Information and contagion effects of bank loan-loss reserve announcements

Information and contagion effects of bank loan-loss reserve announcements Consistent with an information-signaling perspective, negative and statistically significant announcement effects are associated with bank loan-loss reserve (LLR) announcements over the 1985–1990 period. Announcement effects differ between money-center and regional banks and also according to the nature of contemporaneous earnings and dividend disclosures. Moreover Information transfer or ‘contagion’ effects are present in that LLR announcements by regional banks decrease the value of both money-center banks and nonannouncing regional banks. These statistically significant contagion effects suggest a link between the asset quality characteristics of money-center and regional bank loan portfolios. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Financial Economics Elsevier

Information and contagion effects of bank loan-loss reserve announcements

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Publisher
Elsevier
Copyright
Copyright © 1997 Elsevier Ltd
ISSN
0304-405x
DOI
10.1016/S0304-405X(96)00895-1
Publisher site
See Article on Publisher Site

Abstract

Consistent with an information-signaling perspective, negative and statistically significant announcement effects are associated with bank loan-loss reserve (LLR) announcements over the 1985–1990 period. Announcement effects differ between money-center and regional banks and also according to the nature of contemporaneous earnings and dividend disclosures. Moreover Information transfer or ‘contagion’ effects are present in that LLR announcements by regional banks decrease the value of both money-center banks and nonannouncing regional banks. These statistically significant contagion effects suggest a link between the asset quality characteristics of money-center and regional bank loan portfolios.

Journal

Journal of Financial EconomicsElsevier

Published: Feb 1, 1997

References

  • Dividends and losses
    DeAngelo, Harry; DeAngelo, Linda; Skinner, Douglas J.

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