Information Disclosures, Default Risk, and Bank Value

Ilknur Zer
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Ilknur Zer: https://www.federalreserve.gov/econres/ilknur-zer.htm

No 2015-104, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper investigates the causal effects of voluntary information disclosures on a bank's expected default probability, enterprise risk, and value. I measure disclosure via a self-constructed index for the largest 80 U.S. bank holding companies for the period 1998-2011. I provide evidence that a bank's management responds to a plausibly exogenous deterioration in the supply of public information by increasing its voluntary disclosure, which in turn improves investors' assessment of the bank risk and value. This evidence suggests that disclosure may alleviate informational frictions and lead to a more efficient allocation of risk and return.

Keywords: Disclosure; default probability; firm value; risk management; asymmetric information; corporate governance (search for similar items in EconPapers)
Pages: 43 pages
Date: 2015-11-17
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2015-104

DOI: 10.17016/FEDS.2015.104

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