Финансы: теория и практика, 2018, № 2

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DOI: 10.26794/2587-5671

Том 22, № 2, 2018

Vol. 22, nо. 2, 2018

ISSN 2587-5671 (Print)
ISSN 2587-7089 (Online)

ФИНАНСЫ: ТЕОРИЯ И ПРАКТИКА / FINANCE: THEORY AND PRACTICE   Т. 22,  № 2’2018
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СОРОКИН Д.Е., доктор экономических наук, профессор, научный руководитель Финансового 
университета, член-корреспондент РАН, Финансовый университет, Москва, Россия

ЧЛЕНЫ РЕДАКЦИОННОЙ КОЛЛЕГИИ

АРТЮХИН Р.Е., кандидат юридических наук, 
руководитель Федерального казначейства России, 
Москва, Россия
БОГОЯВЛЕНСКИЙ В.И., доктор технических наук, 
член-корреспондент РАН, заместитель директора 
Института нефти и газа РАН, Москва, Россия
БОДРУНОВ С.Д., директор Института  
нового индустриального развития им. С. Ю. Витте, 
президент Вольного экономического общества 
России, первый вице-президент СанктПетербургского Союза промышленников 
и предпринимателей, доктор экономических наук, 
профессор, эксперт Российской академии наук, 
Санкт-Петербург, Россия
ГОСПОДАРОВИЧ А.Ю., доктор экономических 
наук, профессор кафедры банковского дела, 
Вроцлавский экономический университет, Вроцлав, 
Польша
ГОЛОВНИН М.Ю., доктор экономических наук, 
член-корреспондент РАН, первый заместитель 
директора Института экономики РАН, Москва, Россия
ЖУКОВСКИ М., доктор экономических наук, 
директор Института экономики и управления, 
Люблинский католический университет, Люблин, 
Польша
КРЮКОВ В.А., доктор экономических наук, 
профессор, член-корреспондент РАН, директор 
Института организации промышленного 
производства, СО РАН, г. Новосибирск, Россия
ЛИ СИНЬ, директор Центра России и Центральной 
Азии, Шанхайская академия международных 
исследований, Шанхай, Китай
ЛУКАСЕВИЧ И.Я., доктор экономических 
наук, профессор Департамента корпоративного 
управления, Финансовый университет, Москва, 
Россия

МУЛИНО А.В., профессор финансовой экономики 
и руководитель Департамента финансов, 
Бирмингемский университет, Бирмингем, 
Великобритания
ПАПАВА В.Г., академик Национальной 
академии наук Грузии, профессор 
Тбилисского государственного университета 
им. И. Джавахишвили, Тбилиси, Грузия
ПФЛУГ Г., декан экономического факультета, 
Венский университет, Вена, Австрия
РУБЦОВ Б.Б., доктор экономических наук, 
профессор Департамента финансовых рынков 
и банков, Финансовый университет, Москва, Россия
РУЧКИНА Г.Ф., доктор юридических наук, 
руководитель Департамента регулирования 
экономической деятельности, Финансовый 
университет, Москва, Россия
САНДОЯН Э.М., доктор экономических 
наук, директор Института экономических 
и финансовых исследований, Российско-Армянский 
государственный университет, Ереван, Армения
ФЕДОТОВА М.А., доктор экономических 
наук, профессор, руководитель Департамента 
корпоративных финансов, Финансовый университет, 
Москва, Россия
ХАН С.М., профессор Департамента экономики, 
Блумсбергский университет, Блумсберг, США
ХУММЕЛЬ Д., доктор экономических наук, 
профессор, Университет Потсдама, Германия
ЦВЕТКОВ В.А., доктор экономических наук, членкорреспондент РАН, директор ИПР РАН, Москва, 
Россия
ЦЫГАЛОВ Ю.М., доктор экономических наук, 
профессор Департамента корпоративных финансов 
и корпоративного управления, Финансовый 
университет, Москва, Россия

ГЛАВНЫЙ РЕДАКТОР

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of the Federal Treasury of Russia, Moscow, Russia
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of Financial Markets and Banks, Financial university, 
Moscow, Russia
RUChKINa G.f., Dr. Sci. (Law), Financial university, 
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Activity, Moscow, Russia
SaNDOYaN E.M., Dr. Sci. (Econ.), Director of the 
Institute of Economic and Financial Studies of the 
Russian-Armenian State university, Yerevan, Armenia
fEDOtOVa M.a., Dr. Sci. (Econ.), Professor, Financial 
university, Head of Corporate Finance Department, 
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KhaN S.M., the head of the Department of Economics 
Bloomsburg university of Pennsylvania, Bloomsburg, 
uSA
hUMMEl D., Dr. Sci. (Econ.), Professor, the university 
of Potsdam, Potsdam, Germany
tSVEtKOV V.a., Dr. Sci. (Econ.), Corresponding 
Member of the Russian Academy of Sciences, Director 
of Market Economy Institute of Russian Academy 
of Sciences, Moscow, Russia
tSYGalOV YU.M., Dr. Sci. (Econ.), Professor, Corporate 
Finance and Corporate Governance Department, 
Financial university, Moscow, Russia

