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Pré-Publication, Document De Travail Année : 2022

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

Résumé

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.
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Dates et versions

hal-03752678 , version 1 (17-08-2022)
hal-03752678 , version 2 (06-09-2022)
hal-03752678 , version 3 (04-10-2022)

Identifiants

  • HAL Id : hal-03752678 , version 3

Citer

Quentin Bro de Comères. Predicting European Banks Distress Events: Do Financial Information Producers Matter?. 2022. ⟨hal-03752678v3⟩

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