Debt Forgiveness and Stock Price Reaction of Lending Banks : Theory and Evidence from Japan
Debt Forgiveness and Stock Price Reaction of Lending Banks : Theory and Evidence from Japan
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贷款银行的债务减免和股价反应：来自日本的理论和证据
DOI：
10.1111/j.1475-6803.2010.01271.x
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发表时间：
2010
影响因子：
3.5
通讯作者：
T. Yamashita
中科院分区：
文献类型：
--
作者：
Isagawa;N.;S.;Yamaguchi;T. Yamashita
我们提供了一个简单的模型来分析债务豁免如何影响贷款银行的股价。我们的模型表明，虽然债务豁免增加股东财富的银行在健康的财务状况，它减少股东财富的银行在不健康的财务状况。我们实证研究了日本市场上债务豁免对银行股票价格的公告效应。平均而言，贷款银行在债务免除方面经历了显著的负面公告效应。与模型的预测一致，我们发现公告效应与银行的净不良贷款率之间存在负相关关系，净不良贷款率作为银行财务状况不健康的代理。
We provide a simple model for analyzing how debt forgiveness affects the stock price of a lending bank. Our model shows that although debt forgiveness increases shareholder wealth of a bank in healthy financial condition, it decreases shareholder wealth of a bank in unhealthy financial condition. We empirically investigate the announcement effect of debt forgiveness on bank stock prices in Japanese markets. On average, lending banks experience a significant negative announcement effect with respect to debt forgiveness. Consistent with the prediction of the model, we find a negative relation between the announcement effect and the net bad loan ratio as a proxy of the unhealthiness of the financial condition of the bank.