The Disclosure Quality Effect of Hedging Derivatives on Bank Credit Risk

• Main Authors: LU, CHIA-AN, 盧家安
• Other Authors: CHEN, TSUNG-KANG
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/85231957342098857163

碩士 === 輔仁大學 === 金融與國際企業學系金融碩士班 === 104 === BHCs (Bank Holding Companies) need to hedge risk. Among all of the hedging instruments, derivatives are most common used and their related disclosure quality of 10-Ks has significant effect on accounting information and thereby might affect fim credit risk. This study explores the disclosure quality effect of hedging derivatives on BHCs’ credit risk by employing U.S. BHCs data from year 2001 to 2014 which total assets were ever listed on the top 100 during the period. We use annual report readability, textual analysis (percentage of positive, uncertain, net positive words) and 10-Ks disclosure score as proxies of disclosure quality. Our results show that the readability of both Item 7A and note “Summary of Significant Accounting Principles” are significantly and negatively related to BHCs’ credit risk. Furthermore, the textual analysis variables are significantly and negatively related to credit risk except for the uncertain words, which has an opposite effect on credit risk. The 10-Ks disclosure score also has significantly negative impacts on credit risk after 2009. All the results are robust for adding control variables. Besides, note “Summary of Significant Accounting Principles” seems has more significant effect on credit risk than the others. We further investigate the moderating effect of readability and texture analysis on credit risk. It is shown that the positive and net positive words decrease the readability effect on credit risk.