Bank valuation and accounting discretion during a financial crisis

• 成果类型: Article
• 署名作者: Huizinga, Harry; Laeven, Luc
• 署名单位: Tilburg University; International Monetary Fund
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.06.008
• 发表日期: 2012
• 页码: 614-634
• 关键词: Managerial discretion; Regulatory forbearance; Accounting; banking; Financial crisis

摘要

This paper shows that banks overstate the value of distressed assets and their regulatory capital during the US mortgage crisis. Real estate-related assets are overvalued in banks' balance sheets, especially those of bigger banks, compared to the market value of these assets. Banks with large exposure to mortgage-backed securities also provision less for bad loans. Furthermore, distressed banks use discretion over the classification of mortgage-backed securities to inflate their books. Our results indicate that banks' balance sheets offer a distorted view of the financial health of the banks and provide suggestive evidence of regulatory forbearance and noncompliance with accounting rules. (C) 2012 Elsevier B.V. All rights reserved.