Equity is Cheap for Large Financial Institutions: The International Evidence
Equity is Cheap for Large Financial Institutions: The International Evidence
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对于大型金融机构来说，股票很便宜：国际证据
DOI：
10.2139/ssrn.2747307
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Alberto Plazzi
中科院分区：
文献类型：
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作者：
P. Gandhi;Hanno Lustig;Alberto Plazzi
对于一个国家的大型金融机构来说，股票是一种廉价的资金来源。在一个由31个国家组成的大型面板中，我们发现一个国家最大的金融公司的股票回报率明显低于具有相同风险敞口的非金融公司的股票。在发达国家，只有最大的银行的股票获得负的风险调整回报，但在新兴市场国家，其他大型非银行金融公司也是如此。尽管大型银行的贝塔系数很高，但这些风险调整后的收益率差不能归因于风险异常。相反，我们发现，大-小，金融-非金融，风险调整后的利差在不同国家和不同时间的方式是一致的股票投资者定价的隐性政府担保，保护股东的最大的银行。在拥有存款保险的国家（由强大的政府支持），以及在为股东提供更好保护以免受没收的普通法国家，最大银行的利差要大得多。最后，价差还预示着该国股市和产出的大幅崩溃。
Equity is a cheap source of funding for a country's largest financial institutions. In a large panel of 31 countries, we find that the stocks of a country's largest financial companies earn returns that are significantly lower than stocks of non-financials with the same risk exposures. In developed countries, only the largest banks' stock earns negative risk-adjusted returns, but, in emerging market countries, other large non-bank financial firms do. Even though large banks have high betas, these risk-adjusted return spreads cannot be attributed to the risk anomaly. Instead, we find that the large-minus-small, financial-minus-nonfinancial, risk-adjusted spread varies across countries and over time in ways that are consistent with stock investors pricing in the implicit government guarantees that protect shareholders of the largest banks. The spread is significantly larger for the largest banks in countries with deposit insurance, backed by fiscally strong governments, and in common law countries that offer shareholders better protection from expropriation. Finally, the spread also predicts large crashes in that country's stock market and output.