The Effect of Bank Loan Portfolio Composition on the Market Reaction to and Anticipation of Loan Loss Provisions
研究银行贷款组合构成如何影响贷款损失准备的及时性，进而影响证券收益与准备之间的关系。发现对于大额、频繁重谈的贷款（如外国和商业贷款），管理者有更多自由裁量权，导致损失准备及时性较低；而小额或较少重谈的贷款（如消费贷款）则相反。市场反应和预期强度因及时性指标而异。
We investigate how banks' loan portfolio composition affects the timeliness of loan loss provisions and, thus, the relation between security returns and such provisions. We maintain that the timeliness of loss provisions relative to other information about loan default decreases as discretion over such provisions increases, and that discretion over loss provisions varies by loan type. Bank managers have more discretion over loss provisions for large and frequently renegotiated loans, e.g., foreign and commercial loans, than for small or infrequently renegotiated loans, e.g., consumer loans. Large size and the possibility of renegotiation provide rationales for banks to provide for losses on a loan-by-loan basis rather than by statistical analysis of historical data. Using the proportion of small or infrequently renegotiated loans as a measure of the timeliness of loan loss provisions, we hypothesize and find that both the sign of the market reaction to and the strength of the market anticipation of loan loss provisions differs by this timeliness measure.'