预测欧洲银行危机事件:金融信息生产者重要吗?

IF 9.8 1区 经济学 Q1 BUSINESS, FINANCE
Quentin Bro de Comères
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引用次数: 0

摘要

本文通过将卖方股票分析师和信用评级机构各自的信息披露引入一个logit预警系统,评估了卖方股票分析师和信用评级机构对欧洲上市银行困境事件的预测能力。由于欧洲很少有银行直接倒闭,我也考虑了政府和私人部门的干预。该模型经过校准,以最大限度地减少决策者致力于防止即将发生的遇险事件的损失,并以实时方式进行估计。我还通过整合会计比率和与银行业和整个商业周期相关的变量来控制银行和宏观经济层面的数据。我发现金融信息生产者的披露都显示了前瞻性的信息和预测性的银行困境风险长达两年的表现。这突出了它们在会计和宏观经济数据方面对银行困境预测的附加价值,而不仅仅是作为这些数据的综合。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Predicting European banks distress events: Do financial information producers matter?
This article assesses the predictive power of sell-side stock analysts and credit rating agencies on listed European banks distress events by introducing their respective disclosures into a logit early-warning system over the 2000Q3-2020Q1 period. As direct bank failures are rare in Europe, I also account for state and private sector interventions. The model is calibrated to minimize the loss of a decision-maker committed to prevent impending distress events and is estimated in a real-time fashion. I also control for bank- and macroeconomic-level data by integrating accounting ratios and variables related to the banking sector and the business cycle as a whole. I find both financial information producers’ disclosures to display forward-looking informative and predictive performance on bank distress risk up to two years in advance. This highlights their added value on bank distress prediction with regard to accounting and macroeconomic data, that is beyond solely acting as a synthesis of such data.
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来源期刊
CiteScore
10.30
自引率
9.80%
发文量
366
期刊介绍: The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.
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