The usefulness of enhanced mandatory disclosure on specific terms and conditions of derivatives contracts: Evidence from Korea

• 발행기관: 한국회계정보학회
• 저자명: Joonhyun Kim Sukyoon Jung
• 간행물 정보: 『한국회계정보학회 학술대회발표집』2019년 춘계학술대회 발표집, 453~493쪽, 전체 41쪽
• 주제분류: 경제경영 > 회계학
• 파일형태: PDF
• 발행일자: 2019.05.18

영문 초록

This study investigates the incremental usefulness of the mandatory disclosure on the details of derivatives contracts beyond the fair value amount that is recognized on financial statements, exploiting a unique policy case in Korea during the 2008 financial crisis. The results show that the comprehensive notional amount based on the disclosure of terms and conditions for foreign exchange derivatives contracts is more closely associated with future earnings than the summary accounts under the financial statements. Furthermore, the detailed information alters the stock return sensitivity to foreign exchange rate changes incrementally beyond the financial statements-based information; the market reaction to the disclosure is stronger for firms with greater notional amounts of derivatives. Our findings provide new empirical evidence that the disclosure of specific derivatives terms substantially enhances investors’ assessments of risk exposure from derivatives instruments, and accordingly, support the call for more specific disclosure on derivatives.

목차

1. Introduction

2. Literature review, institutional background, and research hypotheses

3. Research design and sample selection

4. Empirical results

5. Additional analysis

6. Conclusion

References