تاثیر وام های بلندمدت صندوق بین المللی پول بر ارزش حقوق صاحبان سهام اعتباری بانک آمریکا: مطالعه مورد کره جنوبی

This study investigates whether the IMF term loan announcements to South Korea in late November and early December 1997 significantly increased the implicit value of the U.S. bank loans and investments to South Korea and hence, the equity values of its U.S. bank creditors. Using both the market model and the SUR model, this paper examines the potential abnormal performance of a total of 230 U.S. banks during mid-November to early December 1997. The findings show that there was a statistically significant positive equity response to the international bank creditors during the major event announcements. Further, the evidence shows the existence of different pricing behavior of different groups: groups that were more exposed experienced a more positive equity-price response.

The roles played by the IMF in international debt crises have been controversial among both academics and policymakers.1 This paper addresses a particular piece of that controversy: whether IMF loan commitments affect banks’ equity values. It tries to resolve the serious concern from the policymakers and academics whether there exists significant equity response associated with the IMF loan commitments made in the international debt markets. In addition, the traditional rational pricing versus contagion pricing hypothesis studied in the previous literature is also tested. Event studies focusing on bank equity values are widespread in the literature.2 A brief review of the literature related to the international debt crisis is conducted below. Cornell and Shapiro (1986) study the impact of the 1982 Mexican foreign debt moratorium on the pricing of U.S. bank stocks. Targeting the necessity of the International Lending Supervision Act (ILSA), the paper studies the question of whether, in the absence of disclosure, investors were able to discriminate between those banks with extensive foreign loans and those with lesser or no foreign exposure. The authors found significant negative coefficient estimates of Latin American loan exposure for biannual and annual returns but not for monthly and selected event dates’ returns. This finding supports the authors’ ‘dribs and drabs’ hypothesis, which holds that predominantly negative information was slowly disseminated throughout this time period. The authors conclude that event studies using the traditional methodology by pre-specifying the event dates tend to underestimate the impact of Latin American loan exposure on the relative pricing of bank stocks. Bruner and Simms (1987) also study the impact of August 19, 1982 Mexican debt moratorium on bank stock returns. The paper tries to resolve an important question that previous studies of this event ignore: the rapidity of the market's response, or the duration of the response of the investors, to the actual deterioration in asset quality caused by Mexican exposure. Two pairs of hypotheses are tested in this paper. The first is the new information hypothesis versus the information leakage (‘dribs and drabs’) hypothesis. The new information hypothesis holds that the event provides new information about the deteriorating quality of Latin American loans, therefore, the stock returns should be affected significantly. On the contrary, the information leakage hypothesis argues that the event does not provide any new information because of the existence of the preceding events and signals. The second is the rational-pricing hypothesis versus the investor-contagion hypothesis. Simply speaking, the rational-pricing hypothesis holds that the size of the investor response to the event is related to the degree of the exposure level, while the investor-contagion hypothesis argues for the opposite: there is no relationship between bank loan exposure and investors’ response to the event. They find that over the first few days following the default event, banks were penalized inconsistently with their degree of exposure indicating contagion pricing. However, the market learned very quickly and the pricing of the bank stocks corrected after the initial five days indicating rational pricing. Smirlock and Kaufold (1987) also study the event of the August 1982 Mexican debt moratorium with regard to the issue of whether, in the absence of public disclosure regulation, investors were able to discriminate among banks with different levels of exposure. A total of 60 banks — 23 exposed banks and 37 nonexposed banks — are examined. The findings indicate that the exposed firms experienced a significant decline in market value on the event day and that the decline was not the same across all banks. The stock price response is proportional to exposure and that investors were able to distinguish among the exposure levels of different banks. The finding, therefore, provides further support for the rational pricing behavior. Demirguc-kunt and Huizinga (1993) study the impact of direct official credits to debt countries on returns of foreign-exposed banks. The paper examines the extent to which official credits to debtor countries have ‘trickled down’ to the banks as reflected in the market prices of bank stocks. Also, the contribution of this paper is to study the different results between heavily exposed banks and less exposed banks from the perspective of the creditor banks’ contingent claim on the FDIC. The purpose of Demirguc-kunt and Huizinga's study is to infer from the movement of bank stock prices the implicit transfer of official funds back to the foreign commercial banks that made the loans in the first place. Four different types of events are tested. They are the ‘IMF loans in 1982 and 1983,’ the ‘increases in the U.S. quota to the IMF in 1983,’ ‘the Brady plan’ and the ‘recent World Bank and IMF quota increases.’ From October 1982 to February 1983, the IMF made loan commitments to Argentina, Mexico, Chile and Brazil, respectively. Since banks were not required to publish their developing country exposures at that time, only the first two sets of hypotheses above are tested in this group of events. The main result is that the stock prices did not change significantly in light of the IMF loan commitments, as market investors anticipated larger commitments to the indebted neighboring countries after the commitment to Argentina was made. And even in Argentina's case, only two banks enjoyed significantly positive returns over the 3-day event period. The hypotheses for zero coefficients are rejected for the exposed banks and for all banks together, as expected. But they also were rejected at the 10% level for nonexposed banks. This points to possible contagion. However, the hypothesis that the event parameters are equal is rejected for all three groups of banks, indicating that investors knew at least some information about each individual bank's exposure level. This, on the contrary, implies the rational pricing hypothesis. In general, the test results are not always consistent with each other and few significant results are obtained. The obscure results may be attributed to mismatching the data selection with the event periods. All three groups of banks are categorized by using the exposure data as of the end of 1988. The tests could be very misleading when the actual data used were dated several years later. Also, the study left unexplained how market investors knew information about individual bank's exposures without getting it as public information. This study conducts a direct empirical test on one of the most controversial issues on the international debt markets — the impacts of the IMF's largest and one of the most recent loan commitments on international bank creditors’ equity values. It tries to clear the controversies regarding whether there exist large positive equity responses with regard to the IMF loan commitments to a troubled country in financial crisis. The test overcomes the data mismatching problems involved in Demirguc-kunt and Huizinga (1993). Also, the test sample — 230 U.S. banks — is the largest in the literature. Further, the results have important financial market policy-making implications. The paper proceeds as follows: Section 2 provides the backgrounds of the IMF bailout of South Korea around late November and early December 1997 and a chronology of the events used in the study. Section 3 presents the data and methodology. Section 4 presents the results while Section 5 concludes the paper.

