商业银行的操作风险、声誉效应与市场反应

Studies of International Finance ›› 2015, Vol. 338 ›› Issue (2) : 77-87.

Studies of International Finance ›› 2015, Vol. 338 ›› Issue (2) : 77-87.

Author information +
History +

Abstract

We research the reputation effect of banks’operational losses and its dynamics impact on the market return rate. Based on the operational risk events of China’s listed banks between 2001 and 2012,we“isolate”the pure reputation effect by comparing the loss amount of the bank’s market value and its declared loss amount after the occurrence of operational risk. Then,we divide these events into three periods, namely the disclosure period, the acknowledgement period and the settlement period, and analyze how the reputation effect in these events dynamically influence the market yield. We found that with the continuous disclosure of information,banks’operational risk events at different periods may produce different market reaction. In the disclosure period,banks would have significantly negative abnormal returns when the announced losses occur and significantly positive abnormal returns in the settlement period. In the acknowledgement period, there is no regularity. It also tells us that due to the existence of reputation effect,it is necessary for banks to have effective control on loss amount and timely response to those uncertain information of operational risk events,which helps to reduce operational risk losses.

Key words

Operational Risk / Effect of Reputation / Market Reaction

Cite this article

Download Citations

References

[1] 丰吉闯等. 商业银行操作风险度量模型选择分析[J]. 国际金融研究,2011(8)
[2] 王志诚,周春生. 金融风险管理研究进展:国际文献综述[J]. 管理世界,2006(4)
[3] 杨国梁. 国内外商业银行操作风险管理实践探讨[J]. 国际金融研究,2007(12)
[4] 杨晔,何焱. 我国商业银行操作风险计量方法实证分析[J]. 国际金融研究,2010(12)
[5] 袁德磊,赵定涛. 基于媒体报道的国内银行业操作风险损失分布研究[J]. 国际金融研究,2007(2)
[6] 钟伟,顾弦著. 动荡未定:新巴塞尔协议Ⅲ和操作风险管理理论[M]. 北京:中国经济出版社,2012
[7] Allen,L.,Bali,T. G.,Cyclicality in Catastrophic and Operational Risk Measurements[J]. Journal of Banking and Finance,2007(31):1191-1235
[8] Chernobai,A.,Yildirim,Y. The Dynamics of Operational Loss Clustering[J]. Journal of Banking and Finance,2008(32):2655-2666
[9] Cummins,J. D.,Lewis,C. M.,Wei,R. The Market Value Impact of Operational Risk Events for US Banks and Insurers[J]. Journal of Banking and Finance,2006(30):2605-2634
[10] Patell,J.M. Corporate Forecasts of Earnings Per Share and Stock Price Behaviour:Empirical Tests[J]. Journal of Accounting Research,1976(14):246-276

80

Accesses

0

Citation

Detail

Sections
Recommended

/