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The Information Content of Loan Grow...

Zemel, Michelle.

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The Information Content of Loan Growth in Banks.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	The Information Content of Loan Growth in Banks./
作者:	Zemel, Michelle.
面頁冊數:	71 p.
附註:	Source: Dissertation Abstracts International, Volume: 75-01(E), Section: A.
Contained By:	Dissertation Abstracts International75-01A(E).
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3574118
ISBN:	9781303477683

The Information Content of Loan Growth in Banks.
Zemel, Michelle.

The Information Content of Loan Growth in Banks. - 71 p.

Source: Dissertation Abstracts International, Volume: 75-01(E), Section: A.

Thesis (Ph.D.)--New York University, Graduate School of Business Administration, 2013.

This item is not available from ProQuest Dissertations & Theses.

I empirically evaluate the information content of a change in the size of a bank's loan portfolio. I find that the stock market reaction to loan portfolio growth in high earnings banks is positive, while the market discounts loan portfolio growth in low earnings banks. These findings are consistent with suspicion in the markets that unhealthy banks hide losses by evergreening loans. Using the market reaction as the measure of information. I also find that the information content of loan growth depends on features of the bank, the loan, and the macroeconomic state. Specifically, loan growth conveys no information for large banks and banks that engage in securitization. Loan growth is found to be more valuable for banks with higher screening abilities. Examining the type of loan made, I find that only growth to the commercial loan portfolio conveys significant information; growth to the real estate and consumer loan portfolios conveys no information. Finally, loan growth conveys information, in conjunction with earnings, during normal times and conveys no information in times of financial crisis. Further, I posit that if the market reaction, in fact, conveys meaningful information about a bank's value, then loan portfolio growth should predict future performance measures of the bank. In fact, I find that loan portfolio growth, when interacted with earnings information, predicts future non-performing loans. Accordingly, portfolios formed by sorting bank stocks by loan portfolio growth and earnings generate excess returns.

ISBN: 9781303477683Subjects--Topical Terms:

542899
Finance.

The Information Content of Loan Growth in Banks.
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500 $a Source: Dissertation Abstracts International, Volume: 75-01(E), Section: A.
502 $a Thesis (Ph.D.)--New York University, Graduate School of Business Administration, 2013.
506 $a This item is not available from ProQuest Dissertations & Theses.
506 $a This item must not be sold to any third party vendors.
506 $a This item must not be added to any third party search indexes.
520 $a I empirically evaluate the information content of a change in the size of a bank's loan portfolio. I find that the stock market reaction to loan portfolio growth in high earnings banks is positive, while the market discounts loan portfolio growth in low earnings banks. These findings are consistent with suspicion in the markets that unhealthy banks hide losses by evergreening loans. Using the market reaction as the measure of information. I also find that the information content of loan growth depends on features of the bank, the loan, and the macroeconomic state. Specifically, loan growth conveys no information for large banks and banks that engage in securitization. Loan growth is found to be more valuable for banks with higher screening abilities. Examining the type of loan made, I find that only growth to the commercial loan portfolio conveys significant information; growth to the real estate and consumer loan portfolios conveys no information. Finally, loan growth conveys information, in conjunction with earnings, during normal times and conveys no information in times of financial crisis. Further, I posit that if the market reaction, in fact, conveys meaningful information about a bank's value, then loan portfolio growth should predict future performance measures of the bank. In fact, I find that loan portfolio growth, when interacted with earnings information, predicts future non-performing loans. Accordingly, portfolios formed by sorting bank stocks by loan portfolio growth and earnings generate excess returns.
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