1 Introduction
2 Debt value adjustments: theoretical background, the public debate, and prior literature
2.1 Debt value adjustments due to a change in own credit risk (DVAs)
2.2 The public DVA debate
2.3 Prior literature
3 Sample selection and data collection
Panel A: Sample selection process | ||
---|---|---|
Step 1: Identification of DVA-reporters through Bank Regulatory Reports | ||
All bank holding companies filing FRY9C reports between 2007 and 2014 | 8558 | |
Firms without FVOL adoption in the sample period | − 8464 | 94 |
Firms without link between RSSD ID and PERMCO | − 39 | 55 |
Firms without link between PERMCO and CIK | − 2 | 53 |
Firms without information on DVAs in SEC filings | − 42 |
11
|
Step 2: Identification of DVA-reporters through Compustat accounting data | ||
All financial firms with coverage in “Compustat North America Annual Database between 2007 and 2014 | 5757 | |
Firms without fair value option adoption | − 5550 | 207 |
Firms without fair value liabilities | − 47 | 160 |
Firms without fair value changes recognized in earnings | − 65 | 95 |
Firms without CIK identifier | − 10 | 85 |
Firms whose filings I searched in Step 1 of the selection process | − 31 | 54 |
Firms without mentioning of DVA-related keywords in 10-K filings | − 13 | 41 |
Firms without information on DVAs in SEC filings | − 32 | 9 |
Firms without 8-K filings (quarterly earnings press releases) | − 1 |
8
|
Step 3: Identification of FVOL firm-quarters of DVA-reporting firms with earnings press releases | ||
Firm-quarters of 19 DVA reporting firms with SEC filings (10-Q and 10-K) between 2007 and 2014 | 540 | |
Firm-quarters without 8-K filings (quarterly earnings press releases) | − 20 | 520 |
Firm-quarters without FVOL adoption | − 115 |
405
|
Panel B: DVA articles’ distribution over time and across newspapers | |||||||||
---|---|---|---|---|---|---|---|---|---|
Newspaper | 2007 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | Total |
AdvisorOne | 3 | 9 | 2 | 14 | |||||
American Banker | 2 | 1 | 1 | 3 | 7 | ||||
Business Insurance | 1 | 1 | |||||||
Crain’s New York Business | 1 | 1 | |||||||
National Mortgage News | 1 | 1 | |||||||
Research and Research Breaking News | 1 | 1 | 3 | 5 | |||||
St. Louis Post-Dispatch | 1 | 1 | |||||||
St. Paul Pioneer Press | 1 | 1 | |||||||
The New York Post | 2 | 2 | |||||||
The New York Times | 10 | 9 | 8 | 11 | 7 | 7 | 52 | ||
The Washington Post | 3 | 2 | 2 | 2 | 5 | 14 | |||
ThinkAdvisor | 1 | 1 | 2 | ||||||
