Bank opacity and the efficiency of stock prices

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• 作者：Benjamin M. Blau^a ; ^{ben.blau@usu.edu} ; Tyler J. Brough^b ; ^{tyler.brough@usu.edu} ; Todd G. Griffith^c ; ^{tgriffith@bus.olemiss.edu}
• 关键词：Opacity ; Friction ; Price delay ; Market efficiency ; Intermediation risk ; Impulse response functions
• 刊名：Journal of Banking & Finance
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：76
• 期：Complete
• 页码：32-47
• 全文大小：977 K
• 卷排序：76

文摘

Prior research argues that the process of intermediation is opaque and produces uncertainty about the riskiness of banks, which may adversely affect the efficiency of bank stock prices. Using the Hou and Moskowitz (2005) measure of price delay, which captures the inefficiency of stock prices, we test for, and find evidence supporting the idea that opacity is positively associated with price delay. Bank stocks have markedly higher delay than similar non-bank stocks. This higher level of delay is driven, in part, by market-based measures of informational opacity as well as the asset composition of the bank's balance sheet. Combined, our findings suggest that bank opacity reduces the efficiency of financial markets.