The relation between bank credit growth and the expected returns of bank stocks
研究发现银行信贷增长越高，未来一年银行股票的超额收益越低约3%，信贷增长能解释银行股票收益变动的14%，这种预测性反映了投资者对尾部风险的理性反应。
Abstract Higher bank credit growth implies that excess returns of bank stocks over the next one year are lower by nearly 3%. Credit growth tracks bank stock returns over the business cycle and explains nearly 14% of the variation in bank stock returns over a 1‐year horizon. I argue that the predictive variation in returns reflects investors' rational response to a small time‐varying probability of a tail event that impacts banks and bank‐dependent firms. Consistent with this hypothesis, the predictive power, as measured by the absolute magnitude of the coefficient on credit growth and the adjusted‐ R 2 at the 1‐year horizon, depend systematically on variables that regulate exposure to tail risk.