On the Relation between Reschedulings and Bank Value

Şule Özler

17 citations0/0 files storedAmerican Economic Review

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Banking stability, regulation, efficiency Global Financial Crisis and Policies Credit Risk and Financial Regulations

Abstract

The effect of developing country loan reschedulings on large U.S. banks is investigated using an event study methodology. The major finding concerns the evolving nature of the impact of loan reschedulings. During 1978-80, reschedulings had a positive effect on bank returns, in contrast to the negative impact found for the 1981-83 period. An explanation for these results is provided by a model of the rescheduling process that recognizes the noncompetitive aspects of rescheduling negotiation. Copyright 1989 by American Economic Association.

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1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1950The Bargaining Problem 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1982Perfect Equilibrium in a Bargaining Model 1986Economic Forces and the Stock Market 1980An Empirical Investigation of the Arbitrage Pricing Theory 1977Foundations of Finance.

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