本研究主要探究市場如何評價來自公允價值估計值的變動數所產生的不可觀察公允價值損益，原因在於此等損益計入盈餘之中，而盈餘為市場參與者評估公司價值的重要指標。基於研究期間自2008年至2022年的美國355家銀行，12，107筆季別觀察值，本研究提供如下實證：不可觀察公允價值損益具有資訊內涵，反應於其與股價報酬的正向關聯；將第三等級公允價值損益進行拆解之後，實證發現，相較於利益，損失具有資訊內涵，此項不對等的市場反應與財務行為學的損失趨避理論為一致，亦即市場參與者對於負向資訊的反應較為強烈；不可觀察公允價值損益進行資產及負債來源的區分，實證顯示股價報酬明顯反應於資產價值變動，然而，對於負債價值變動的資訊，或因混淆或資訊不確定，缺乏與股價報酬的顯著關連。經由數項額外測試，包括股價報酬以落後一個月的季窗期為調整計算，兩階段（two-stage least squares，2SLS）模型以及傾向分數配對（Propensity Score Matching，PSM）的配對樣本，進一步支持主要實證的結果。高資訊風險的環境下，市場參與者以報酬溢價減緩資訊不確定對自身產生的影響。市場動盪期間，投資人對於資訊失去信心，市場對於不可觀察的公允價值損益及損益組成成份的資訊內涵，確實產生弱化效果。

This study aims to explore how the market assesses unobservable fair value gains or losses arising from changes in fair value estimates, primarily because they are included in earnings, which is an important indicator for market participants in evaluating a firm. Based on the U.S. 355 banks and 12,107 quarterly observations over the period from 2008 to 2022, this study provides the following evidence. First, unobservable fair value gains or losses have the informativeness, as reflected in their positive relationship with share returns. Second, the disaggregation of unobservable fair value gains or losses reveals that losses carry more informativeness than gains. This asymmetric market response reflects loss aversion in behavioral finance, as participants react more strongly to negative information. Finally, by separating unobservable fair value gains or losses from assets and liabilities, the empirical findings show that the market responds significantly to gains or losses from assets, while those from liabilities cause confusion or uncertainty and are not significantly associated with share returns. The robustness of the main empirical findings is confirmed through additional analyses, including deferred share returns, a two-stage least squares (2SLS) estimation, and matched samples based on propensity score matching (PSM). Market participants incorporate a return premium to mitigate the effects of uncertainty in high information risk environments. During periods of market volatility, the market responded negatively to unobservable fair value gains or losses, providing evidence of investor skepticism toward their assessment of fair value measurements.