USA Today | 1 | 1 | 2 | 2 | 6 | ||||
The Wall Street Journal | 1 | 3 | 14 | 2 | 10 | 20 | 6 | 10 | 66 |
Total | 1 | 5 | 32 | 14 | 26 | 50 | 27 | 18 | 173 |
Panel C: Relation between individual financial press articles and article-firm-quarters observations | ||||||
---|---|---|---|---|---|---|
154 | Article(s) give(s) DVA information for | 1 | Sample firm-quarter(s) | = | 154 | Article-firm-quarters |
13 | “ | 2 | “ | = | 26 | “ |
3 | “ | 3 | “ | = | 9 | “ |
2 | “ | 4 | “ | = | 8 | “ |
1 | “ | 5 | “ | = | 5 | “ |
173 | Articles give DVA information for a total of |
202
| Article-firm-quarter observations |
4 DVAs’ occurrence, size, and reporting by managers
4.1 Characteristics of DVA-reporting firms
Mean | Std. Dev | Min | Median | Max | N | |
---|---|---|---|---|---|---|
Panel A: DVA-reporters | ||||||
Total assets (in $bn) | 528.77*** | 608.88 | 1.21 | 182.20*** | 1884.32 | 19 |
Total liabilities (in $bn) | 492.29*** | 566.16 | 1.10 | 164.36*** | 1764.54 | 19 |
Total fair value liabilities (in $bn) | 107.49*** | 169.39 | 0.01 | 9.70*** | 479.90 | 19 |
Total fair value liabilities (%) | 0.16 | 0.15 | 0.00 | 0.08*** | 0.45 | 19 |
Eligible instruments (%) | 0.81 | 0.18 | 0.23 | 0.85 | 0.97 | 19 |
Derivative user (dummy) | 0.84*** | 19 | ||||
Return on equity (%) | 0.12 | 0.06 | 0.01 | 0.12 | 0.27 | 19 |
Panel B: FVOL adopters that do not report DVAs | ||||||
Total assets (in $bn) | 69.06** | 184.61 | 0.41 | 8.86*** | 1030.51 | 78 |
Total liabilities (in $bn) | 63.17** | 174.84 | 0.13 | 7.03*** | 982.18 | 78 |
Total fair value liabilities (in $bn) | 12.40*** | 64.80 | 0.00 | 0.09*** | 467.20 | 78 |
Total fair value liabilities (%) | 0.10*** | 0.22 | 0.00 | 0.01*** | 1.00 | 78 |
Eligible instruments (%) | 0.80 | 0.21 | 0.10 | 0.91 | 0.99 | 78 |
Derivative user (dummy) | 0.46*** | 78 | ||||
Return on equity (%) | 0.13 | 0.12 | − 0.07 | 0.12*** | 0.83 | 78 |
Panel C: Non-FVOL adopters | ||||||
Total assets (in $bn) | 26.47 | 154.03 | 0.00 | 0.84 | 1965.16 | 1690 |
Total liabilities (in $bn) | 24.60 | 147.20 | 0.00 | 0.65 | 1919.42 | 1690 |
Total fair value liabilities (in $bn) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1690 |
Total fair value liabilities (%) | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 1690 |
Eligible instruments (%) | 0.76 | 0.26 | 0.00 | 0.92 | 1.00 | 1690 |
Derivative user (dummy) | 0.21 | 1690 | ||||
Return on equity (%) | 0.13 | 1.11 | − 18.57 | 0.10 | 25.68 | 1690 |
4.2 DVAs’ occurrence and size
