This paper examines whether and how the level of exposure to fair value accounting moderates the changes in the value relevance of equity book value and net income during a crisis period. Using a sample of European listed financial firms over 2005–2011, our analysis confirms prior literature that the value relevance of book value of equity increases, while that of net income decreases during the financial crisis. More importantly, our findings offer robust support for the hypothesis that the impact of the crisis is less pronounced for firms whose financial statements are more exposed to fair value accounting. This evidence can be explained by the increased valuation weight placed by investors on the book value of equity relative to net income for firms with more exposure to fair value in the pre-crisis period.

中文翻译：

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危机期间欧洲金融公司的公允价值会计和股权账面价值和净收入的价值相关性

本文研究了在危机期间，公允价值会计的敞口是否以及如何调节权益账面价值和净收入的价值相关性的变化。使用 2005-2011 年欧洲上市金融公司的样本，我们的分析证实了先前的文献，即在金融危机期间股权账面价值的价值相关性增加，而净收入的价值相关性下降。更重要的是，我们的研究结果为以下假设提供了强有力的支持，即危机的影响对于财务报表更容易受到公允价值会计影响的公司而言并不明显。这一证据可以解释为，对于危机前时期公允价值风险敞口较大的公司，投资者对股权账面价值相对于净收入的估值权重有所增加。