학회소식
[2018년 제 4차] Bad News Holding and Banks’ Stock Price Crash Risk
작성자 : 관리자
조회수 : 46
게시일 :
2018-12-14
Using U.S. bank quarterly data from 1995 through 2014, this study examines the channel through
which delayed expected loss recognition (DELR) affects the stock price crash risk of banks. We first
show that DELR is positively associated with a subsequent crash in stock price (Jin and Myers 2006).
We then find that this association is only present when bank managers have more discretion in concealing
bad news, as proxied by the proportion of heterogeneous loans (e.g., commercial and industrial loans).
Default risk does not explain our findings; the association between DELR and stock price crash does
not increase with banks’ default risk. We also find that DELR leads to a greater stock price crash during
a financial crisis. These findings provide policy implications to bank regulators regarding the importance
of specific loan types and time horizons when monitoring banks’ accounting treatment.
