THE EFFECT OF BANK LOAN PORTFOLIO COMPOSITION ON THE MARKET REACTION TO AND ANTICIPATION OF LOAN LOSS PROVISIONS
THE EFFECT OF BANK LOAN PORTFOLIO COMPOSITION ON THE MARKET REACTION TO AND ANTICIPATION OF LOAN LOSS PROVISIONS
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银行贷款组合结构对市场对贷款损失准备金反应和预期的影响
DOI：
10.2307/2491293
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发表时间：
1995
影响因子：
4.4
通讯作者：
Stephen G. Ryan
中科院分区：
文献类型：
--
作者：
Chi;Stephen G. Ryan
我们研究银行的贷款组合构成如何影响贷款损失准备的及时性，从而研究证券回报与这些准备之间的关系。我们认为，损失准备金相对于其他贷款违约信息的及时性随着对此类准备金的酌情决定权的增加而降低，并且损失准备金的酌情决定权因贷款类型而异。银行经理对大额和经常重新谈判的贷款（如外国贷款和商业贷款）的损失准备金比小额或不经常重新谈判的贷款（如消费贷款）的损失准备金有更大的酌处权。庞大的规模和重新谈判的可能性，为银行提供了以每笔贷款为基础，而不是通过历史数据的统计分析来弥补损失的理由。使用小额或不经常重新协商的贷款比例作为衡量贷款损失准备及时性的指标，我们假设并发现，市场对贷款损失准备的反应和市场预期的强度都因这一及时性指标而不同。”
We investigate how banks' loan portfolio composition affects the timeliness of loan loss provisions and, thus, the relation between security returns and such provisions. We maintain that the timeliness of loss provisions relative to other information about loan default decreases as discretion over such provisions increases, and that discretion over loss provisions varies by loan type. Bank managers have more discretion over loss provisions for large and frequently renegotiated loans, e.g., foreign and commercial loans, than for small or infrequently renegotiated loans, e.g., consumer loans. Large size and the possibility of renegotiation provide rationales for banks to provide for losses on a loan-by-loan basis rather than by statistical analysis of historical data. Using the proportion of small or infrequently renegotiated loans as a measure of the timeliness of loan loss provisions, we hypothesize and find that both the sign of the market reaction to and the strength of the market anticipation of loan loss provisions differs by this timeliness measure.'