The Financial Accounting Standard Board (FASB) recently issued Accounting Standards Update No. 2016-01, which requires firms to report unrealized gains and losses on available-for-sale (AFS) equity securities in net income. This paper uses a difference-in-differences design and a sample of public insurers to examine the capital market consequences associated with this reporting change. We find a significant decrease in firms’ earnings response coefficient (ERC) after the application of this new standard, and this is driven by a decrease in earnings persistence. These results suggests that, after the reporting change, earnings less fully reflect the information investors use when revising their beliefs about firm value. However, our evidence indicates no significant changes in investor assessment of overall firm risk following the reporting change, suggesting that investors appear to understand that the reduction in earnings persistence is not reflective of a change in firm risk.