Title: Value relevance of unrealised gains and losses on non-agency securities

Authors: Sukyoon Jung

Addresses: Hanyang University, 222 Wangsimni-ro, Seongdong-gu, Seoul 133-791, Korea

Abstract: In this paper I examine the value relevance of unrealised gains/losses on non-agency securities owned by bank holding companies and how this valuation property may have changed in the recent crisis period. I find value relevance of these unrealised changes, but only in the crisis period. This implies that market investors consider these fair value revaluations useful despite concerns about their reliability as banks are more likely to liquidate these securities in the crisis period. A stronger relation between the unrealised changes and future-realised gains/losses in the crisis period provides economic rationale to the value relevance during this period.

Keywords: fair value estimates; non-agency mortgage-backed securities; value relevance; unrealised gains; unrealised losses; non-agency securities; financial crisis; fair value revaluations.

DOI: 10.1504/IJBAAF.2014.067024

International Journal of Banking, Accounting and Finance, 2014 Vol.5 No.4, pp.418 - 434

Received: 30 Sep 2013
Accepted: 11 Oct 2014
Published online: 31 Jan 2015 *

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