Valuation and systemic risk consequences of bank opacity |
| |
Authors: | Jeffrey S Jones Wayne Y Lee Timothy J Yeager |
| |
Institution: | 1. Missouri State University, 300 Glass Hall, Springfield, MO 65897, United States;2. Sam M. Walton College of Business, University of Arkansas, Business Building 302A, Fayetteville, AR 72701, United States |
| |
Abstract: | 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. |
| |
Keywords: | G14 G21 G28 G34 |
本文献已被 ScienceDirect 等数据库收录! |
|