TEMPESTIVITÀ DELLA SVALUTAZIONE DEI CREDITI E OPACITÀ DELLE BANCHE

Abstract

This paper analyzes the effect of the timeliness of loan loss provisioning on bank opacity, as measured by stock market micro-structure properties. The key finding of the empirical analysis is that before the 2007-09 financial crisis the timeliness of provisioning has limited effect on bank opacity, while during the crisis more timely provisions are associated with greater transparency.




References

  • BEATTY A., CHAMBERLAIN S., MAGLIOLO J., (1995), Managing financial reports of commercial banks: the influence of taxes, regulatory capital and earnings, Journal of Accounting Research 33, pag. 231 e ss.
  • BEATTY A., LIAO S., (2011), Regulatory capital ratios, loan loss provisioning and procyclicality, Journal of Accounting and Economics 52, pag. 20 e ss.
  • BEATTY A.L., KE B., PETRONI K.R., (2002), Earnings management to avoid earnings declines across publicly and privately held banks, The Accounting Review 77, pag. 547 e ss.
  • BEAVER W., ENGEL E., (1996), Discretionary behavior with respect to allowances for loan losses and the behavior of security prices, Journal of Accounting and Economics 22, pag. 177 e ss.
  • BERGSTRESSER D., PHILIPPON T., (2006), CEO incentives and earnings management, Journal of Financial Economics 80, pag. 511 e ss.
  • BERGSTRESSER D., DESAI M., RAUH J, (2006), Earnings manipulation, pension assumptions, and managerial investment decisions, Quarterly Journal of Economics 121, pag. 157 e ss.
  • BESSEMBINDER H., CHAN K., SEGUIN P., (1996), An empirical examination of information, differences of opinion, and trading activity, Journal of Financial Economics 40, pag. 105 e ss.
  • BRENNAN M., SUBRAMANYAM A., (1995), Investment analysis and price formation in securities markets, Journal of Financial Economics 38, pag. 361 e ss.
  • BUSHMAN R.M., WILLIAMS C.D., (2012), Delayed Expected Loss Recognition and the Risk Profile of Banks, Kenan-Flager Business School, mimeo.
  • CORNETT M.M., MARCUS A.J., TEHRANIAN H., (2008), Corporate governance and pay-for performance: The impact of earnings management, Journal of Financial Economics 87, pag. 357 e ss.
  • CORNETT M.M., MCNUTT J.J., TEHRANIAN H., (2009), Corporate governance and earnings management at large U.S. bank holding companies, Journal of Corporate Finance 15, pag. 412 e ss.
  • DESAI A., NIMALENDRAN M., VENKATARAMAN S., (1998), Changes in trading activity following stock splits and their effect on volatility and the adverse-information component of the bid-ask spread, Journal of Financial Research 21, pag. 159 e ss.
  • FINANCIAL ACCOUNTING STANDARDS BOARD, (2012), Proposed Accounting Standards Update Financial Instruments - Credit Losses, Financial Accounting Series Exposure Draft.
  • FLANNERY M.J., KWAN S.H., NIMALENDRAN M., (2004). Market evidence on the opaqueness of banking firms’ assets, Journal of Financial Economics 71, pag. 419 e ss.
  • FLANNERY M.J., KWAN S.H., NIMALENDRAN M., (2013), The 2007-09 Financial Crisis and Bank Opaqueness, Journal of Financial Intermediation 22, pag. 55 e ss.
  • GEORGE T., KAUL G., NIMALENDRAN M., (1991), Estimation of the bid-ask spread and its components: A new approach, Review of Financial Studies 4, pag. 623 e ss.
  • GORTON G., PENNACCHI G., (1990), Financial-intermediaries and liquidity creation, Journal of Finance 45, pag. 49 e ss.
  • HALL B.J., LIEBMAN J.B., (1998), Are CEOs Really Paid Like Bureaucrats?, The Quarterly Journal of Economics 113, pag. 653 e ss.
  • HARRIS M., RAVIV A., (1993), Differences of opinion make a horse race, Review of Financial Studies 6, pag. 473 e ss., 506.
  • HEALY P., (1985), The effect of bonus schemes on accounting decisions, Journal of Accounting and Economics 7, pag. 85 e ss.
  • HEALY P.M., WAHLEN J.M., (1999), A Review of the Earnings Management Literature and Its Implications for Standard Setting, Accounting Horizons 13, pag. 365 e ss.
  • HEIDER F., HOEROVA M., HOLTHAUSEN C., (2009), Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk, Discussion Paper 2009-40 S, Tilburg University, Center for Economic Research.
  • HIRTLE B., (2006), Stock Market Reaction to Financial Statement Certification by Bank Holding Company CEOs, Journal of Money, Credit, and Banking 38, pag. 1263 e ss.
  • IANNOTTA G., (2006), Testing for opaqueness in the European banking industry: evidence from bond credit ratings, Journal of Financial Services Research 30, pag. 287 e ss.
  • JONES J.S., LEE W.Y., YEAGER T.J., (2012), Opaque banks, price discovery, and financial instability, Journal of Financial Intermediation 21, pag. 383 e ss.
  • KRINSKY I., LEE J., (1996), Earnings announcements and the components of the bid-ask spread, Journal of Finance 51, pag. 1523 e ss.
  • KYLE A., (1985), Continuous auctions and insider trading, Econometrica 53, pag. 1315 e ss.
  • KWAN S., (2010), Financial crisis and bank lending, Federal Reserve Bank of San Francisco, mimeo.
  • LEE C.M.C, READY M.J., (1991), Inferring trade direction from intraday data, Journal of Finance 46, pag. 733 e ss.
  • MADHAVAN A., (2000), Market microstructure: A survey, Journal of Financial Markets 3, pag. 205 e ss.
  • MORGAN D., (2002), Rating banks: Risk and uncertainty in an opaque industry, American Economic Review 92, pag. 874 e ss.
  • PRITSKER M., (2010), Informational Easing: Improving Credit Conditions through the Release of Information, Federal Reserve Bank of New York Economic Policy Review 16, pag. 77 e ss.
Chiudi [X]

Acquista l'articolo

Inserisci i tuoi dati affinché un funzionario di Giuffrè possa contattarti per perfezionare i termini dell’acquisto

Campi obbligatori*

Autori

👤  Giuliano Iannotta
👤  Simon Kwan