exchange"KAIKEI. Vol.153, No.2. 29-43 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Sakurai,Hisakatsu: "Derivative Accounting Information and Stock Pricing of Banks"in Isao Nakano and Hidetoshi Yamaji eds., ACCOUNTING VALUATION THEORY IN 21ST CENTURY, Keiso Shobo. 113-130 (1998)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Sakurai,Hisakatsu: "Recognition of Interest Swap and Its Empirical Value-Relevance"KAIKEI. Vol.155, No.4. 1-15 (1999)

    • Description
      「研究成果報告書概要(欧文)」より
  • [Publications] Sakurai,Hisakatsu: "The Empirical Value-Relevance of Fair Value Disclosures by the Banks Listed on the Tokyo Stock Exchange"KOKUMIN-KEIZAI ZASSHI. Vol.179, No.5. (1999)

    • Description
      「研究成果報告書概要(欧文)」より

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Published: 2001-10-23  

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