ChIEf EDItOR

ФИНАНСЫ: ТЕОРИЯ И ПРАКТИКА / FINANCE: THEORY AND PRACTICE   Т. 22,  № 2’2018
4

ФИНАНСОВЫЕ РЫНКИ И БАНКИ

Bolibok P. M.
The Impact of the Market Cycle on the Value Relevance of Book Values 
and Earnings in the Banking Industry: An Evidence from Poland . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6

Биджоян Д. С.
Модель оценки вероятности отзыва лицензии у российского банка . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26

ФИНАНСОВЫЙ МОНИТОРИНГ

Ершов М. В., Татузов В. Ю., Танасова А. С.
Итоги 2017 года: некоторые тенденции в динамике ряда мировых  
и российских финансовых индикаторов. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 38

МЕЖДУНАРОДНАЯ МИГРАЦИЯ И ФИНАНСЫ

Масленников В. В., Линников А. С., Масленников О. В.
Оценка потерь российской экономики от миграции населения в другие страны. . . . . . . . . . . . . . . . . . . . . . . . . 54

МАТЕМАТИЧЕСКИЕ И ИНСТРУМЕНТАЛЬНЫЕ МЕТОДЫ ИССЛЕДОВАНИЯ ЭКОНОМИКИ

Крылов Г. О., Лисицын А.Ю., Поляков Л. И.
Сравнительный анализ волатильности криптовалют и фиатных денег . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 66

ЭКОНОМИКА СОЦИАЛЬНОЙ СФЕРЫ

Соловьев А. К.
Проблемы оценки эффективности индивидуально-накопительной модели  
пенсионного страхования . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90

СТРАХОВАНИЕ

Котлобовский И. Б., Буданова М. М., Лукаш Е. Н.
Потенциал развития региональных программ параметрического страхования в России. . . . . . . . . . . . . . . . . 106

ЦЕНООБРАЗОВАНИЕ

Чернов В. А.
Противоречивость рыночных законов в изменении цен и ценообразующий аттрактор. . . . . . . . . . . . . . . . . . 124

ФИНАНСОВАЯ СИСТЕМА

Шепелин Г. И.
Эволюционная модель целостной финансовой системы.  
Принципы математического моделирования . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 134

ФИНАНСЫ И КРЕДИТ

Тихонова А. В.
«Фондовое» кредитование как эффективный инструмент  
государственной поддержки аграриев . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 148

ПУБЛИКАЦИИ МОЛОДЫХ УЧЕНЫХ

Миголь Е. В.
Концепция совместного создания ценности и трансформация бизнес-модели:  
особенности компаний, отличных по типу производства и экономического взаимодействия . . . . . . . . . . . . 160

С О Д Е Р Ж А Н И Е

FINANCETP.FA.Ru
5

СОДЕРЖАНИЕ

C O N t E N t S

fINaNCIal MaRKEtS aND baNKS
Bolibok P. M.
The Impact of the Market Cycle on the Value Relevance of Book Values  
and Earnings in the Banking Industry: An Evidence from Poland . . . . . . . . . . . . . . . 6

Bidzhoyan D. S. 
Model for Assessing the Probability of Revocation  
of a License from the Russian Bank . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .26

fINaNCIal MONItORING
Ershov M. V. , Tatuzov V. Yu. , Tanasova A. S.
Results of 2017: Some Trends in the Dynamics  
of the World and Russian Financial Indicators. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .38

INtERNatIONal MIGRatION aND fINaNCE
Maslennikov V. V., Linnikov A. S., Maslennikov O. V.
The Estimation of Losses of the Russian Economy  
from Population Migration to Other Countries. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .54

MathEMatICal aND INStRUMENtal MEthODS  
Of ECONOMIC RESEaRChS
Krylov G. O., Lisitsyn A. Yu., Polyakov L. I.
Comparative Analysis of Volatility of Cryptocurrencies and Fiat Money . . . . . . . .66