Mean | Std. Dev | Min | Median | Max |
N
| |
---|---|---|---|---|---|---|
Panel A: DVA measures | ||||||
DVAs (in $mn) | 6.905 | 654.309 | − 3600.000 | − 0.200 | 4506.000 | 405 |
NegDVA | 0.506 | 405 | ||||
Absolute DVAs (in $mn) | 285.416 | 588.645 | 0.000 | 66.300 | 4506.000 | 405 |
DVA (%) | 0.937 | 4.830 | 0.000 | 0.086 | 64.761 | 405 |
Panel B: DVA disclosure measures | ||||||
Ment | 0.605 | 405 | ||||
Sign | 0.573 | 405 | ||||
Size | 0.538 | 405 | ||||
Due | 0.573 | 405 | ||||
Dir | 0.264 | 405 | ||||
Comment | 0.030 | 405 | ||||
Excl | 0.410 | 405 | ||||
AggInfo | 2.993 | 2.265 | 0 | 4 | 7 | 405 |
FirstPageMent | 0.286 | 405 | ||||
Coverage | 0.185 | 405 | ||||
Panel C: Further regression inputs | ||||||
AbsDVA | 21.189 | 41.715 | 0.000 | 5.284 | 308.359 | 405 |
Incentive | 0.086 | 405 | ||||
Quarter | 16.677 | 8.809 | 1 | 17 | 32 | 405 |
Pages | 2.600 | 0.421 | 1.099 | 2.639 | 3.611 | 405 |
TA | 12.213 | 2.393 | 7.188 | 13.228 | 15.016 | 405 |
AbsNI | 175.457 | 390.645 | 0.041 | 55.790 | 4512.127 | 405 |
NegNI | 0.363 | 405 |
N = 405 | DVA | Abs DVA | Neg DVA | Ment | Sign | Size | Due | Dir | Com ment |
---|---|---|---|---|---|---|---|---|---|
Panel D: Correlation coefficients | |||||||||
DVA | 1 | ||||||||
AbsDVA | 0.082 | 1 | |||||||
NegDVA | − 0.437 | − 0.022 | 1 | ||||||
Ment | − 0.034 |
0.272
| 0.010 | 1 | |||||
Sign | − 0.034 |
0.292
| 0.026 |
0.936
| 1 | ||||
Size | − 0.012 |
0.282
| 0.026 |
0.873
|
0.932
| 1 | |||
Due | − 0.034 |
0.290
| − 0.004 |
0.936
|
0.899
|
0.852
| 1 | ||
Dir | − 0.073 |
0.391
| 0.054 |
0.484
|
0.483
|
0.465
|
0.506
| 1 | |
Remarks | − 0.173 |
0.184
| − 0.002 |
0.141
|
0.121
|
0.133
|
0.151
|
0.292
| 1 |
Excl | − 0.066 | − 0.036 |
0.110
| 0.006 | 0.030 | 0.087 | 0.009 | − 0.055 | 0.032 |
AggInfo | − 0.066 |
0.330
| 0.047 |
0.924
|
0.933
|
0.919
|
0.917
|
0.628
|
0.258
|
FirstPageMent | − 0.090 |
0.202
| 0.036 |
0.344
|
0.370
|
0.411
|
0.370
|
0.339
|
0.179
|
Coverage | − 0.014 |
0.366
| 0.000 |
0.346
|
0.360
|
0.378
|
0.373
|
0.320
|
0.179
|
Incentive | − 0.299 |
0.113
|
0.449
| 0.043 | 0.025 | 0.023 | 0.038 |
0.102
| 0.093 |
Quarter | − 0.115 | − 0.170 |
0.286
| − 0.037 | − 0.024 | − 0.045 | − 0.068 | − 0.079 | − 0.080 |
Pages | − 0.036 |
0.107
| − 0.020 |
0.392
|
0.345
|
0.329
|
0.400
|
0.171
| 0.083 |
TA | − 0.009 |
0.267
| − 0.059 | 0.045 | 0.023 | − 0.016 | 0.061 |
0.157
| 0.003 |
AbsNI | 0.045 | 0.083 | − 0.024 | − 0.053 | − 0.090 | − 0.105 | − 0.051 | − 0.005 | − 0.039 |
