عدم تقارن اطلاعات، کفایت سرمایه و واکنش بازار به اعلامیه های کاهش وام تامینی در صنعت بانکداری

This study finds significantly negative abnormal returns accompanying press announcements of loan loss provisioning in the banking industry. The negative reactions are shown to arise from both an informational asymmetry regarding asset value and the costs associated with capital adequacy regulation. It is further shown that the market reaction depends upon the type of asset being provisioned. Announcements regarding the provisioning of foreign debt are accompanied by positive market reactions, while announcements of the provisioning of real estate loans and other types of debt are accompanied by negative market reactions.

Several studies have found significantly positive excess returns associated with loan loss provision (LLP) announcements in the financial press. These findings have led some researchers to conclude that loan loss provisioning is, in general, good news and is accompanied by increases in stock prices. Beaver, Ryan, and Wahlen (1997, p. 45) summarize the recent research as follows: “According to recent empirical research, discretionary loan loss provisions are, on average, positively associated with bank stock returns; that is, they are ‘good news.’” This paper finds, however, that positive excess returns are not representative of all market responses to LLP announcements. In fact, significantly negative abnormal returns are, on average, associated with these announcements. The negative abnormal returns are related to both informational asymmetry regarding asset value and to bank capital adequacy problems that are either precipitated or aggravated by the announced decline in the value of the assets. Further, the sign of the excess return depends upon the type of asset being provisioned; foreign debt LLP announcements elicit a positive response while LLP announcements for other types of loans (especially real estate loans) are accompanied by a negative response. The results of this study are of interest to bank managers, regulatory authorities, security analysts, and investors. Bank mangers are concerned that unexpected loan loss provisions may adversely affect the price of the bank stock. This paper shows that such concerns are well founded. Bank managers and regulatory authorities are interested in and troubled by the costs associated with the regulation of capital adequacy. This paper shows that capital adequacy related regulatory costs have a negative influence on the price of banking stock. Investors and security analysts are interested in the valuation implications of LLP announcements. This study shows that, with the exception of foreign debt announcements, increased loan loss provisions convey adverse information to the market.

This paper finds significantly negative abnormal returns accompanying press announcements of loan loss provisioning in the banking industry. This result is contrary to findings by several earlier papers, which argue that such announcements represent good news to the market. In their paper, “When is ‘Bad News’ viewed as ‘Good News’?” Beaver, Ryan, and Wahlen (1997, p.52) conclude, “A now considerable body of evidence shows that discretionary increases in loan loss provisions are positively associated with bank stock returns.” The results of this paper indicates that the conclusions reached by Beaver, Ryan, and Wahlen (1997) are not representative of all LLP announcements. The findings in this paper are consistent with two other previously published works—Docking, Hirschey, and Jones (1997) and Madura and Zarruk (1992)—that also find significantly negative returns arising from provisioning announcements. This paper demonstrates that the negative excess returns arise from both informational asymmetry and capital adequacy regulation. Institutions with capital adequacy problems have significantly greater price declines associated with loan loss provision announcements than do institutions with strong capital adequacy positions. These associated price declines indicate that capital adequacy regulation is costly to banks having weak capital base. The stock market price reactions to press announcements of loan loss provisioning are also shown to depend upon the type of asset being provisioned. The provisioning of third world debt is accompanied by a positive price reaction while the provisioning of real estate and other loans are accompanied by negative price reactions. For loans other than foreign debt, any good news associated with LLP announcements—such as a signal of higher earnings in the future as explained by Beaver, Ryan, and Wahlen (1997)—is dominated by bad news, that is, the signal of lower asset values and the cost of regulation associated with capital adequacy regulation. The bad news dominates the good news, and the associated returns are predominately and significantly negative.