Credit Expansion and Neglected Crash Risk*
研究1920-2012年20个发达经济体发现，银行信贷扩张期间，投资者过度乐观忽视崩盘风险，导致银行股崩盘风险上升但未来1-3年平均回报反而下降；当信贷扩张超过95%分位时，银行股指数未来三年超额回报为-37.3%。
Abstract By analyzing 20 developed economies over 1920–2012, we find the following evidence of overoptimism and neglect of crash risk by bank equity investors during credit expansions: (i) bank credit expansion predicts increased bank equity crash risk, but despite the elevated crash risk, also predicts lower mean bank equity returns in subsequent one to three years; (ii) conditional on bank credit expansion of a country exceeding a 95th percentile threshold, the predicted excess return for the bank equity index in subsequent three years is −37.3%; and (iii) bank credit expansion is distinct from equity market sentiment captured by dividend yield and yet dividend yield and credit expansion interact with each other to make credit expansion a particularly strong predictor of lower bank equity returns when dividend yield is low.