NegNI | 0.039 | 0.067 | 0.037 | 0.043 | 0.050 | 0.050 | 0.050 | − 0.045 | − 0.041 |
N = 405 | Excl | Agg Info | First Page Ment | Coverage | Incen tive | Quar ter | Pages | TA | AbsNI | NegNI |
---|---|---|---|---|---|---|---|---|---|---|
Panel D: Correlation coefficients | ||||||||||
DVA | ||||||||||
AbsDVA | ||||||||||
NegDVA | ||||||||||
Ment | ||||||||||
Sign | ||||||||||
Size | ||||||||||
Due | ||||||||||
Dir | ||||||||||
Remarks | ||||||||||
Excl | 1 | |||||||||
AggInfo |
0.238
| 1 | ||||||||
FirstPageMent |
0.416
|
0.497
| 1 | |||||||
Coverage |
0.158
|
0.429
|
0.359
| 1 | ||||||
Incentive |
0.192
| 0.097 |
0.129
| 0.092 | 1 | |||||
Quarter |
0.304
| 0.007 |
0.185
|
0.182
|
0.113
| 1 | ||||
Pages | 0.064 |
0.374
|
0.141
| 0.078 | − 0.059 | 0.078 | 1 | |||
TA | − 0.238 | 0.003 | − 0.189 |
0.380
| − 0.194 | 0.073 |
0.269
| 1 | ||
AbsNI | − 0.003 | − 0.070 | − 0.161 | 0.013 | − 0.002 | − 0.090 | 0.049 |
0.320
| 1 | |
NegNI |
0.248
| 0.084 | 0.022 | − 0.162 |
0.259
| − 0.139 | − 0.064 | − 0.352 | 0.086 | 1 |
4.3 DVA reporting by managers
4.3.1 Measures of DVA reporting quality
4.3.2 Descriptive statistics
4.3.3 Determination analyses
Dependent variable | (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) |
---|---|---|---|---|---|---|---|---|---|
Ment | Sign | Size | Due | Dir | Comment | Excl | AggInfo | FirstPageMent | |
Panel A: Regression results | |||||||||
AbsDVA | 0.016*** (2.5985) | 0.019** (2.5748) | 0.018*** (2.7355) | 0.016** (2.5536) | 0.009*** (3.0354) | − 0.000 (− 0.1513) | 0.002 (0.5111) | 0.015*** (3.8156) | 0.008** (2.5454) |
AbsDVA*NegDVA | 0.042*** (3.1429) | 0.041*** (3.6101) | − 0.003 (− 0.2596) | 0.047*** (3.4030) | 0.006 (1.0305) | 0.009* (1.8724) | − 0.002 (− 0.4258) | 0.007 (1.0954) | 0.009 (1.3746) |
NegDVA | − 0.318 (− 1.3414) | − 0.281 (− 1.3665) | 0.125 (0.5602) | − 0.410* (− 1.8647) | 0.069 (0.4111) | − 0.383 (− 1.6438) | − 0.034 (− 0.2145) | 0.001 (0.0021) | − 0.377** (− 2.4742) |
Incentive | − 0.122 (− 0.2968) | − 0.322 (− 0.8318) | − 0.269 (− 0.7227) | 0.104 (0.2232) | 0.247 (0.7583) | 0.332 (0.8155) | 0.813** (2.4714) | 0.186 (0.3428) | 0.033 (0.0757) |
Pages | 1.567*** (3.3579) | 1.322*** (3.1274) | 1.216*** (2.8481) | 1.581*** (3.3214) | 0.521 (1.2701) | 0.613** (2.3147) | 0.437 (0.7461) | 2.070*** (3.9691) | 0.634 (1.3969) |
Quarter | 0.004 (0.1918) | 0.010 (0.4523) | 0.002 (0.1016) | − 0.001 (− 0.0396) | − 0.009 (− 0.7762) | − 0.023 (− 1.1200) | 0.055*** (3.1962) | 0.010 (0.3196) | 0.054** (2.5671) |
