Alternative evidence and views on asymmetric loan loss provisioning
成果类型：
Article
署名作者：
Beatty, Anne; Liao, Scott
署名单位：
University System of Ohio; Ohio State University; University of Toronto
刊物名称：
JOURNAL OF ACCOUNTING & ECONOMICS
ISSN/ISSBN：
0165-4101
DOI：
10.1016/j.jacceco.2020.101362
发表日期：
2020
关键词：
摘要：
Based on a linear provision/charge-off association and V-shaped scatterplots of these variables against nonperforming loan changes, Basu et al. (2020) argue that nonperforming loan changes mis-measure credit quality and linear provision models are mis-specified. They conclude that residual asymmetry controlling for charge-offs results from loan heterogeneity and the real estate crisis. Using additions to nonaccruals to measure credit quality, we find a linear association with provisions, that controlling for charge-offs induces misspecification, and no evidence of provision asymmetry. These results highlight the importance of basing hypotheses and causal models on theoretical underpinnings rather than on plots subject to known fallacies. (C) 2020 Elsevier B.V. All rights reserved.
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