Put Option Values of Thrifts in the 1980s: Evidence from Thrift Stock Reactions to the FIRREA
通过分析1989年FIRREA法案对储蓄机构商誉资本处理的影响，发现商誉对低资本储蓄机构的股票回报有显著负面效应，表明此前许多储蓄机构存在较大的看跌期权价值，而监管收紧消除了这一价值，导致股价下跌。
The Financial Institutions Reform, Recovery, and Enforcement Act of 1989 limited thrift goodwill that could be counted as regulatory capital. This paper infers the significance of the thrift put option value from the relationship between thrift goodwill and stock returns. The ability to count goodwill as regulatory capital might have resulted in large put option values by allowing many thrifts to hold low capital and risky assets before the legislation. Tightened regulation may have reduced put option values and hence the wealth of thrift shareholders. Goodwill had a large negative effect on stock returns of low capital thrifts in 1989 and the negative effect persisted in the following two years. These findings suggest that many thrifts had large put option values before the FIRREA and the elimination of put option values was largely responsible for the stock price decline.