Significantly positive abnormal returns are found for the three different bank groups (the South Korean exposed bank group, the foreign but non-South Korean exposed bank group, and the pure domestic lending bank group) on both the December 1 and 4, 1997 event dates, except in one case (The non-South Korean exposed bank group had a marginally insignificant positive abnormal return on December 4.). The December 1 event announcement is a more important event than the December 4 event announcement. The event impacts on the different bank groups are different. The South Korean exposed bank group experienced the largest positive gains among the three groups, while the foreign but non-South Korean exposed bank group did not outperform the pure domestic lending bank group. This latter result may be attributed to the fact that the lack of unison of the geographical distribution of the foreign exposure among this group of banks renders the direct comparison of their respective foreign exposures less meaningful. For banks that had no or an insignificant amount of emerging market exposure, their equity behavior may be closer to that of domestic banks than to the South Korean exposed banks. Also, there seems to exist a longer period of significant and positive impact on the domestic lending bank group than on the other two foreign exposed bank groups. The possible explanations include the contagion effect on the event dates, the lagged contagion effect on the days after, potentially active M&As during December 1997 and an incomplete event screening process. The empirical evidence here clears the controversy regarding whether the IMF term loan agreement with South Korea in late 1997 generated a positive equity response to those international bank creditors. For the South Korean exposed banks, foreign exposure is an important factor in equity pricing on both event dates. Also, the evidence indicates that the banks’ equities were rationally priced because the hypothesis that the equity response to the exposure level is proportional cross-sectionally on both event dates cannot be rejected. Investors had enough information to know the exact foreign exposure levels of those banks and related the equity prices with the banks' respective foreign exposure levels. For the foreign but non-South Korean exposed banks, the exposure variable was not important in equity pricing on December 1 but was factored into equity pricing on December 4. For December 4, the rational pricing hypothesis is rejected. The equity responses of the banks to their foreign exposure levels are not proportional. As explained earlier, foreign exposure across the banks in this group may not be directly comparable due to varying geographical distribution of the foreign exposure of the banks. Also, the rejection of the rational pricing hypothesis does not necessarily point to the contagion pricing notion because the result may also be consistent with the heterogeneous creditors hypothesis in which the identity of the creditors and their respective lending experiences may play a role in rejecting the rational pricing notion. The above empirical evidence indicates that while for the largest foreign lending banks, equity pricing seems to be rational, the conclusion is different for the relatively smaller foreign lending banks. The latter implies that investors either had incomplete information because of certain difficulty in recognizing the specific foreign lending levels for smaller banks or the investors could have behaved irrationally if they had had the full information of those smaller banks. The current FFIEC rules that foreign exposure in a country of less than one percentage of total assets need not be reported. Mandatory laws requiring more restrictive publication of foreign lending may be necessary, especially in a situation when banks have a high level of total foreign exposure but the geographical feature of the exposure is not clear. It would be better for foreign exposed banks to publish not only the exact aggregate foreign lending positions but also the exact positions to each country as well.