Relevancia de la información sobre el valor razonable en las entidades de crédito españolas
Relevance of Fair Value Disclosures in Spanish Credit Institutions
Resumen
Las entidades de crédito cotizadas españolas han venido aplicado las NIIF desde el ejercicio 2005. La implementación de las NIIF conllevó la aplicación del modelo de valor razonable para más instrumentos financieros y, además, el desglose de la diferencia entre el valor razonable y el valor en libros de los instrumentos financieros no valorados a valor razonable en el balance.
Siguiendo la literatura denominada value relevance y aplicando un modelo de Ohlson, hemos analizado si los desgloses de valor razonable contribuyen a explicar la diferencia entre el valor contable y el cotizado del patrimonio neto de las entidades de la muestra. Hemos modelizado varias variables con relación al posible fondo de comercio de las entidades, con el objetivo de mejorar el poder de explicación del modelo. Nuestro trabajo es el primero que se enfoca exclusivamente en entidades de crédito cotizadas españolas y en un amplio período de tiempo que incluye épocas pre-crisis, épocas de crisis y post-crisis (2004 a 2019). Los resultados muestran que, en general (y, a diferencia de las conclusiones de otros estudios previos para otras muestras) los desgloses de valor razonable no son relevantes para los inversores. Hay varias posibles explicaciones para este resultado, relacionadas con las características de las entidades de crédito españolas y los años a los que se refiere la muestra. Por otro lado, el tamaño de la entidad tiene un impacto estadístico significativo en la relevancia de los factores explicativos del fondo de comercio.
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