تاثیر ارزش بازار حوادث کاهش عملیاتی برای بانک ها و شرکت های بیمه آمریکا

This paper conducts an event study analysis of the impact of operational loss events on the market values of banks and insurance companies, using the OpVar database. We focus on financial institutions because of the increased market and regulatory scrutiny of operational losses in these industries. The analysis covers all publicly reported banking and insurance operational risk events affecting publicly traded US institutions from 1978 to 2003 that caused operational losses of at least $10 million – a total of 403 bank events and 89 insurance company events. The results reveal a strong, statistically significant negative stock price reaction to announcements of operational loss events. On average, the market value response is larger for insurers than for banks. Moreover, the market value loss significantly exceeds the amount of the operational loss reported, implying that such losses convey adverse implications about future cash flows. Losses are proportionately larger for institutions with higher Tobin’s Q ratios, implying that operational loss events are more costly in market value terms for firms with strong growth prospects.

Although financial institutions have faced operational risks throughout their history, the attention devoted to managing operational risk has increased dramatically in recent years. Managerial and regulatory focus on operational risk has been heightened following a number of very costly and highly publicized operational events. In banking, examples include the infamous bankruptcy of Barings bank in 1995, which was triggered by a $1.3 billion loss due to a rogue trader, the Allied Irish Bank’s loss of $750 million due to unauthorized trading in 2002 (Ascarelli, 2002), and the $1.4 billion in fines levied in 2002 against several leading brokerage firms for issuing misleading research reports to investors.1 Operational loss events for insurance companies have been equally damaging. Prudential Insurance Company of America paid $2 billion to settle allegations of sales abuses during the late 1990s; and State Farm Insurance paid $1.2 billion to auto insurance policyholders as the result of a breach of contract lawsuit in 1999, resulting from the use of inferior quality generic replacement parts for damaged cars (Lohse, 1999). Even a cursory review of these events demonstrates the severe impact that operational losses can have on earnings, share price volatility, and potentially even solvency

This paper analyzes operational loss events in the US banking and insurance industries for the period 1978–2003 using the OpVar database. We review operational loss trends in the industries over the study period and conduct an event study analysis of the market value impact of the operational loss events on bank and insurance stocks. The study focuses on operational loss events where the reported loss amount is at least $10 million – 691 bank events and 241 insurance events. The event study is based on a subset of these events affecting firms that were publicly traded at the time of the event for which we could verify the event date – 403 bank events and 89 insurance events.