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（derivatives）最核心的应用主体，因此衍生品会计处理对银行控股公司（bank holding companies）而言具有重要的经济意义。此外，法律要求银行控股公司以统一格式通过监管报备披露其衍生品持仓的详细信息，具体报备方式为向美国联邦储备银行（Federal Reserve Bank）提交季度FR-Y9C报表。
本研究的样本涵盖2001年至2005年期间的银行控股公司。本研究将样本期间限定至2005年，原因在于本研究中用于衡量套期保值衍生品对收益影响的核心变量，仅在该时期的FR-Y9C报表中有所收录。
本研究的样本银行控股公司需满足以下标准：(1) 可通过COMPUSTAT数据库获取季度财务报表数据；(2) 可通过CRSP数据库获取股票收益数据；(3) 在样本期间内向美国联邦储备银行提交FR-Y9C报表；(4) 经上述筛选流程，最终得到168家独立银行控股公司作为有效样本。