CREDIT EXPANSION AND NEGLECTED CRASH RISK

• 成果类型: Article
• 署名作者: Baron, Matthew; Xiong, Wei
• 署名单位: Cornell University; Princeton University; The Chinese University of Hong Kong, Shenzhen; National Bureau of Economic Research
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjx004
• 发表日期: 2017
• 页码: 713-764
• 关键词: stock return predictability; rare disasters; puzzles; MARKETS; crises; MODEL

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.