文章基本信息

标题：Loan loss provisions and return predictability: A dynamic perspective
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作者：Phoebe Gao ; Chu Yeong Lim ; Xiumei Liu 等
期刊名称：China Journal of Accounting Research
印刷版ISSN：1755-3091
出版年度：2022
卷号：15
期号：2
页码：1-20
DOI：10.1016/j.cjar.2022.100224
语种：English
出版社：Elsevier
摘要：AbstractThis paper examines the impact of loan loss provisions (LLPs) on return predictability during 1994–2017. We find that on average, LLPs are negatively associated with one year ahead stock returns. This effect is particularly significant during the global financial crisis but much weaker during the Basel II and III periods. Consistent with these findings, a long–short trading strategy based on LLPs generates positive abnormal returns during the Basel II and III periods but negative abnormal returns during the financial crisis. Cross-sectional tests show that this effect is more pronounced among banks with greater information asymmetry. Decomposition of LLPs suggests that these findings are driven mainly by nondiscretionary LLPs. Overall, our results suggest that the relationship between LLPs and future stock returns is not linear but contingent on bank regulations and macroeconomic conditions.
关键词：KeywordsenLoan loss provisionsReturn predictabilityFinancial crisisRegulation