欧债危机下银行信息披露与贷款损失准备的关系研究

摘要

The paper aims to exploit an exogenous shock created by the Sovereign Debt Crisis and analyze banks' disclosure responses to this shock. Using a sample of 164 European banks between 2009 and 2011, we examine the between annual report (risk report) disclosure and loan loss provision. It shows that European banks increase the length of the annual report from 2009 to 2011, in particular the risk management section. Meanwhile, banks tend to reduce the loan loss provision in this period. As for the cross-sectional regression, the results imply that the changes in the length of the risk management report is negative correlated with the change of loan loss provision.%本文以欧洲主权债务危机为研究背景，来分析银行信息披露变动与银行贷款损失准备变动之间的关系。本文选取2009至2011年之间的164家欧洲银行的年度报告为样本，统计数据显示：自欧洲主权债务危机爆发以来，欧洲银行减少了贷款损失准备的计提，同时增加了年度报告的长度，包括年度报告中的风险管理部分的长度也增加了。通过实证研究发现，欧洲主权债务危机下，银行更倾向于降低贷款损失准备，但同时为了消除投资者对银行风险管理能力的质疑，向外界传递良好信号，银行普遍倾向于增加年报或风险管理报告来增加信息披露。