Loan loss provisions and return predictability: a dynamic perspective

• المؤلفون الرئيسيون: Gao, Phoebe, Lim, Chu Yeong, Liu, Xiumei, Zeng, Colin Cheng
• مؤلفون آخرون: Nanyang Business School
• التنسيق: مقال
• اللغة: English
• منشور في: 2022
• الموضوعات: Business::Accounting; Loan Loss Provisions; Return Predictability
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/163026
• المؤسسة: Nanyang Technological University

This paper examines the impact of loan loss provisions (LLPs) on return predictability during 1994–2017. We find that on average, LLPs are negatively associated with one year ahead stock returns. This effect is particularly significant during the global financial crisis but much weaker during the Ba...