Do enhanced derivative disclosures work? An informational perspective

He, G.; Ren, H.M.; Taffler, R.

doi:10.1002/fut.22275

Do enhanced derivative disclosures work? An informational perspective

He, G.; Ren, H.M.; Taffler, R.

Authors

Dr Guanming He guanming.he@durham.ac.uk
Associate Professor

H.M. Ren

R. Taffler

Abstract

Firms use derivatives both for hedging and nonhedging purposes. The Statement of Financial Accounting Standards No. 161 (SFAS 161) requires firms to disclose the purposes of their derivatives usage, thereby helping investors to evaluate the effects of derivatives usage on firm performance. Using a hand-collected sample of US listed firms and a difference-in-differences research design, we find that, compared with nonderivative-users, derivative-users compliant with SFAS 161 experience a significantly greater reduction in stock illiquidity and the probability of informed trading in the post-SFAS 161 period, and such impact is evident only for firms with a high degree of investor attention.

Citation

He, G., Ren, H., & Taffler, R. (2022). Do enhanced derivative disclosures work? An informational perspective. Journal of Futures Markets, 42(1), 24-60. https://doi.org/10.1002/fut.22275

Journal Article Type	Article
Acceptance Date	Sep 12, 2021
Online Publication Date	Sep 28, 2021
Publication Date	2022-01
Deposit Date	Sep 12, 2021
Publicly Available Date	Sep 29, 2023
Journal	Journal of Futures Markets
Print ISSN	0270-7314
Publisher	Wiley
Peer Reviewed	Peer Reviewed
Volume	42
Issue	1
Pages	24-60
DOI	https://doi.org/10.1002/fut.22275
Public URL	https://durham-repository.worktribe.com/output/1250901

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Copyright Statement
This is the peer reviewed version of the following article: He, G., Ren, M.H. & Taffler, R. (2022). Do enhanced derivative disclosures work? An informational perspective. Journal of Futures Markets 42(1): 24-60., which has been published in final form at https://doi.org/10.1002/fut.22275. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.