Information and contagion effects of bank loan-loss reserve announcements

• 成果类型: Article
• 署名作者: Docking, DS; Hirschey, M; Jones, E
• 署名单位: University of Kansas; Northern Illinois University; University Central Missouri
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(96)00895-1
• 发表日期: 1997
• 页码: 219-239
• 关键词: information; contagion; banking; loan-loss reserves

摘要

Consistent with an information-signaling perspective, negative and statistically significant announcement effects are associated with bank loan-loss reserve (LLR) announcements over the 1985-90 period. Announcement effects differ between money-center and regional banks and also according to the nature of contemporaneous earnings and dividend disclosures, Moreover, information transfer or 'contagion' effects are present in that LLR announcements by regional banks decrease the value of both money-center banks and nonannouncing regional banks. These statistically significant contagion effects suggest a link between the asset quality characteristics of money-center and regional bank loan portfolios.