Predicting European Banks Distress Events: Do Financial Information Producers Matter?

Quentin Bro de Comères ()
Additional contact information
Quentin Bro de Comères: CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers

Working Papers from HAL

Abstract: This article assesses the predictive power of sell-side stock analysts and credit rating agencies on the prevision of European banks distress events by introducing their respective disclosures into a logit early-warning system over the 2000-2020 period. As direct bank failures are rare in Europe, we construct a dataset accounting for direct failures and state and private sector interventions. The model is calibrated to minimize the loss of a decision-maker committed to prevent impending distress events and is estimated in a real-time fashion. We also control for bank- and macro-level data. We find both financial information producers' disclosures to display forward-looking informative and predictive performance on bank distress risk up to two years in advance.

Keywords: Bank Distress; Early Warning Systems; Financial Analysts; Credit Rating Agencies (search for similar items in EconPapers)
Date: 2022-10-04
New Economics Papers: this item is included in nep-ban and nep-fdg
Note: View the original document on HAL open archive server: https://hal.science/hal-03752678v3
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://hal.science/hal-03752678v3/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-03752678

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().