Journal of Banking & Finance · Vol.76 · MARCH 2017

银行不透明性和股价效率

作者：Benjamin M.Blau(Utah State University -- Jon M. Huntsman School of Business)

Tyler J.Brough (Utah State University -- Jon M. Huntsman School of Business)

Todd G.Griffith(the University of Mississippi - School of Business)

摘要：先前的研究认为，银行的中介过程是不透明的，这使银行风险产生了不确定性，可能会对银行股价的有效性产生不利影响。通过使用Hou和Moskowitz（2005）衡量价格延迟的方法（这一方法捕捉了股票价格的低效率），我们检验并找到了支持不透明性与价格延迟正相关这一观点的证据。银行股相对于类似的非银行股的延迟幅度明显更高。这种更高的延迟水平一部分来源于基于市场的信息不透明度的度量和银行资产负债表中的资产组成。综合来看，我们的研究结果表明银行不透明性降低了金融市场的效率。

关键词：不透明性，摩擦，价格延迟，市场效率，中介风险，脉冲响应函数

Bank opacity and the efficiency of stock prices

Benjamin M.Blau(Utah State University -- Jon M. Huntsman School of Business), Tyler J.Brough (Utah State University -- Jon M. Huntsman School of Business), Todd G.Griffith(the University of Mississippi - School of Business)

ABSTRACT

Prior research argues that the process of intermediation is opaque and produces uncertainty about the riskiness of banks, which may adversely affect the efficiency of bank stock prices. Using the Hou and Moskowitz (2005) measure of price delay, which captures the inefficiency of stock prices, we test for, and find evidence supporting the idea that opacity is positively associated with price delay. Bank stocks have markedly higher delay than similar non-bank stocks. This higher level of delay is driven, in part, by market-based measures of informational opacity as well as the asset composition of the bank's balance sheet. Combined, our findings suggest that bank opacity reduces the efficiency of financial markets.

Keywords: Opacity, Friction, Price delay, Market efficiency, Intermediation risk, Impulse response functions

原文链接：

http://www.sciencedirect.com/science/article/pii/S0378426616302394

翻译：贾梦悦