Risk relevance and volatility of other comprehensive income in the banking sector: Evidence from European countries

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Manuela Lucchese ORCID logo, Ferdinando Di Carlo ORCID logo, Alberto Incollingo ORCID logo

https://doi.org/10.22495/cocv17i3art15

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Abstract

The aim of this study is to examine the relationship between the risk measures and the volatility of total comprehensive income (TCI), other comprehensive income (OCI), and single OCI components in the European context. Previous studies only cover reporting jurisdictions such as the United States and Canada but never the EU. Based on these premises, this research uses a sample of 166 listed banks, selected from 15 European countries. The results show that there is a significant positive association between the stock return volatility and the volatility of TCI, of OCI, and some of the single OCI components. This study contributes to the international debate on the risk relevance of TCI and its components, observing, in addition to previous research, the association not only between the risk measures and the volatility of TCI and OCI but also between the risk measures and the volatility of single OCI components.

Keywords: Total Comprehensive Income, Financial Reporting, Risk Relevance, Volatility, Banks

Authors’ individual contribution: Conceptualization – M.L., F.D.C., and A.I.; Methodology – M.L. and F.D.C.; Formal Analysis – M.L.; Investigation – F.D.C.; Writing – Original Draft – M.L. and F.D.C.; Writing – Review and Editing – M.L., F.D.C., and A.I.; Supervision – A.I.

Declaration of conflicting interests: The Authors declare that there is no conflict of interest.

JEL Classification: M41

Received: 02.02.2020
Accepted: 27.04.2020
Published online: 29.04.2020

How to cite this paper: Lucchese, M., Di Carlo, F., & Incollingo, A. (2020). Risk relevance and volatility of other comprehensive income in the banking sector: Evidence from European countries. Corporate Ownership & Control, 17(3), 187-197. https://doi.org/10.22495/cocv17i3art15