Asymmetric loan loss provision models

• 成果类型: Article
• 署名作者: Basu, Sudipta; Vitanza, Justin; Wang, Wei
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2020.101359
• 发表日期: 2020
• 关键词: loss reserve policies; conditional conservatism; loss recognition; earnings; banks; accruals; IMPACT; performance; management; BEHAVIOR

摘要

Large net loan charge-offs are frequently associated with large decreases in nonperforming loans and large increases in loan loss provisions, inducing a V-shaped relation between loan loss provisions and nonperforming loan changes. Failure to model the asymmetry attributable to net loan charge-offs can change inferences about the presence of earnings management and the effects of delayed loan loss recognition in prior papers that assumed linearity. Future researchers should either include net loan charge-offs in linear models of loan loss provisions or explicitly model the asymmetry induced by omitting net loan charge-offs. (C) 2020 Elsevier B.V. All rights reserved.