Mark Evans, Leslie Hodder and Pat Hopkins just posted a paper on SSRN indicating some benefits to fair value accounting in financial institutions.  From the abstract:

For a sample of commercial banks during 1994–2008, we find that accumulated fair value adjustments for investment securities are positively associated with realized income from investment securities in the following period, suggesting that fair values have predictive ability for future realized income. We also find that our measure of predictive ability appears to be a reasonable proxy for reliability because it varies with traditional proxies for the reliability of reported fair values of investment securities. Furthermore, we provide evidence that the relative ability of fair values to predict reported income is a factor that strengthens the relationship between fair values and the market value of equity for commercial banks. Our results also indicate that market-wide credit risk affects the pricing of fair value information in banks’ market value of equity, suggesting that the value relevance of fair value information is partially dependent on market- or industry-wide factors. Finally, in contrast to prior research, we find that both amortized cost and fair value play important roles in predictive ability and value relevance.

One of the last pages elaborates on the information content of amortized costs:

…[O]ur study provides a direct test of the potentially complementary role of amortized-cost and other information that is disclosed concurrently with recognized fair value information for some items measured at fair value. Our results suggest that fair values are value relevant incremental to amortized cost measures and—in contrast to Barth’s (1994) findings—that amortized cost is incrementally value relevant to reported fair values. We find that the value relevance of fair value is stronger when it has high predictive value, while the value relevance of amortized cost increases when fair values have lower value relevance. These findings support Ryan’s (2008, 8 ) suggestion that disclosed amortized cost information can be incrementally useful in the presence of recognized fair values.

Hmmm…what a great topic for a roundtable!