ECONOMICS Of SOCIal SPhERE
Solov’ev A. K.
The Problems of Assessing the Effectiveness  
of the Individual-Accrual Model of Pension Insurance . . . . . . . . . . . . . . . . . . . . . . .90

INSURaNCE
Kotlobovskii I. B., Budanova M. M., Lukash E. N.
Development Potential of Regional Parametric 
Insurance Programs in Russia . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .106

PRICING
Chernov V. A.
Inconsistency of Market Laws in Price Changes and Price-forming Attractor. . .124

fINaNCIal SYStEM
Shepelin G. I.
An Evolutionary Model of a Holistic Financial System.  
Principles of Mathematical Modeling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .134

fINaNCE aND CREDIt
Tikhonova A. V.
“Fund” Lending as an Effective Tool of State Support for Farmers. . . . . . . . . . . .148

PUblICatIONS Of YOUNG SCIENtIStS
Migol’ E. V.
The Concept of Joint Value Creation and Transformation  
of the Business Model: Peculiar Properties of Companies Different 
in the Type of Production and Economic Interaction . . . . . . . . . . . . . . . . . . . . . . .160

ФИНАНСЫ: ТЕОРИЯ 
И ПРАКТИКА / 
fINaNCE: thEORY 
aND PRaCtICE
Научно-практический журнал
Том 22, № 2, 2018

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ФИНАНСЫ: ТЕОРИЯ И ПРАКТИКА / FINANCE: THEORY AND PRACTICE   Т. 22,  № 2’2018
6

DOI: 10.26794/2587-5671-2018-22-2-6-25
УДК 657.9292:336.71(045)
JEL E32, G14, G21, M41
the Impact of the Market Cycle  
on the Value Relevance  
of book Values and Earnings  
in the banking Industry:  
an Evidence from Poland

P. M. Bolibok,
The John Paul II  
Catholic university of Lublin,  
Poland
https://orcid.org/0000-0002-5649-181X

abStRaCt
The paper aims at the empirical investigation of the impact of the market cycle on the value relevance of 
book values and earnings in the banking industry. unlike most prior studies, the paper directly examines the 
influence of cyclical fluctuations in investors’ sentiments on the informativeness of these key accounting 
variables. Moreover, the study enhances the literature on the value relevance of banks’ financial reporting by 
providing an empirical evidence from the emerging capital market of Poland. The examined sample covers 
all domestically-based commercial banks listed on the Warsaw Stock Exchange over the period 1997–2016. 
The empirical evidence based on the analyses of parametric and non-parametric correlation and regression 
indicates a significant impact of the market cycle on the value relevance of book values which markedly 
increases (decreases) in the periods of bull (bear) market. In contrast, the informativeness of earnings seems 
to be driven primarily by factors other than investors’ sentiments. The results of the research indicate that 
the course of the market cycle is partially driving the fluctuations of the value relevance of book values 
of equity and net earnings in the Polish banking industry. There is a need for further investigation of the 
impact of market cycles on the value relevance of accounting data, not only in the context of the banking 
sector.
Keywords: Market cycle; value relevance; accounting information; banks, book values; earnings

For citation: Bolibok P. M. The Impact of the Market Cycle on the Value Relevance of Book Values and Earnings in the Banking Industry: 
An Evidence from Poland. Finansy: teoriya i praktika = Finance: Theory and Practice. 2018;22(2):6-25. DOI: 10.26794/2587-5671-201822-2-6-25

ФИНАНСОВЫЕ РЫНКИ И БАНКИ

FINANCETP.FA.Ru
7

DOI: 10.26794/2587-5671-2018-22-2-6-25
УДК 657.9292:336.71(045)
JEL E32, G14, G21, M41
Влияние рыночного цикла 
на значимость балансовой стоимости 
и доходов в банковской индустрии 
Польши

П.М. Болибок,
Люблинский католический университет имени Иоанна Павла II,
Люблин, Польша
https://orcid.org/0000-0002-5649-181X

