| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w22695
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| 来源ID | Working Paper 22695
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| Credit Expansion and Neglected Crash Risk |
| Matthew Baron; Wei Xiong
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| 发表日期 | 2016-10-03
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| 出版年 | 2016
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| 语种 | 英语
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| 摘要 | By analyzing 20 developed countries over 1920–2012, we find the following evidence of overoptimism and neglect of crash risk by bank equity investors during credit expansions: 1) 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; 2) 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 3) 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. |
| 主题 | Macroeconomics
; Financial Economics
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| URL | https://www.nber.org/papers/w22695
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580368
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推荐引用方式
GB/T 7714 |
Matthew Baron,Wei Xiong. Credit Expansion and Neglected Crash Risk. 2016.
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文件名：
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w22695.pdf
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格式：
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Adobe PDF
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