Data for JRFM publication

Financial industries are the most important users of derivatives. Thus, derivative accounting should be of economic significance to bank holding companies. Moreover, bank holding companies are required by law to provide detailed information on derivative holdings in a uniform format through regulatory filing (Quarterly FR-Y9C reports filed with the Federal Reserve Bank). The sample used in this study covers bank holding companies during the period from 2001 through 2005. The sample period is restricted up to 2005 because the key variable in this study that captures the hedging derivatives’ impact on income was only included in the FR-Y9C reports during this period. Bank holding companies in my sample must meet the following criteria: (1) quarterly financial statement data are available through COMPUSTAT, (2) stock return data are available through CRSP, and (3) the bank holding company filed FR-Y9C reports with the Federal Reserve Bank during the sample period, (4) This selection procedure yields a final sample of 168 unique bank holding companies<br>金融行业是衍生品的核心应用领域。因此，衍生品会计对银行控股公司具有重要的经济意义。此外，法律强制要求银行控股公司以统一格式通过监管报备详细披露衍生品持仓信息，具体方式为向美联储（Federal Reserve Bank）提交季度FR-Y9C报告。本研究的样本覆盖2001年至2005年期间的银行控股公司，之所以将样本期间限定至2005年，是因为本研究用以衡量对冲衍生品对收益影响的核心变量，仅在该时期的FR-Y9C报告中收录。本研究的样本银行控股公司需满足以下四项标准：(1) 可通过COMPUSTAT数据库获取其季度财务报表数据；(2) 可通过CRSP数据库获取其股票收益数据；(3) 在样本期间内向美联储提交了FR-Y9C报告。最终通过上述筛选流程，得到168家独立银行控股公司作为有效研究样本。