TA | − 0.135 (− 1.2776) | − 0.148 (− 1.4391) | − 0.134 (− 1.3339) | − 0.115 (− 1.2682) | 0.025 (0.3034) | − 0.045 (− 0.4447) | − 0.170 (− 1.3183) | − 0.181 (− 1.3381) | − 0.232** (− 2.5501) |
Constant | − 2.441 (− 1.2815) | − 1.894 (− 1.0337) | − 1.781 (− 1.0063) | − 2.720 (− 1.3737) | − 2.502* (− 1.7089) | − 2.700* (− 1.8733) | − 0.307 (− 0.1538) | − 0.756 (− 0.3403) | − 0.482 (− 0.3532) |
Firm Indicators | No | No | No | No | No | No | No | No | No |
Chi squared/F-stat.: AbsDVA+ AbsDVA*NegDVA | 0.001 | 0.000 | 0.095 | 0.000 | 0.018 | 0.012 | 0.936 | 0.024 | 0.006 |
Pseudo R2/Adj. R2 | 0.257 | 0.243 | 0.180 | 0.270 | 0.157 | 0.178 | 0.159 | 0.267 | 0.199 |
N
| 405 | 405 | 405 | 405 | 405 | 405 | 405 | 405 | 405 |
Pred. prob. of DVA reporting (in %) | |||||||||
NegDVA = 0 | 65.3 | 60.8 | 55.8 | 62.1 | 22.0 | 2.2 | 41.3 | – | 27.7 |
NegDVA = 1 | 83.4 | 80.7 | 58.4 | 81.3 | 27.9 | 1.4 | 38.6 | – | 21.9 |
Incentive = 0 | 75.7 | 72.6 | 58.0 | 72.3 | 24.2 | 1.6 | 37.2 | – | 24.6 |
Incentive = 1 | 71.7 | 61.0 | 47.4 | 75.7 | 32.6 | 3.5 | 68.7 | – | 25.6 |
Panel B: Regression results with firm indicators | |||||||||
AbsDVA | 0.016** (2.1598) | 0.018** (2.1397) | 0.020*** (2.5846) | 0.019** (2.2786) | 0.009*** (3.1700) | 0.007* (1.8643) | 0.000 (0.0506) | 0.010*** (3.1371) | 0.004 (0.8773) |
AbsDVA*NegDVA | 0.024*** (3.3567) | 0.016* (1.8559) | − 0.013 (-1.4371) | 0.025*** (3.8300) | − 0.001 (-0.2214) | 0.002 (0.5523) | 0.001 (0.1721) | 0.003 (1.0914) | 0.003 (0.5923) |
NegDVA | − 0.019 (− 0.0665) | 0.216 (0.9496) | 0.722** (2.2964) | 0.023 (0.0801) | 0.508*** (2.8883) | 0.106 (0.6893) | 0.247 (0.7531) | 0.296 (1.5691) | − 0.104 (− 0.4856) |
Incentive | 0.221 (0.5527) | 0.038 (0.0677) | − 0.290 (− 0.8833) | 0.559 (1.3114) | 0.785** (2.4303) | 1.594** (2.3395) | 0.851 (1.2936) | − 0.060 (-0.3259) | 0.817* (1.8106) |
Pages | 1.441* (1.8428) | 0.884 (1.3119) | 1.108 (1.3669) | 1.706** (2.2033) | 0.995* (1.6492) | 0.017 (0.0103) | 2.144** (1.9803) | 1.498** (2.6201) | − 0.290 (− 0.7533) |
Quarter | 0.037 (1.0465) | 0.051 (1.4259) | 0.033 (0.8895) | 0.023 (0.6874) | − 0.001 (− 0.0767) | − 0.012 (− 0.9865) | 0.139*** (2.9965) | 0.035 (1.0122) | 0.076* (1.8453) |
TA | − 0.504 (− 0.5781) | 0.954 (0.8528) | 0.374 (0.3221) | − 0.901 (− 1.3346) | 0.376 (0.6699) | 2.303 (0.9371) | − 1.614 (− 0.9915) | − 0.272 (− 0.5783) | − 3.158*** (− 3.8812) |
Constant | 1.302 (0.1484) | − 12.109 (− 1.1586) | − 6.752 (− 0.6089) | 4.671 (0.6514) | − 8.111 (− 1.0991) | − 29.341 (− 0.9324) | 10.536 (0.6867) | 1.984 (0.2771) | 31.245*** (3.6459) |
