小企业金融监管新政解析与银行实践

近期,小企业融资难的问题成为社会关注焦点之一。银监会针对小企业融资方面的突出问题,及时颁布了《关于支持商业银行进一步改进小企业金融服务的通知》,引导商业银行积极开展小企业金融服务。因此,如何进一步加大对小企业信贷支持力度,是商业银行面临的重要课题。银行监管新政解析银监会的政策指引,一方面要求商业银行应建立长效机制,支持小企业金融业务实现商业可持续发展,另一方面着眼于引导商业银行加大信贷投放,解决小企业贷款高风险后顾之忧     

对股份制银行个人经营性贷款业务的调查与思考——以山东为例

<正>近年来,在国家支持小微企业信贷需求的政策引领下,山东省内股份制商业银行纷纷发力个人经营性信贷服务领域,大力发展个人经营性贷款已成为各行战略转型和业务竞争的重点。但与此同时,银行内控制度及执行层面的风险管控薄弱问题也逐     

我国商业银行贷款行业结构分析——基于国有银行与股份制银行的比较

正近年来,我国实体经济不振,不良率升高。商业银行资金投放面临行业和客户选择困难。本文从国有银行和股份制银行比较的角度,对商业银行的贷款行业投向进行分析。国有银行与股份制银行贷款行业分布情况整体情况从整体上看,国有银行贷款总额为37.66万亿元,股份制银行为13.65万亿元,国有银行是股份制银行的2.76倍。其中对公     

The fading stock market response to announcements of bank bailouts

We analyze the effects on bank valuation of government policies aimed at shoring up banks’ financial conditions during the 2008–2009 financial crisis. Governments injected into troubled institutions massive amounts of fresh capital and/or guaranteed bank assets and liabilities. We employ event study methodology to estimate the impact of government-intervention announcements on bank valuation. Using traditional approaches, announcements directed at the banking system as a whole were associated with positive cumulative abnormal returns, whereas announcements directed at specific banks with negative ones. Findings are consistent with the hypothesis that individual institutions were reluctant to seek public assistance. However, when we correct standard errors for bank-and-time effects, virtually all announcement impacts vanish in Europe, whereas they weaken in the United States. The policy implication is that the large public commitments were either not credible or deemed inadequate relative to the underlying financial difficulties of banks.     

Does the stock market value bank diversification?

This paper investigates whether or not functionally diversified banks have a comparative advantage in terms of long-term performance/risk profile compared to their specialized competitors. To that end, this study uses market-based measures of return potential and bank risk. We calculate the franchise value over time of European banks as a measure of their long-run performance potential. In addition, we measure risk as both the systematic and the idiosyncratic risk components derived from a bank stock return model. Finally, we analyze the return/risk trade-off implied in different functional diversification strategies using a panel data analysis over the period 1989–2004. A higher share of non-interest income in total income affects banks’ franchise values positively. Diversification of revenue streams from distinct financial activities increases the systematic risk of banks while the effect on the idiosyncratic risk component is non-linear and predominantly downward-sloping. These findings have conflicting implications for different stakeholders, such as investors, bank shareholders, bank managers and bank supervisors.     

(How) has the market become more efficient?

Using a portfolio of Dow Jones Industrial Average index constituents and the index ETF, we document significant intraday deviations from the law of one price. These are especially pronounced at very short time intervals. The extent of deviations is related to volatility, liquidity, and transaction costs of both the index constituents and the ETF. Further, the influence of news arrival, and liquidity (volatility) shocks on the deviations persists for several hours. Finally, we document significant decline (by at least 80%) in the deviations between 1998 and 2010. We find that this decline is largely due to decimalization, the repeal of the uptick rule, and the introduction of automated updating of the NYSE order book. Overall, our findings indicate an increase in operational market efficiency.     

