We hand-collect SFAS 157 voluntary fair value disclosures of 18 bank holding companies. The SEC's Division of Corporate Finance likely targeted these entities in 2008 through their “Dear CFO” letters in which they requested specific, additional disclosure items. We collect disclosures that match the SEC recommendations and create eight common factor disclosure variables to examine the effect of such disclosures on information asymmetry. We find that disclosure variables about the use of broker quotes or prices from pricing services and the use of market indices and illiquidity adjustments are related to lower information asymmetry. However, disclosure variables about valuation techniques and asset-backed securities are related to greater information asymmetry. We also document that disclosure complexity, and disclosure tone (uncertainty and litigious) is related to greater information asymmetry. These findings are consistent with criticism that corporate disclosures are voluminous; management may obfuscate unfavorable information which in turn increases market participants’ assessment of uncertainty associated with the fair value measures. We caveat that the setting of the financial crisis and a small sample size may limit the ability to generalize these inferences to other time periods or other financial firms.

中文翻译：

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2007 年金融危机期间银行控股公司的信息不对称和自愿性 SFAS 157 公允价值披露

我们手工收集了 18 家银行控股公司的 SFAS 157 自愿公允价值披露。2008 年，美国证券交易委员会的企业融资部可能通过“尊敬的首席财务官”信函将这些实体作为目标，他们在信中要求具体的额外披露项目。我们收集符合 SEC 建议的披露，并创建八个共同因素披露变量来检查此类披露对信息不对称的影响。我们发现，关于使用经纪人报价或定价服务的价格以及使用市场指数和非流动性调整的披露变量与较低的信息不对称有关。然而，关于估值技术和资产支持证券的披露变量与更大的信息不对称有关。我们还记录了披露的复杂性，和披露基调（不确定性和诉讼）与更大的信息不对称有关。这些发现与对公司信息披露过多的批评是一致的。管理层可能会混淆不利信息，从而增加市场参与者对与公允价值计量相关的不确定性的评估。我们警告说，金融危机的背景和小样本量可能会限制将这些推论推广到其他时间段或其他金融公司的能力。