Firm Indicators | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
Chi-squared/F-stat.: AbsDVA+ AbsDVA*NegDVA | 0.000 | 0.000 | 0.229 | 0.000 | 0.027 | 0.095 | 0.778 | 0.002 | 0.017 |
Pseudo R2/Adj. R2 | 0.474 | 0.400 | 0.374 | 0.468 | 0.194 | 0.264 | 0.516 | 0.618 | 0.390 |
N
| 311 | 283 | 283 | 336 | 237 | 127 | 185 | 405 | 262 |
Pred. prob. of DVA reporting (in %) | |||||||||
NegDVA = 0 | 74.1 | 70.8 | 63.1 | 72.8 | 35.9 | 2.9 | 19.8 | – | 32.1 |
NegDVA = 1 | 89.0 | 88.6 | 75.4 | 89.5 | 54.6 | 4.1 | 28.1 | – | 31.3 |
Incentive = 0 | 81.8 | 80.6 | 70.2 | 80.9 | 41.9 | 2.4 | 21.3 | – | 27.9 |
Incentive = 1 | 87.1 | 81.6 | 59.5 | 92.4 | 72.0 | 35.0 | 52.3 | – | 59.2 |
5 Financial press’ DVA reporting
5.1 Determinants of DVAs’ coverage by the financial press
Dependent variable | (1) | (2) | (3) | (4) |
---|---|---|---|---|
Coverage | Coverage | Coverage | Coverage | |
AbsDVA | 0.006*** (5.3601) | 0.004** (2.1711) | 0.006*** (5.3265) | 0.004** (1.9937) |
AbsDVA*NegDVA | − 0.005 (− 1.3089) | − 0.008*** (− 2.6205) | − 0.005 (− 1.3111) | − 0.009*** (− 3.5907) |
NegDVA | 0.012 (0.1499) | 0.197 (1.5101) | 0.017 (0.1829) | 0.222** (1.9621) |
AggInfo | 0.284** (2.3961) | 0.290*** (2.6574) | 0.245** (2.0113) | 0.538*** (3.2539) |
FirstPageMent | 1.026*** (2.8617) | 1.047** (2.2819) | 1.060*** (3.1639) | 0.815* (1.7644) |
Ment | 0.206 (0.2837) | − 1.425 (− 1.5589) | ||
AbsNI | − 0.002** (− 2.5168) | − 0.000 (− 0.4838) | − 0.002** (− 2.4921) | − 0.000 (− 0.8101) |
NegNI | − 0.402 (− 1.6367) | 0.188 (0.5204) | − 0.397* (− 1.7272) | 0.218 (0.5077) |
AbsNI*NegNI | 0.002*** (2.5890) | 0.001 (0.8681) | 0.002*** (2.5899) | 0.001 (1.3528) |
Pages | − 1.029* (− 1.8393) | 0.081 (0.1180) | − 1.030* (− 1.8997) | − 0.197 (− 0.2238) |
Quarter | 0.037*** (2.8304) | 0.015* (1.8716) | 0.036*** (2.8453) | 0.025** (2.2539) |
TA | 0.671*** (4.3716) | − 0.207 (− 0.1642) | 0.680*** (4.2277) | − 0.093 (− 0.0701) |
Constant | − 8.930*** (− 3.4419) | 1.127 (0.0638) | − 9.075*** (− 3.2000) | 0.424 (0.0230) |
Firm Indicators | No | Yes | No | Yes |
Chi-squared: AbsDVA+ AbsDVA*NegDVA | 0.684 | 0.124 | 0.693 | 0.038 |
Pseudo R2 | 0.556 | 0.434 | 0.556 | 0.445 |
N
| 405 | 188 | 405 | 188 |
Pred. prob. of DVA coverage (in %) | ||||
NegDVA = 0 | 2.7% | 34.3% | 2.6% | 35.3% |
NegDVA = 1 | 2.2% | 29.9% | 2.1% | 30.5% |
FirstPageMent = 0 | 1.2% | 22.1% | 1.1% | 24.9% |
FirstPageMent = 1 | 10.8% | 61.0% | 10.8% | 55.4% |
