Cross-sectional dispersion and bank performance

被引：0

作者：

Gkougkousi, Xanthi ^{[1
]}

John, Kose ^{[2
]}

Radhakrishnan, Suresh ^{[3
]}

Sadka, Gil ^{[4
]}

Saunders, Anthony ^{[5
]}

机构：

[1] Compass Lexecon, 555 12th St NW, Washington, DC 20004 USA

[2] NYU, Stern Sch Business, 44 West 4th St,Suite 9-190, New York, NY 10012 USA

[3] Univ Texas Dallas, Naveen Jindal Sch Management, 800 West Campbell Rd,SM 4-426, Richardson, TX 75080 USA

[4] Univ Texas Dallas, Naveen Jindal Sch Management, 800 West Campbell Rd,SM 4-423, Richardson, TX 75080 USA

[5] NYU, Stern Sch Business, 44 West 4th St,Suite 9-91, New York, NY 10012 USA

来源：

JOURNAL OF BANKING & FINANCE | 2022年 / 138卷

关键词：

Loan; Dispersion; Loss; Bank; CREDIT SPREADS; BUSINESS-CYCLE; EXPECTED RETURNS; STOCK RETURNS; INCOME; INFORMATION; VOLATILITY; MANAGEMENT; DEBT;

D O I：

10.1016/j.jbankfin.2022.106461

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the relation between cross-sectional earnings dispersion and the banking sector's perfor-mance. Theory suggests that cross-sectional earnings dispersion will lead to greater loan losses and higher interest rates. We confirm this hypothesis by showing a robust association between earnings dis-persion and bank performance. Dispersion in earnings explains more of the overall bank performance than macroeconomic indicators for business cycles. We also find that banks tighten their lending stan-dards and increase interest rates to partially compensate for future loan losses. Finally, we find that cross-sectional earnings dispersion is associated with dispersion in bank performance. The relation between dispersion in bank performance and earnings dispersion is declining over time suggesting that system-atic risk is rising in the banking sector.(c) 2022 Elsevier B.V. All rights reserved.

引用

页数：16

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