Exploiting detailed disclosures mandated by Accounting Standard Codification (ASC) 820, we provide evidence for the return relevance of Level 3 fair value remeasurements for a comprehensive sample of U.S. listed banks. We find that Level 3 remeasurements recognized in earnings are more return relevant than those recognized in other comprehensive income (OCI). Our results suggest that Level 3 remeasurements in OCI partially reflect transitory illiquidity discounts that are less relevant when banks have the ability to hold the underlying assets. The regulatory capital treatment of OCI also affects the return relevance of Level 3 remeasurements in OCI. Importantly, we find no differences in the return relevance of realized versus unrealized Level 3 remeasurements in earnings, allaying concerns that investors perceive unrealized Level 3 remeasurements of lesser quality. Overall, our findings support the usefulness of the segregated disclosures of Level 3 fair value remeasurements.

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第三级公允价值重新计量有用吗？来自 ASC 820 前滚披露的证据

利用会计准则编纂 (ASC) 820 规定的详细披露，我们为美国上市银行综合样本的 3 级公允价值重新计量的回报相关性提供证据。我们发现在收益中确认的第 3 级重新计量比在其他综合收益 (OCI) 中确认的更具有回报相关性。我们的结果表明，OCI 的第 3 级重新计量部分反映了当银行有能力持有标的资产时相关性较低的暂时性非流动性折扣。OCI 的监管资本处理也影响 OCI 中第 3 级重新计量的回报相关性。重要的是，我们发现收益中已实现与未实现 3 级重新计量的回报相关性没有差异，减轻投资者认为未实现的 3 级重新测量质量较低的担忧。总体而言，我们的研究结果支持第三级公允价值重新计量的单独披露的有用性。