摘要
This study investigates how equity investors react to bank loan announcements in China using an event study methodology. By estimating the average Cumulative Abnormal Returns （CARs） over the event period and controlling for the impact of other factors such as borrower, lender and loan characteristics, we find that the overall reaction is negative. However, the results for the two sub-sample periods are different. After the onset of the Global Financial Crisis, the average CARs are no longer statistically different from zero, indicating higher lending standards and improvement in the quality of credit analysis of Chinese banks.
This study investigates how equity investors react to bank loan announcements in China using an event study methodology. By estimating the average Cumulative Abnormal Returns （CARs） over the event period and controlling for the impact of other factors such as borrower, lender and loan characteristics, we find that the overall reaction is negative. However, the results for the two sub-sample periods are different. After the onset of the Global Financial Crisis, the average CARs are no longer statistically different from zero, indicating higher lending standards and improvement in the quality of credit analysis of Chinese banks.