An examination of the effect of stock market liquidity on bank market power

This paper investigates the spillover effects of aggregate stock market liquidity on bank market power using a sample of 44 countries and 7297 individual banks from 1999 to 2014. Country-level and bank-level analysis shows that enhancement in stock market liquidity strengthens the market power of the banking sector. This relationship is more pronounced in developed market countries and in countries with common law origin, which offer better investor protection. To the best of our knowledge, this is the first paper to provide comprehensive empirical evidence of the complementary relationship between banks and stock markets, providing important policy implications for regulators.     

The market reaction to bank regulatory reports

We investigate the role of bank regulatory reports in the information environments of banks. Our findings are as follows. (1) Call Reports but not FR Y-9Cs elicit economically significant stock price and volume reactions when they are publicly released, despite the fact that Call Reports usually follow earnings announcements. (2) Some of the reaction is traceable to a schedule dealing with mortgage lending and servicing. (3) The release of the Call Reports is tightly clustered around the 30th day after quarter-end. (4) After bank regulators undertook a “modernization project” to speed the processing and public dissemination of regulatory reports, the banking industry routinely experiences abnormal stock price volatility and trading volume on the 30th day of the quarter. (5) The market reaction increased after media coverage of this study. Our findings are of interest to regulators who require and monitor the reports, banks that prepare the reports, investors who may use the reports, and academics who can base research designs on the timing patterns we uncover.     

Forecasting stock market returns: The sum of the parts is more than the whole

We propose forecasting separately the three components of stock market returns—the dividend–price ratio, earnings growth, and price–earnings ratio growth—the sum-of-the-parts (SOP) method. Our method exploits the different time series persistence of the components and obtains out-of-sample R-squares (compared with the historical mean) of more than 1.3% with monthly data and 13.4% with yearly data. This compares with typically negative R-squares obtained in a similar experiment with predictive regressions. The performance of the SOP method comes mainly from the dividend–price ratio and earnings growth components, and the robustness of the method is due to its low estimation error. An investor who timed the market using our method would have had a Sharpe ratio gain of 0.3.     

The stock market and investment

Changes in stock prices have substantial explanatory power forU.S. investment, especially for long-term samples, and evenin the presence of cash flow variables. The stock market dramaticallyout-performs a standard q-variable because the market-equitycomponent of this variable is only a rough proxy for stock marketvalue. Although the stock market did not predict accuratelyafter the crash of October 1987, the errors were not statisticallysignificant. Parallel relationship for Canada raise the puzzlethat Canadian investment appears to react more to the U.S. stockmarket than to the Canadian market.     

The sensitivity of bank stock returns to real estate

According to the Federal Reserve Board, banking firms have recently been shifting significantly larger portions of their loan portfolios into real estate. This increase in real estate lending has caused concern about the continuing economic health of banks on the part of state and federal regulators, since changes in real estate returns, evidenced by changes in property value, can potentially have a significant impact on bank default risk and profit-ability. However, concerned parties do not seem to have explicitly considered the relationship between mortgage default risk and the specific characteristics of real estate investments.This study examines the sensitivities of stock returns for different bank groups, based on the percentage of total loans in real estate and the percentage of loans in five different mortgage categories (construction and development loans, farmland loans, one- to four-family residential loans, multifamily residential loans, and nonresidential and nonfarm loans), to changes in real estate market returns. This is done by developing and using a three-index model.The results of this study indicate that bank stocks, overall, are very sensitive to changes in real estae returns. Banks, with a larger portion of their total loans invested in all types of real estate loans, except farmland loans, are most sensitive to changes in real estate returns.     

The reaction of bank stock prices to the international debt crisis

In this paper we develop a cross-sectional regression approach to estimate the impact of foreign loan exposure on the pricing of U.S. bank stocks. A new approach is required because news about foreign loan problems may arrive incremently over time, rather than reaching the market on a few specific dates the way earnings and dividend announcements do. Consistent with this interpretation, we find that foreign loan exposure had a significant impact on the pricing of U.S. bank stocks during the years 1982 and 1983, but that the stock prices adjusted continually over the two-year period rather than jumping on a few particular days.