АННОТАЦИЯ
Цель статьи —  эмпирическое исследование влияния рыночного цикла на актуальную стоимость балансовых 
активов и доходов в банковской отрасли. В отличие от большинства предыдущих исследований, в статье непосредственно рассматривается влияние циклических колебаний настроений инвесторов на информативность 
этих ключевых переменных учета. Кроме того, исследование дополняет литературу, касающуюся проблематики стоимостной оценки финансовой отчетности банков, предоставляя эмпирические данные с формирующегося рынка капитала в Польше. Исследуемая выборка охватывает все отечественные коммерческие банки, 
котирующиеся на Варшавской фондовой бирже в период 1997–2016 гг. Эмпирические данные, основанные 
на анализе параметрической и непараметрической корреляции и регрессии, свидетельствуют о значительном 
влиянии рыночного цикла на стоимостную оценку балансовых значений, которая заметно возрастает (уменьшается) в периоды «бычьего» («медвежьего») состояния рынка ценных бумаг. В отличие от этого, информативность доходов, как представляется, определяется, главным образом, факторами, отличными от настроений 
инвесторов. Результаты исследования показывают, что течение рыночного цикла частично приводит к колебаниям актуальной балансовой стоимости собственного капитала и чистой прибыли в польской банковской 
отрасли. Однако необходимо продолжить изучение влияния рыночных циклов на ценностную оценку данных 
бухгалтерского учета, причем не только по отношению к банковскому сектору.
Ключевые слова: рыночный цикл; оценка стоимости; бухгалтерская информация; банки; балансовая стоимость; прибыль

Для цитирования: Болибок П. М. Влияние рыночного цикла на значимость балансовой стоимости и доходов в банковской индустрии Польши. 
Финансы: теория и практика. 2018;22(2):6-25. DOI: 10.26794/2587-5671-2018-22-2-6-25

P. M. Bolibok

1. INtRODUCtION
The informational content of financial reports undoubtedly plays a key role in the valuation of listed companies 
and subsequent decisions of equity investors [1]. Since 
a seminal study by Ball and Brown [2] the international 
literature exploring the relationship between reported 
accounting data and market values has become abundant. 
Despite a large body of literature regarding the issue of 
value relevance of accounting data, most studies exclude 
banks from the examined samples.
The specificity of banking operations and their recognition in accounting ledgers allows, however, to expect a 
relatively high degree of coherence between the reported 

view of banks’ financial position with its perception 
by the equity investors, in particular due to valuation 
of the vast majority of banks’ assets and liabilities at 
amortized cost or at fair value estimates. A high share 
of financial assets and liabilities also makes banks less 
subject to conservative accounting with respect to their 
on-balance-sheet items which creates a favourable context for investigation of the value relevance of accounting data. Moreover, banks’ stocks are usually among the 
most liquid securities in a given market, which gives a 
rationale for expecting an increased market efficiency 
in response to the available information. Additionally, 
a high degree of homogeneity in the banks’ operations 

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significantly reduces cross-sectional variation in factors 
that might affect estimates of regression models used 
for investigation of associations between accounting 
items and market values [3].
The association-based studies typically examine 
relatively long periods of time [49] during which the 
overall market sentiments may vary significantly. Given 
an increased volatility of stock prices in recent decades, 
an interesting research question is, therefore, whether 
the course of the market cycle affects the investors’ perception of disclosed accounting information.
In the times of bull market, investors may easily become overoptimistic about companies’ expected future 
performance, which is likely to drive the stock prices 
above their intrinsic values estimated on the basis of 
reported accounting information. In contrast, during 
the periods of adverse macroeconomic conditions and 
increased risk aversion the effects might be exactly opposite, as prevailing negative sentiments and emotional 
reactions of investors may bring stock prices significantly 
below the fundamental values.
This issue seems particularly worth examining in 
relation to the fundamental and most comprehensive 
measures of listed companies’ overall financial position 
and performance, i. e. book values of equity and earnings. 
Book values are often viewed as proxies for company’s 
abandonment or liquidation value [4], whereas an analysis of the quality and persistence of historical earnings 
allows to assess the company’s past performance and 
thus to formulate or revise the expectations about the 
future cash flows [5] 1. Earnings conservatism and persistence, in turn, forecasts of future cash flows influence 
the expected future dividend paying capacity that ultimately determines the market value of company’s shares 
[6]. Furthermore, the available international empirical 
evidence suggests that in the context of banking sector 
each of these variables seems highly value-relevant 
(see e. g., 7–9).
During the last decades stock markets all over the 
world experienced several strong and rapid shifts of 
investor sentiments. Therefore, an increased volatility 
of stock prices is likely to be only partially driven by the 
changes in the underlying fundamental factors, with the 
remainder largely attributable to the emotional reactions 
of the equity investors. A particularly deep negative 

1 The empirical evidence suggests that earnings persistence 
in the banking industry seems to be partially dependent on 
the relative size of book value of equity. According to AmorTapia, Bona-Sánchez, Pérez-Alemán, & Tascón-Fendández 
[10] the level of Tier 1 capital is negatively related to earnings 
conservatism, since earnings increases become more persistent 
and earnings reversals following earnings declines tend to be 
higher as Tier 1 decreases.

