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Earnings response coefficients of OECD banks: tests extended to include bank risk factors

We investigate two issues: Do share prices of banks in European markets respond to unexpected accounting earnings disclosures? Are share prices as well as unexpected earnings changes correlated with bank-relevant risk factors? Results reveal that bank share prices respond to unexpected earnings chan...

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Main Authors: Syed Mohamed, Mohamed Ariff, Cheng, Fan Fah, Soh, Wei Ni
Format: Article
Language:English
Published: Elsevier 2013
Online Access:http://psasir.upm.edu.my/id/eprint/28260/1/Earnings%20response%20coefficients%20of%20OECD%20banks.pdf
http://psasir.upm.edu.my/id/eprint/28260/
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spelling my.upm.eprints.282602017-10-30T03:27:45Z http://psasir.upm.edu.my/id/eprint/28260/ Earnings response coefficients of OECD banks: tests extended to include bank risk factors Syed Mohamed, Mohamed Ariff Cheng, Fan Fah Soh, Wei Ni We investigate two issues: Do share prices of banks in European markets respond to unexpected accounting earnings disclosures? Are share prices as well as unexpected earnings changes correlated with bank-relevant risk factors? Results reveal that bank share prices respond to unexpected earnings changes at the time of accounting reports in the same manner as the shares of the more widely-researched non-bank firms. Apart from finding significant earnings response coefficients in eight countries, we find that credit risk, price risk, exchange rate risk, and solvency risk are significantly correlated with share price changes. Third, three bank risk factors are significantly correlated with unexpected earnings changes. These results are obtained after corrections for several statistical and econometric problems so our reported parameters are robust, certainly more so than in earlier studies using ordinary least square regressions. These new findings extend earnings response literature to several banking sectors, and also identify bank's key risk factors. Elsevier 2013 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/28260/1/Earnings%20response%20coefficients%20of%20OECD%20banks.pdf Syed Mohamed, Mohamed Ariff and Cheng, Fan Fah and Soh, Wei Ni (2013) Earnings response coefficients of OECD banks: tests extended to include bank risk factors. Advances in Accounting, incorporating Advances in International Accounting, 29 (1). pp. 97-107. ISSN 0882-6110 10.1016/j.adiac.2013.03.003
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description We investigate two issues: Do share prices of banks in European markets respond to unexpected accounting earnings disclosures? Are share prices as well as unexpected earnings changes correlated with bank-relevant risk factors? Results reveal that bank share prices respond to unexpected earnings changes at the time of accounting reports in the same manner as the shares of the more widely-researched non-bank firms. Apart from finding significant earnings response coefficients in eight countries, we find that credit risk, price risk, exchange rate risk, and solvency risk are significantly correlated with share price changes. Third, three bank risk factors are significantly correlated with unexpected earnings changes. These results are obtained after corrections for several statistical and econometric problems so our reported parameters are robust, certainly more so than in earlier studies using ordinary least square regressions. These new findings extend earnings response literature to several banking sectors, and also identify bank's key risk factors.
format Article
author Syed Mohamed, Mohamed Ariff
Cheng, Fan Fah
Soh, Wei Ni
spellingShingle Syed Mohamed, Mohamed Ariff
Cheng, Fan Fah
Soh, Wei Ni
Earnings response coefficients of OECD banks: tests extended to include bank risk factors
author_facet Syed Mohamed, Mohamed Ariff
Cheng, Fan Fah
Soh, Wei Ni
author_sort Syed Mohamed, Mohamed Ariff
title Earnings response coefficients of OECD banks: tests extended to include bank risk factors
title_short Earnings response coefficients of OECD banks: tests extended to include bank risk factors
title_full Earnings response coefficients of OECD banks: tests extended to include bank risk factors
title_fullStr Earnings response coefficients of OECD banks: tests extended to include bank risk factors
title_full_unstemmed Earnings response coefficients of OECD banks: tests extended to include bank risk factors
title_sort earnings response coefficients of oecd banks: tests extended to include bank risk factors
publisher Elsevier
publishDate 2013
url http://psasir.upm.edu.my/id/eprint/28260/1/Earnings%20response%20coefficients%20of%20OECD%20banks.pdf
http://psasir.upm.edu.my/id/eprint/28260/
_version_ 1643829412855021568
score 13.211869

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