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Credit Expansion and Neglected Crash Risk
下载 发布时间:2017-09-04
作者
熊伟,Matthew Baron
摘要


By analyzing 20 developed economies over 1920–2012, we find the following

evidence of overoptimism and neglect of crash risk by bank equity investors during

credit expansions: (i) bank credit expansion predicts increased bank equity crash

risk, but despite the elevated crash risk, also predicts lower mean bank equity

returns in subsequent one to three years; (ii) conditional on bank credit expansion

of a country exceeding a 95th percentile threshold, the predicted excess return

for the bank equity index in subsequent three years is −37.3%; and (iii) bank

credit expansion is distinct from equity market sentiment captured by dividend

yield and yet dividend yield and credit expansion interact with each other to make

credit expansion a particularly strong predictor of lower bank equity returns when

dividend yield is low. JEL Codes: G01, G02, G15, G21.



By analyzing 20 developed economies over 1920–2012, we find the following

evidence of overoptimism and neglect of crash risk by bank equity investors during

credit expansions: (i) bank credit expansion predicts increased bank equity crash

risk, but despite the elevated crash risk, also predicts lower mean bank equity

returns in subsequent one to three years; (ii) conditional on bank credit expansion

of a country exceeding a 95th percentile threshold, the predicted excess return

for the bank equity index in subsequent three years is −37.3%; and (iii) bank

credit expansion is distinct from equity market sentiment captured by dividend

yield and yet dividend yield and credit expansion interact with each other to make

credit expansion a particularly strong predictor of lower bank equity returns when

dividend yield is low. JEL Codes: G01, G02, G15, G21.


出版源
Quarterly Journal of Economics