impact on investors’ sentiments in recent years was 
caused by the global financial crisis started in the U.S. 
subprime mortgage market. The crisis not only brought 
a serious and prolonged contraction of economic activity in both developed and emerging economies around 
the world but also significantly increased investors’ risk 
aversion and changed their perception of the available 
value-relevant accounting information.
The banking sector is, in fact, the one where the 
crisis actually began and exerted the most explicit impact. Initially, banks in many countries suffered severe 
losses on their portfolios of financial assets exposed to 
the U.S. subprime mortgage market risks. Afterward, a 
spreading recession led to the deterioration of the quality 
of their loan portfolios, while increasing risk aversion 
constrained the opportunities for further growth. The 
results of these adverse conditions were subsequently 
recognized in banks’ accounting ledgers, affecting both 
earnings, book values, and ultimately the market values.
A relatively conservative model of banking activity 
and a negligible exposure to the U.S. subprime market 
risks allowed the Polish banking industry to avoid the 
direct impact of the first stage of the global crisis. Additionally, high profitability and strong capital adequacy 
offered a decent protective cushion against adverse 
shocks from the global environment. Initially, the crisis 
caused a significant, however transitory, surge in risk 
aversion and a decrease of liquidity in the interbank 
money and FX markets. The major long-run impact of 
the crisis on the Polish banking sector resulted, in turn, 
from the economic downturn that damaged the creditworthiness of borrowers and deteriorated the quality 
of banks’ loan portfolios [11].
Naturally, recognition of changes in the creditworthiness of borrowers in banks’ accounting ledgers is not 
immediate, but affects the levels of impairment provisions and ultimately earnings and book values with a 
considerable lag. Moreover, during the periods of adverse 
macroeconomic conditions the volatility of earnings and 
the share of their transitory components significantly 
increase [12], which in addition to often erratic movements in stock prices weakens the association between 
banks’ earnings and market values.
Given the above intuition, the paper aims at investigating the impact of the market cycle, and in particular 
the periods of economic downturns, on the value relevance of book values of equity and earnings reported 
by banks in the context of the Polish capital market. To 
author’s knowledge, this issue has not been yet directly 
examined empirically, therefore the present study attempts to fill this apparent gap and enhance the existing 
value relevance literature regarding the banking industry 
in the emerging markets.

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The remainder of the paper is organized into six 
sections. The next section provides a review of the 
international literature on the value relevance of accounting information in the banking industry and the 
impact of market cycles on the relationship between 
banks’ financial reporting and market value. Section 3 
provides a brief overview of the Polish capital market. 
The details of methodological framework of the paper 
and data selection procedures are described in section 
4. The fifth section presents the key empirical findings 
of the study. The paper is closed with discussion and 
conclusions, including some suggestions on the directions of future research.

2. lItERatURE REVIEW
2.1. Value relevance of accounting variables in the 
banking industry
The majority of empirical evidence on value relevance 
of accounting data in the banking sector regards fair 
value disclosures of debt and equity securities (see e. g., 
[13–18]), bank loans (see e. g., [16, 17, 19, 20]), and derivatives (see e. g., [14, 16, 17, 21, 22]).
The literature referring directly to the value relevance 
of banks’ book values and earnings seems relatively 
modest. A pioneering study by Philips and Mayne [23] 
demonstrates a strong association between discounted 
banks’ stock values and operating earnings per assets, 
and a weaker, but not negligible, relation with nonoperating earnings components (realized and unrealized 
security gains and losses).
The majority of early studies on the value relevance 
of the components of banks’ earnings focused on impairment provisions. Although intuitively these items 
should be valued negatively by the equity investors, the 
results of several studies suggest an exactly opposite 
effect. According to Wahlen [24], impairment provisions consist of discretionary and non-discretionary 
components. The discretionary component is subject to 
bank managers’ manipulation and dependent on their 
motivation, whereas the non-discretionary one is an 
outcome of objective events lying beyond management’s 
control resulting mostly from exposure to the default risk. 
Bank managers might use the discretionary component 
to convey positive signals about the future cash flow 
prospects which, in turn, leads to its positive relationship 
with banks’ market value. Although some studies provide 
evidence supporting the signaling hypothesis (e. g., [25]), 
the results of others are undermining it [26–28].
A study by Ryan, Tucker, and Zarowin [29] investigating the value relevance of banks’ trading operations 
demonstrates that stock returns in the banking industry 
are more positively associated with the trading revenue 
(operating) component than with the principal cash 

