Early warning indicators of banking crisis and bank related stock returns
- Authors
- Sohn, Bumjean; Park, Heungju
- Issue Date
- 8월-2016
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Keywords
- Credit cycles; Banks; Bank dependent firms; Stock return predictability
- Citation
- FINANCE RESEARCH LETTERS, v.18, pp.193 - 198
- Indexed
- SSCI
SCOPUS
- Journal Title
- FINANCE RESEARCH LETTERS
- Volume
- 18
- Start Page
- 193
- End Page
- 198
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/88009
- DOI
- 10.1016/j.frl.2016.04.016
- ISSN
- 1544-6123
- Abstract
- This study examines whether early warning indicators of banking crisis can predict the U.S. bank related stock returns in credit tightening periods. We use the credit-to-GDP gap and the credit growth as the early warning indicators of banking crisis. Using bank stock returns and stock returns of bank dependent firms, we find the credit growth forecasts both of the bank related stock returns better than the credit-to-GDP gap in periods of tightened credit conditions. Our results suggest that the credit growth is more informative in predicting bank sector crisis than the credit-to-GDP gap. (C) 2016 Elsevier Inc. All rights reserved.
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Collections - Korea University Business School > Department of Business Administration > 1. Journal Articles
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