Charles A . Dice Center for Research in Financial Economics Why Did Some Banks Perform Better during the Credit Crisis ? A Cross-Country Study of the Impact of Governance and Regulation
Charles A . Dice Center for Research in Financial Economics Why Did Some Banks Perform Better during the Credit Crisis ? A Cross-Country Study of the Impact of Governance and Regulation
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查尔斯·A.
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发表时间：
2009
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通讯作者：
Xiaoyu Xie
中科院分区：
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作者：
A. Beltratti;René M. Stulz;Mike Anderson;Jérôme Taillard;Xiaoyu Xie
尽管2007年7月至2008年12月的银行整体业绩是自大萧条以来最差的，但在此期间，世界各地大型银行的股票回报率存在显著差异。我们使用这种变化来评估已经讨论过的因素的重要性，因为这些因素导致了信贷危机期间银行的不良表现。更具体地说，我们调查了银行绩效是否与银行层面的治理，国家层面的治理，国家层面的监管，以及银行的资产负债表和盈利能力的特点，在危机前。2006年市场青睐的银行在危机期间的回报尤其糟糕。使用传统的良好治理指标，董事会对股东更友好的银行在危机期间表现更差。在资本金要求更严格、监管机构更独立的国家，银行表现更好。尽管监管者更强大的国家的银行股票回报率更差，但我们提供的一些证据表明，这可能是因为这些监管者要求银行在危机期间筹集更多资本，而这样做对股东来说代价高昂。2006年底拥有更多一级资本和更多存款融资的大型银行在危机期间的回报率明显更高。在考虑了国家固定效应之后，拥有更多贷款和更多流动资产的银行在雷曼破产后的一个月里表现更好，来自资本监管更严格、对银行活动限制更多的国家的银行也表现更好。
Though overall bank performance from July 2007 to December 2008 was the worst since at least the Great Depression, there is significant variation in the cross-section of stock returns of large banks across the world during that period. We use this variation to evaluate the importance of factors that have been discussed as having contributed to the poor performance of banks during the credit crisis. More specifically, we investigate whether bank performance is related to bank-level governance, country-level governance, country-level regulation, and bank balance sheet and profitability characteristics before the crisis. Banks that the market favored in 2006 had especially poor returns during the crisis. Using conventional indicators of good governance, banks with more shareholder-friendly boards performed worse during the crisis. Banks in countries with stricter capital requirement regulations and with more independent supervisors performed better. Though banks in countries with more powerful supervisors had worse stock returns, we provide some evidence that this may be because these supervisors required banks to raise more capital during the crisis and that doing so was costly for shareholders. Large banks with more Tier 1 capital and more deposit financing at the end of 2006 had significantly higher returns during the crisis. After accounting for country fixed effects, banks with more loans and more liquid assets performed better during the month following the Lehman bankruptcy, and so did banks from countries with stronger capital supervision and more restrictions on bank activities.