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