Predicting European banks distress events: Do financial information producers matter?
研究了卖方股票分析师和信用评级机构的披露对预测欧洲上市银行困境事件的预测能力，发现两者能提前两年提供增量信息，对决策者构建早期预警系统有参考价值。
This article assesses the predictive power of sell-side stock analysts and credit rating agencies on listed European banks distress events by introducing their respective disclosures into a logit early-warning system over the 2000Q3-2020Q1 period. As direct bank failures are rare in Europe, I also account for state and private sector interventions. The model is calibrated to minimize the loss of a decision-maker committed to prevent impending distress events and is estimated in a real-time fashion. I also control for bank- and macroeconomic-level data by integrating accounting ratios and variables related to the banking sector and the business cycle as a whole. I find both financial information producers’ disclosures to display forward-looking informative and predictive performance on bank distress risk up to two years in advance. This highlights their added value on bank distress prediction with regard to accounting and macroeconomic data, that is beyond solely acting as a synthesis of such data. • Sell-side stock analysts and credit rating agencies are efficient to anticipate bank defaults in Europe up to two years in advance. • Both ratings and recommendations reveal more information than the sole synthesis of macroeconomic and bank-level data. • A decision-maker would benefit from introducing them into an Early Warning System to foresee financial instability.