Bank Financial Distress and Stock Price Crashes: A Quasi-Experimental Approach

IF 2.1 3区经济学 Q2 BUSINESS, FINANCE

European Financial Management Pub Date : 2024-11-20 DOI:10.1111/eufm.12529

Priti Biswas, Debasish Maitra, Sayantan Mukherjee

引用次数: 0

Abstract

Using 118,292 US bank-month observations, we examine the effects of short-term changes in bank's financial distress on stock price crash risk. There is a significant positive association between short-term changes in distress on stock price crash risk. The results remain consistent across alternative measures of distress and crash risk. We confirm robustness by employing additional tests for reverse causality and propensity score matching. We find opacity, proxied by discretionary loan-loss provisions to be a potential channel through which increase in distress affects future crash risk. Our study underscores the critical association between increasing financial distress, loan-loss reporting, and crash risk.

查看原文本刊更多论文

银行财务困境与股价崩盘：一种准实验方法

利用118,292个美国银行月的观察结果，我们检验了银行财务困境的短期变化对股价崩盘风险的影响。短期压力变化与股价崩盘风险之间存在显著正相关。这一结果在其他衡量痛苦和坠机风险的指标中是一致的。我们通过采用反向因果关系和倾向得分匹配的额外测试来确认稳健性。我们发现，由可自由支配的贷款损失准备金所代表的不透明性，是一个潜在的渠道，通过它，困境的增加会影响未来的崩溃风险。我们的研究强调了日益严重的财务困境、贷款损失报告和崩溃风险之间的重要联系。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

European Financial Management BUSINESS, FINANCE-

CiteScore

4.30

自引率

18.20%

发文量

期刊介绍： European Financial Management publishes the best research from around the world, providing a forum for both academics and practitioners concerned with the financial management of modern corporation and financial institutions. The journal publishes signficant new finance research on timely issues and highlights key trends in Europe in a clear and accessible way, with articles covering international research and practice that have direct or indirect bearing on Europe.