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La juste valeur des instruments financiers : Un nouveau canal de contagion ?

  • Leila Gharbi


    (Corporate Finance and Financial Theory (COFFIT) - Faculté des Sciences Economiques et de Gestion de Sfax)

  • Khamoussi Halioui


    (Corporate Finance and Financial Theory (COFFIT) - Faculté des Sciences Economiques et de Gestion de Sfax, ISAE de Gafsa - ISAE de Gafsa)

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    The merits of fair value have always prompted heated debate, particularly with regard to financial instruments. It has been alleged that if we use the accounting market value, the volatility of asset prices affects directly the value of bank's assets; thereby, increasing the overall risk in the financial system. In this study, we investigate whether fair value accounting for financial instruments is associated with an increase in the risk of failure of the American banking system as a whole. Using a sample comprising quarterly data from 2000 to 2010 for 296 U.S bank holding companies, we develop two models. The first is a multinomial logit model based on return and the second is a static panel model based on risk. Only the last one shows a positive association between fair value accounting for financial instruments and contagion among banks during periods of market illiquidity.

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    Paper provided by HAL in its series Post-Print with number hal-00650435.

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    Date of creation: 10 May 2011
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    Publication status: Published in Comptabilités, économie et société, May 2011, Montpellier, France., 2011
    Handle: RePEc:hal:journl:hal-00650435
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    1. Laux, Christian & Leuz, Christian, 2009. "The crisis of fair-value accounting: Making sense of the recent debate," Accounting, Organizations and Society, Elsevier, vol. 34(6-7), pages 826-834, August.
    2. Boyson, Nicole M. & Stahel, Christof W. & Stulz, Rene, 2008. "Hedge Fund Contagion and Liquidity," Working Paper Series 2008-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    3. Heaton, John C. & Lucas, Deborah & McDonald, Robert L., 2010. "Is mark-to-market accounting destabilizing? Analysis and implications for policy," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 64-75, January.
    4. H. Nizar & H.Chakroun & Bouri & H. Chakroun & A. Bouri, 2007. "Herding and Measurement Problems Proposition of Dynamic Measure," ERES eres2007_171, European Real Estate Society (ERES).
    5. Allen, Franklin & Carletti, Elena, 2006. "Mark-to-market accounting and liquidity pricing," CFS Working Paper Series 2006/17, Center for Financial Studies (CFS).
    6. Tobias Adrian & Hyun Song Shin, 2008. "Liquidity and leverage," Staff Reports 328, Federal Reserve Bank of New York.
    7. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    8. Guillaume Plantin & Haresh Sapra & Hyun Shin, . "Marking to Market: Panacea or Pandora’s Box ?," GSIA Working Papers 2005-E4, Carnegie Mellon University, Tepper School of Business.
    9. Barth, Mary E. & Landsman, Wayne R. & Wahlen, James M., 1995. "Fair value accounting: Effects on banks' earnings volatility, regulatory capital, and value of contractual cash flows," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 577-605, June.
    10. Pais, Amelia & Stork, Philip A., 2011. "Contagion risk in the Australian banking and property sectors," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 681-697, March.
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