flow (non-operating) component of those operations. 
Implying, therefore, a hybrid nature of such operations 
that is not fully captured by a standard cash flow statement framework. In turn, Hodder, Hopkins, and Wahlen 
[30] argue that incremental volatility in full-fair-value 
income (a constructed measure of income that includes 
unrealized fair-value gains or losses on financial instruments) beyond the volatility in net earnings and comprehensive income, negatively moderates the relation 
between abnormal earnings and banks’ share prices, and 
positively affects the expected return implicit in bank 
share prices. Full-fair-value volatility seems to reflect, 
therefore, elements of risk that are not captured by the 
variance in net earnings or comprehensive income, and 
as such appears to be more closely related to capitalmarket pricing of banks’ risk.
The value relevance of banks earnings with respect to 
banks’ risk is also investigated in the studies by Cheng 
and Ariff [31], Cheng and Annuar [32], and Soh, Cheng, 
and Annuar [33]. They demonstrate that market value 
response to changes in earnings is determined by bank 
risk factors, resulting in particular from the credit and 
interest rate risk. Interestingly, Cheng and Ariff [31] 
report a better fit of regression between abnormal returns on bank stocks and earnings change factor than 
in the case of studies on the earnings-to-price relation 
in non-bank industries.
Kohlbeck and Warfield [3] find a significant positive 
association between the levels of bank unrecorded intangible assets and abnormal earnings in residual income 
model framework. They also report that this association 
becomes stronger for banks with higher proportions of 
deposit intangibles. Moreover, the pricing multiples for 
abnormal earnings increase from lower to higher levels 
of unrecorded intangible assets.
A study by Abuzayed, Molyneux, and Al-Fayoumi 
[34] addresses the problem of the information content 
of earnings and their components. Their results suggest that both earnings and their components are value 
relevant and can explain the gap between market and 
book values of banks. Additionally, the components of 
net earnings seem more value relevant than their aggregate numbers.
Another attempt to investigate the value relevance 
of banks’ earnings components was made by Siam and 
Rashid [35]. The results of their analyses are, however, 
ambiguous. On the one hand, they report a significant 
relationship between the market price of equity and 
earnings components deflated by market capitalization. 
By contrast, the same variables deflated by the book value 
of equity reveal no statistical significance and a very low 
explanatory power. In turn, Al-Horani [36] examines 
the differences in the value relevance of earnings com
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10

ponents from traditional and non-traditional banking 
activities, finding that for small banks annual abnormal 
returns have a positive relationship with changes in the 
non-interest component of earnings and a negative 
relationship with changes in their traditional interest 
component. In contrast, annual abnormal returns for 
large banks have a negative relationship with changes 
in the non-interest component of earnings.
Dimitropoulos, Asteriou, and Koumanakos [37] argue 
that earnings levels and changes are able to explain 
more of the cross-sectional variation of bank stock returns than the level and change of cash flows, which 
supports the claim that earnings have incremental information beyond that of cash flows. In the presence of 
transitory earnings, however, cash flows become more 
value relevant than earnings. According to Tjhoa and 
Hermawan [38], however, the relative value relevance 
of earnings and cash flows in the banking sector might 
depend on contextual factors specific for the particular 
market setting.
Some further evidence supporting the value relevance 
of banks’ financial reporting can also be found in the 
context of the emerging capital market of Poland. Using the approach based on the modified version of the 
Ohlson [39] residual income valuation model Bolibok 
[40] demonstrates that book values of equity and perpetuities of residual incomes calculated on the basis of 
net earnings are highly-value relevant. Moreover, the 
market value of listed banks in Poland appears to be most 
strongly related to book values of equity followed by net 
earnings. In contrast, banks’ cash flows do not provide 
any significant incremental explanatory power beyond 
that conveyed by book values of equity and net earnings 
[9], which seems consistent with the results obtained in 
the developed capital markets (see e. g., [41]).
Several recent studies examining the banking industry addressed the issue of the impact of different 
accounting standards on the value relevance of book 
values of equity and earnings. Their results are, however, ambiguous. Escaffre and Sefsaf [7] examined this 
issue in the U.S. and some selected European markets 
(Belgium, Netherlands, Luxembourg, France, Spain and 
Great Britain). Their results suggest that book values 
of equity and earnings are more value-relevant in the 
European markets reporting under IFRS than in the 
American market under U.S. GAAP. Additionally, the 
study by Agostino, Drago, and Silipo [42] conducted on 
the sample of listed banks from 15 EU countries demonstrates that implementation of IFRS enhanced the 
information content of both book values and earnings 
for more transparent banks, but the less transparent 
ones did not experience any significant increase in the 
value relevance of book value.

