Bank Stock Price Reaction to Required Writedowns
研究1989和1990年监管机构要求银行控股公司减记阿根廷债务时，市场如何反应。发现减记导致股价显著下跌，表明监管者可能比银行更了解债务偿还概率。
In 1989 and again in 1990, regulators required bank holding companies (BHCs) to write down their Argentine debt. Our objective is to assess how such required writedowns are perceived by the market. If the market revises its valuation of debt held by BHCs as a result of the required writedowns, share prices of BHCs should decline. Our analysis finds a significant negative decline in the share prices of BHCs in response to the required writedowns. The results suggest that regulators may know more about the debt repayment probabilities of less developed countries than BHCs. Alternatively, BHCs may have similar knowledge as regulators, but because of agency considerations may wish to defer further increases in loan losses. Alternatively, regulators may be less optimistic about the future debt repayment capabilities of Argentina. Regardless of the reason, it appears that required writedowns can contain valuable information about the value of BHCs.