What Do Analysts' Provision Forecasts Tell Us about Expected Credit Loss Recognition?
研究发现分析师拨备预测能预测未来不良贷款和市场回报，表明已发生损失拨备未包含所有未来损失信息，且CECL准则可能通过消除约束影响拨备及时性的横截面差异。
ABSTRACT We document potential cross-sectional differences in how expected loss accounting will affect provision timeliness to provide important policy insights and contribute to the literature regarding the estimation of the expected loss model adoption impact and provision timeliness determinants. Our findings that analyst provision forecasts incrementally predict future nonperforming loans (NPLs) and market returns suggest that the incurred loss provision does not incorporate all available future loss information. Higher incremental coefficients on provision forecasts for banks with greater unrecognized future losses and incurred loss constraints suggest CECL could affect cross-sectional provision timeliness differences by removing these constraints. Specifically, the provision forecast and future NPL association increases with banks' unconstrained future loss estimates reflected in loan fair value disclosures and incurred loss constraints indicated by heterogeneous loans individually reviewed for impairment. This association also increases with EPS forecast errors, but decreases with target price and NPL forecast errors.