Bank Financial Distress and Stock Price Crashes: A Quasi‐Experimental Approach
基于美国银行月度数据，研究发现银行短期财务困境加剧会显著提高股价崩盘风险，且贷款损失拨备的透明度是重要传导渠道。
ABSTRACT Using 118,292 US bank‐month observations, we examine the effects of short‐term changes in bank's financial distress on stock price crash risk. There is a significant positive association between short‐term changes in distress on stock price crash risk. The results remain consistent across alternative measures of distress and crash risk. We confirm robustness by employing additional tests for reverse causality and propensity score matching. We find opacity, proxied by discretionary loan‐loss provisions to be a potential channel through which increase in distress affects future crash risk. Our study underscores the critical association between increasing financial distress, loan‐loss reporting, and crash risk.