Market and Supervisory Information: Some Evidence from Italian Banks
AbstractThere is an increasing debate on the potential use of the signals arising from financial markets as a complement to the information set available to supervisors. Following this stream of research, this paper provides for the first time some empirical evidence on Italian banks, using a unique dataset matching accounting ratios, equity-market variables and supervisory judgements. More specifically, we analyse the behaviour of four well-used equity-based indicators for the Italian banks whose shares were listed on the Milan stock exchange between 1995 and 2002 and look at the correlation across banks and across indicators, verifying what type of signal (if any) different variables are able to convey. Moreover, we investigate whether equity-based indicators provide additional information for supervisors with respect to the set of data they usually rely on, assuming the supervisory ratings as a benchmark.
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Bibliographic InfoPaper provided by Department of Economics, University of York in its series Discussion Papers with number 04/04.
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Bank; supervision; market discipline; early warning;
Find related papers by JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
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