The results of an extensive investigation by 
Anandarajan et al [8] examining banking institutions 
from 38 countries over the period 1993–2004 indicate 
that at the macro-level the value relevance of earnings 
and book values of equity is affected by the disclosure 
requirements of a country’s standards boards (the greater 
disclosure of financial information required, the higher 
value relevance). They also found that the value relevance 
increases when the local environment is more focused 
on the private sector and the legal environment is more 
friendly to shareholders. Contrary to the findings of 
Escaffre and Sefsaf [7] they claim, however, that British 
American banks are more value relevant as they operate 
in regulatory regimes associated with greater levels of 
transparency.
The impact of IFRS adoption on the value relevance 
of banks’ book values of equity and earnings in Poland 
was investigated by Bolibok [43, 44]. His results suggest 
that mandatory adoption of IFRS did not improve the 
value relevance of these accounting variables, which 
seems consistent with the evidence for the non-financial 
sector in that setting [45, 46].
Even though the aforementioned studies conducted 
in the banking industry typically examine multi-year 
periods they usually neglect a potential impact of the 
market cycle on the observed value relevance of accounting variables. In turn, the studies aimed at the 
exploration of this impact, rarely offer explicit evidence 
for the banking industry.

2.2. The impact of the market cycle on the value 
relevance of accounting variables
Changing macroeconomic conditions undoubtedly affect 
the equity investors’ perception of business opportunities and risk. During expansions, as the overall financial 
position of enterprises improves, investors might become 
overoptimistic in their expectations of the companies’ 
future performance and the persistence of reported 
earnings. They are also more likely to underestimate 
the riskiness of future cash flows. These tendencies 
could, in turn, result in positively-biased estimates of 
stocks’ intrinsic values made on the basis of reported 
accounting data. In contrast, the periods of economic 
downturns elevate the riskiness of business activity and 
worsen the overall performance of enterprises, increasing the number of them reporting losses. Moreover, a 
transitory nature of recessions tends to increase the 
share of non-recurring components of earnings, which 
in turn makes them less useful for financial forecasts 
and valuation purposes. It is not surprising then, that a 
considerable body of literature demonstrates a negative 
impact of economic downturns on the value relevance 
of reported earnings (see e. g., [47–49]).

