ارزش گذاری و عواقب خطر سیستمیک از عدم شفافیت بانکی

We examine the effects of opacity on bank valuation and synchronicity in bank equity returns over the years 2000–2006 prior to the 2007 financial crisis. As expected, investments in opaque assets are more profitable than investments in transparent assets, and taking profitability into account, have larger valuation discounts relative to transparent assets. The valuation discounts on opaque asset investments decline over the 2000–2006 period only to be followed by a sharp reversal in 2007. The decline is coincident with a rise in bank equity share prices, decrease in transparent asset holdings by banks, and greater return synchronicity – evidence consistent with a feedback effect.

In a world without deposit insurance, the opaque nature of the banking industry makes banks vulnerable to runs because depositors cannot easily distinguish between healthy and sick banks. Credible deposit insurance averts depositor bank runs but invites moral hazard (Grossman, 1992 and Wheelock and Kumbhakar, 1995), which regulation and periodic examinations mitigate. Because of the critical role that banks assume in overall economic activity, severe disruptions to credit flows can result from a large number of bank failures (Bernanke, 1983 and Calomiris and Mason, 2003). For this reason, opaqueness is an important reason for regulating banks (Flannery, 1998).

Prior literature, which shows that banks are more opaque than other industries, provides a justification for deposit insurance. What is less clear, however, is whether opacity still matters in the presence of deposit insurance as well as bank regulation and supervision. We argue that opacity matters because it reduces the effectiveness of market discipline. We advance and empirically test two reasons why opacity hinders the ability of financial markets to effectively discipline bank risk taking and thereby, create systemic risk. First, we conjecture that, accounting for profitability and other factors that impact bank equity values, investments in opaque assets necessitate higher required rates of market return. In a perfect world, markets correctly assess the risks associated with opaque assets, resulting in an efficient allocation of investments in opaque and transparent assets. However, if markets do not sufficiently discount the risks imbedded in opaque assets, banks are rewarded with higher equity values. This reward can set off a feedback effect that encourages other banks to also increase their investments in opaque assets, and thereby, result in a higher concentration of risk in the financial system (ex post) than market participants realize.