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Do Investors Impound Information Abo...

Wheeler, Philip Barrett.

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Do Investors Impound Information About Unrecognized Expected Credit Losses into Bank Stock Prices?

Record Type:	Electronic resources : Monograph/item
Title/Author:	Do Investors Impound Information About Unrecognized Expected Credit Losses into Bank Stock Prices?/
Author:	Wheeler, Philip Barrett.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
Description:	77 p.
Notes:	Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.
Contained By:	Dissertation Abstracts International78-11A(E).
Subject:	Accounting. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10288045
ISBN:	9780355058444

Do Investors Impound Information About Unrecognized Expected Credit Losses into Bank Stock Prices?
Wheeler, Philip Barrett.

Do Investors Impound Information About Unrecognized Expected Credit Losses into Bank Stock Prices? - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 77 p.

Source: Dissertation Abstracts International, Volume: 78-11(E), Section: A.

Thesis (Ph.D.)--Indiana University, 2017.

I examine the extent to which bank loan loss allowances under current accounting standards reflect expected credit losses required to be recognized under the FASB's new expected credit loss model. Further, I examine whether allowance understatements relative to expected losses are impounded into bank stock prices. Using a new measure of lifetime expected credit losses based on vintage analysis, I find that current standards are associated with understatements of bank allowances relative to expected losses and that banks are understated on average, consistent with bankers' assertions that adoption of the new standard will reduce reported regulatory capital for most banks. Conversely, I find that 31% of allowances are greater than expected losses, inconsistent with the recognition of only incurred losses. Importantly, I find that allowance understatements are negatively associated with bank stock prices, suggesting that investors impound information about expected losses into price despite a lack of explicit recognition in the financial statements. Taken together, my findings suggest that adoption of the new standard will reduce regulatory capital for most banks but should not result in negative stock market reactions to the extent that unrecognized expected losses are already impounded in stock prices.

ISBN: 9780355058444Subjects--Topical Terms:

557516
Accounting.

Do Investors Impound Information About Unrecognized Expected Credit Losses into Bank Stock Prices?
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520 $a I examine the extent to which bank loan loss allowances under current accounting standards reflect expected credit losses required to be recognized under the FASB's new expected credit loss model. Further, I examine whether allowance understatements relative to expected losses are impounded into bank stock prices. Using a new measure of lifetime expected credit losses based on vintage analysis, I find that current standards are associated with understatements of bank allowances relative to expected losses and that banks are understated on average, consistent with bankers' assertions that adoption of the new standard will reduce reported regulatory capital for most banks. Conversely, I find that 31% of allowances are greater than expected losses, inconsistent with the recognition of only incurred losses. Importantly, I find that allowance understatements are negatively associated with bank stock prices, suggesting that investors impound information about expected losses into price despite a lack of explicit recognition in the financial statements. Taken together, my findings suggest that adoption of the new standard will reduce regulatory capital for most banks but should not result in negative stock market reactions to the extent that unrecognized expected losses are already impounded in stock prices.
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