5.2 Determinants of new DVA information by the financial press
Mean | Std. Dev. | Min | Median | Max | N | |
---|---|---|---|---|---|---|
Panel A: descriptive statistics for article-firm-quarter observations | ||||||
NewInfo | 0.208 | 202 | ||||
AbsDVA | 75.433 | 79.270 | 0.343 | 38.691 | 308.359 | 202 |
NegDVA | 0.530 | 202 | ||||
AggInfo | 5.391 | 1.124 | 0 | 5 | 7 | 202 |
FirstPageMent | 0.713 | 202 | ||||
Pages | 2.702 | 0.338 | 2.079 | 2.639 | 3.332 | 202 |
Quarter | 19.738 | 6.917 | 3 | 21 | 32 | 202 |
TA | 14.154 | 0.475 | 13.347 | 14.448 | 14.723 | 202 |
N = 202 | NewInfo | AbsDVA | NegDVA | AggInfo | FirstPageMent | Pages | Quarter | TA |
---|---|---|---|---|---|---|---|---|
Panel B: Correlation coefficients for article-firm-quarter observations | ||||||||
NewInfo | 1 | |||||||
AbsDVA | − 0.041 | 1 | ||||||
NegDVA | − 0.079 | − 0.009 | 1 | |||||
AggInfo | − 0.461 |
0.219
|
0.187
| 1 | ||||
FirstPageMent | − 0.376 |
0.231
|
0.191
|
0.524
| 1 | |||
Pages | − 0.087 | 0.109 | 0.070 | 0.117 | − 0.127 | 1 | ||
Quarter | − 0.230 | − 0.291 | 0.112 |
0.144
|
0.395
|
0.169
| 1 | |
TA | − 0.059 | − 0.051 | − 0.138 |
0.156
| − 0.315 |
0.719
| − 0.035 | 1 |
Dependent variable | (1) | (2) | (3) | (4) |
---|---|---|---|---|
NewInfo | NewInfo | NewInfo | NewInfo | |
Panel C: determinants of DVA information enhancement by the financial press | ||||
AbsDVA | 0.001* (1.9516) | 0.001* (1.7403) | 0.002* (1.6707) | 0.003 (1.1660) |
AbsDVA*NegDVA | 0.000 (0.2539) | − 0.003*** (− 2.5994) | 0.002 (0.5980) | − 0.003* (− 1.8916) |
NegDVA | 0.101 (0.3435) | 0.324 (1.0802) | 0.421 (1.2665) | 0.779*** (2.9763) |
AggInfo | − 0.585*** (− 3.2326) | − 0.622** (− 2.4968) | − 1.048*** (− 3.0425) | − 1.182*** (− 3.1996) |
FirstPageMent | − 0.646* (− 1.6655) | − 0.540 (− 1.3691) | − 0.456 (− 0.5747) | − 1.944* (− 1.9045) |
Pages | − 0.287 (− 0.9257) | − 0.991* (− 1.8640) | − 0.303 (− 0.6640) | − 1.590* (− 1.6711) |
Quarter | − 0.020 (− 0.8118) | − 0.027 (− 1.2371) | 0.005 (0.1110) | 0.005 (0.0964) |
TA | − 0.251 (− 0.8738) | − 4.774*** (− 4.4718) | − 0.757 (− 1.0841) | − 8.607*** (− 4.1253) |
Constant | 7.126** (2.0386) | 70.440*** (4.8082) | 15.394* (1.7155) | 127.267*** (4.3299) |
Firm Indicators | No | Yes | No | Yes |
Chi-squared: AbsDVA+ AbsDVA*NegDVA | 0.372 | 0.416 | 0.181 | 0.835 |
Pseudo R2 | 0.259 | 0.313 | 0.379 | 0.460 |
N
| 202 | 198 | 146 | 144 |
Pred. prob. of add. DVA information (in %) | ||||
NegDVA = 0 | 13.6% | 12.3% | 5.4% | 1.3% |
NegDVA = 1 | 16.7% | 14.8% | 13.9% | 4.7% |