Bank systemic risk and CEO overconfidence

被引：21

作者：

Lee, Jin-Ping ^{[1
]}

Lin, Edward M. H. ^{[2
]}

Lin, James Juichia ^{[3
]}

Zhao, Yang ^{[4
]}

机构：

[1] Fengchia Univ, Taichung, Taiwan

[2] Tunghai Univ, Dept Stat, Taichung, Taiwan

[3] Natl Chiao Tung Univ, Hsinchu, Taiwan

[4] Natl Chiao Tung Univ, Inst Finance, Hsinchu, Taiwan

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2020年 / 54卷

关键词：

CEO Overconfidence; Finance crisis; Banking; Systemic risk; MANAGERIAL TRAITS; CAPITAL SHORTFALL; ACQUISITIONS; VOLATILITY;

D O I：

10.1016/j.najef.2019.03.011

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the relationship between CEO overconfidence and banking systemic risk. We employ the CoVaR (Conditional Value-at-Risk) approach to measure a bank's contribution to systemic risk and compute its MES (Marginal Expected Shortfall) and SRISK (Systemic Risk index) to measure the exposure to banking systemic risk. We use a stock options based measure for CEO overconfidence and explore how managerial overconfidence could be associated with banking systemic risk. Using data for U.S. banks from 1995-2014, we find evidence that banks with overconfident CEOs have a higher contribution and exposure to systemic risk than banks with non-overconfident CEOs. We also show that the impact of CEO overconfidence contributed significantly more to systemic risk during the financial crisis of 2008-2009.

引用

页数：13

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