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FINANCETP.FA.Ru
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Davis-Friday and Gordon [50] provide an evidence of 
a negative impact of the 1994 Mexican currency crisis 
on the value relevance of accounting data. They argue 
that during the crisis an increased frequency of losses 
contributed to declines in both valuation coefficient and 
incremental explanatory power of earnings. On the other 
hand, however, they did not find any significant change 
in the valuation coefficient on book values of equity, even 
though their incremental explanatory power increased.
Several studies investigated the impact of Asian financial crisis of 1997 on the value relevance of accounting data. The findings of Graham, King, and Bailes [51] 
indicate that the recession following the depreciation of 
Thai currency deteriorated the total value relevance of 
book values and earnings in Thailand. In the post-crisis 
period, however, the incremental explanatory power of 
book values over earnings increased, while that of earnings over book values decreased, mostly due to the high 
volatility of foreign exchange gains and losses. In turn, 
a study by Ho, Liu, and Sohn [52] demonstrated that in 
South Korea the crisis caused a significant drop in the 
value relevance of earnings which, however, was not 
compensated by the increasing value relevance of book 
values. A comparative study by Eng, Nabar, and Chng 
[53] investigated the effects of the Asian crisis on the 
markets of Hong Kong, Malaysia, Singapore, and Thailand 
revealing a positive association between earnings and 
future excess stock returns in the periods before and 
after the crisis, which suggests that investors might have 
undervalued these accounting items. In contrast, during 
the crisis, this association became negative indicating 
an actual overvaluation of earnings.
Johnson [54] argues that the value relevance of earnings reported by listed companies is sensitive to the 
course of the business cycle. Her research demonstrates 
explicitly that during the periods of expansion the association between earnings and stock returns tends 
to increase while in times of contraction it becomes 
markedly lower.
Jenkins, Kane, and Velury [55] argue that the information content of accounting numbers varies across the 
business cycle since it reflects both the impact of general 
economic conditions and the effects of the company’s 
business activities. In times of contraction companies’ 
growth prospects captured by current earnings may be 
perceived by the equity investors as more uncertain. 
Contrary to Johnson [54], however, they demonstrate that, 
after controlling for firms’ growth, the responsiveness 
of stock prices to variation in earnings actually tends 
to increase during recessions.
Bepari [56] provides an evidence of structural breaks 
in the association of book values and earnings with firms’ 
market value in the aftermath of the global financial cri
sis in Australia. He argues that the relevance of earnings 
increases and that of book values decreases during the 
crisis compared to the non-crisis period. Additionally, the 
explanatory power of earnings during the crisis seems 
to be greater than that of the book values.
The findings of an extensive study by Persakis and 
Iatridis [57], covering over 137 thousand firm-year observations of non-financial enterprises from 18 developed 
countries suggest that during the global financial crisis 
an overall earnings quality declined. They argue that 
adverse economic conditions might incline managers 
to recognize potential positive events more frequently 
than they normally would, which increases the share of 
accruals and lowers earnings quality.
Kane et al. [12] examined the impact of economic 
downturns on the value relevance of earnings and book 
values of equity of non-financial enterprises in the U.S. 
market over the period 1970–2012. Their results indicate 
that recessions, due to their transitory nature, tend to 
limit the persistence of reported earnings, and thus 
deteriorate their value relevance. On the other hand, 
however, as recessions induce higher risk into business 
operations, they are likely to increase the value relevance 
of book values of equity.
Just as in the case of other areas of the market-based 
accounting research, the empirical evidence on the impact of market cycles on the value relevance of accounting variables in the banking sector is rather modest. Most 
related studies are focused primarily on the impact of 
economic downturns on the quality of banks’ earnings 
and earnings management practices. In particular, Cohen, 
Cornett, Marcus, and Tehranian [58] demonstrate that 
banks using more aggressive earnings management prior 
to 2007 exhibited substantially higher stock market risk 
as measured by the incidence of extreme declines in stock 
prices. In turn, Ma and Song [59] argue that earnings 
management increases banks’ contribution to systemic 
crash risk and systemic distress risk due to higher information opacity, stimulation of bad news hoarding and 
co-movement with macroeconomic conditions.
Using a large sample of U.S. banks Morris, Kang, and 
Jie [60] examine the changes in the value relevance of 
discretionary loan loss provisions in the period preceding and succeeding the recent global financial crisis. 
Their findings indicate that in the period of falling premanaged earnings (2006–2008) the market appeared to 
reward the attempts to measure reported earnings more 
conservatively. In contrast, when earnings started to rise 
again during 2009–2010, the market seemed to reward 
the efforts to smooth the reported earnings downwards. 
Additionally, it seems that during downturns investors 
tend to value conservatively calculated earnings of relatively poorly performing banks, but during expansions, 

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they value smoothed earnings of banks performing better 
than their peers.
Apparently, the only prior study related to the impact of economic downturns on the value relevance of 
accounting data in the Polish banking industry is the 
one by Bolibok [61] who investigated the influence of 
the recent global financial crisis on the value relevance 
of financial leverage. His results indicate that perception of leverage by the equity investors has changed 
significantly since the beginning of the crisis. In the 

pre-crisis period, leverage appeared to have a positive, 
yet not significant, impact on banks’ market value. After 
the crisis broke out, however, this impact has become 
significantly negative, which could reflect a structural 
change in investors’ attitudes, resulting from increased 
uncertainty and risk aversion in that period.
Given the above, the impact of the market cycle on 
the value relevance of accounting variables in the banking sector seems to be largely unexplored. Moreover, 
apparently, no prior study has directly examined this 

Table 1
Summary statistics of the WSE Main list

Characteristics
Year

1991
1995
2000
2005
2010
2015
2016

Number of listed companies

– domestic
9
65
225
248
400
433
434

– foreign
0
0
0
7
27
54
53

– new listings
9
21
13
35
34
30
19

– delistings
0
0
9
10
13
13
19

Main index (WIG)

– value (points)
919
7,586
17,848
35,601
47,490
46,467
51,754

– return (%)
–8.09
1.50
–1.30
33.66
18.77
–9.62
11.38

Number of investment accounts 
(thousands)
54
808
1 236
853
1 477
1 417
1 395

Market capitalization (in EuR 
mln)

– domestic
110
3,567
33,788
79,901
137,032
121,883
126,046

– foreign
0
0
0
30,177
64,100
133,509
126,379

Total turnover (in EuR mln)
110
2,820
21,101
24,474
58,651
53,846
46,371

Selected market indicators

– Average P/E
4.10
7.80
28.50
15.50
18.20
18.30
17.30

– Average P/BV
0.47
1.47
1.98
2.06
1.16
1.05
0.82

– Dividend yield (%)
0.00
2.30
0.80
1.80
2.40
2.30
3.40

– Turnover velocity (%)
18.50
67.50
42.90
22.30
45.30
36.10
37.80

Source: WSE, 2017.

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