We aim to assess the accuracy of accounting and stock market indicators to predict rating changes of banks. We conduct a stepwise process to determine the optimal set of early indicators by tracing upgrades and downgrades by rating agencies as well as other relevant factors. Our results indicate...

We assess the extent to which stock market information can be used to estimate leading indicators of bank financial distress. We specify a logit early warning model, designed for European banks, which tests if market based indicators add predictive value to models relying on accounting data. We...

The main objective of this paper is to empirically assess the issue of asymmetric information in banking within a framework based on the behavior of bank stock prices. Following an event-study methodology for a sample of European listed banks during the Asian and Russian crises of 1997 and 1998,...

This paper addresses the issue of both domestic and cross border systemic risk for 8 countries in Southeast Asia (Hong Kong, Indonesia, Korea, Malaysia, The Philippines, Singapore, Taiwan and Thailand). We use weekly data on individual bank stock prices from 2000 to 2005 to construct bank...

The aim of this paper is to examine the impact on bank stock prices of the Asian and Russian financial crises for a sample of European banks. This issue is of importance regarding financial fragility and contagion effects within the banking industry. We develop an event study methodology based...

The aim of this paper is to examine the impact on bank stock prices of the Asian and Russian financial crises for a sample of European banks. This issue is of importance regarding financial fragility and contagion effects within the banking industry. We develop an event study methodology based...

We assess the extent to which stock market information can be used to estimate leading indicators of bank financial distress. We specify a logit early warning model, designed for European banks, which tests if market based indicators add predictive value to models relying on accounting data. We...

We investigate the impact of changes in capital of European banks on their risk-taking behavior from 1992 to 2006, a time period covering the Basel I capital requirements. We specifically focus on the initial level and type of regulatory capital banks hold. First, we assume that risk changes...