This study examines the economic implications of fair value liability gains and losses arising from the adoption of Statement of Financial Accounting Standards No. 159 (hereafter, FAS 159). We find a positive correspondence between a firm’s FAS 159 fair value liability gains and losses and current period stock returns, consistent with the notion that these gains and losses are priced by equity investors. However, further analysis indicates that fair value gains and losses from liabilities have a statistically significant negative association with future returns, suggesting that investors misprice this earnings component and subsequently correct the mispricing. We also find that the negative association for fair value gains is stronger for firms with lower levels of institutional ownership.

本研究考察了因采用财务会计准则第 159 号（以下简称 FAS 159）而产生的公允价值负债收益和损失的经济影响。我们发现公司的 FAS 159 公允价值负债收益和损失与当期股票收益之间存在正对应关系，这与这些收益和损失由股权投资者定价的概念一致。然而，进一步的分析表明，负债的公允价值收益和损失与未来回报在统计上存在显着的负相关，这表明投资者错误定价了这一收益部分，随后纠正了错误定价。我们还发现，对于机构所有权水平较低的公司，公允价值收益的负相关性更强。