我国境内上市银行操作损失事件披露对市值的影响分析

近年来随着商业银行的损失事件不时出现,操作风险日益受到金融机构的广泛关注。本文通过收集我国境内上市的5家银行2002～2006年6月披露的308个事件的相关数据,运用Tobin#Q比率来测算企业绩效和公司成长性,从而验证操作风险损失事件披露对银行市值的影响。实证结果显示,上市银行的股价波动同操作风险损失事件的披露存在显著的负相关,而且市场价值的损失会显著高于操作事件自身金额;对于不同资质的上市银行,Tobin#Q比率高的银行,损失的比例也会偏高,这意味着对于高成长性银行,操作损失事件对市值的影响更大。

Analysis of the Influence of Disclosure of Incidents of Operational Loss by Domestic-Listed Banks on Market Value

With frequent occurrences of loss incurred by commercial banks,financial institutions are very much concerned with operational risks.This paper collects data of 308 disclosed events by 5 domestic-listed banks during the period from 2002-June 2006 and uses Tobin'Q ratio to determine a bank's performance and potential of growth for the purpose of verifying the influence of disclosure on market value.Results show the stock price of a listed bank fluctuates in negative correlation with the disclosure and its market value drops obviously deeper than the capital value of the operational incident.For listed banks of different dimensions,those with higher Tobin'Q ratio suffer heavier losses.This would mean that due to incidents of operational loss,banks that grow rapidly will be subject to greater devaluation of market price.