Does the Loan Loss Reserve of US Commercial Banks Contain Information for Corporate Bonds Market Default Risk?

• Main Authors: Min-ShengWu, 吳敏聖
• Other Authors: Tse-Shih Wang
• Format: Others
• Language: en_US
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/62733666171377935755

碩士 === 國立成功大學 === 會計學系 === 102 === This study examines 215 commercial banks in U.S. during the period of 2009Q1-2012Q2. This study uses dynamic panel data regression models and time series models to analyze the influence of bond market default risk information on loan market. This study finds that the loan loss provision is negatively impacted by earnings before tax and provision, but positively impacted by spread in the high yield corporate bond market. Moreover, this study finds non-performing loans and net charge-offs of large banks are positively related to changes in spreads in the high yield corporate bond market. Our major findings are as follows: (1) there is no evidence of earnings management via the loan loss provision/loan loss reserve. (2) As it turns out, large banks executives recognize loan loss provision/loan loss reserve based on default risk of bond market, but not for small banks.