The Impact of Stock Price Crash Risk on Bank Dividend Payouts
Abstract
:1. Introduction
2. Literature Review and Hypothesis Development
2.1. Relevant Literature
2.2. Hypothesis Development
3. Research Design and Sample
3.1. Measures
3.2. Model Specifications
3.3. Sample and Data
4. Empirical Results
5. Additional Analyses
6. Conclusions
Author Contributions
Funding
Data Availability Statement
Conflicts of Interest
Appendix A. Variable Definitions
Dependent Variables | |
CASHDV | The ratio of cash dividends (Compustat DV) to total assets (Compustat AT). |
COMDV | The ratio of common dividends (Compustat DVC) to total assets. (Compustat AT). |
Main Variables of Interest | |
NCSKEW | The negative skewness of CRSP weekly stock returns (W) in a fiscal year. |
DUVOL | The natural logarithm of the ratio of the standard deviations of the down week to up week CRSP bank-specific weekly returns (W) in a fiscal year. |
W | Bank-specific weekly return, calculated as the natural logarithm of 1 plus the residual return from the regression model: , where is the return on stock i in week τ and is the return on CRSP value-weighted market return in week τ. |
Moderating Variables | |
TIER1 | Tier 1 risk-adjusted capital ratio (Compustat CAPR1/100). |
RACR | Risk-adjusted capital ratio (Compustat CAPR3/100). |
CAP | Bank capitalization represented by either TIER1 or RACR as defined above. |
ADLLP | The magnitude of discretionary loan loss provisions, calculated as the residual of the regression: , where LLP is the ratio of loan loss provisions (Compustat PLL) to beginning total loans (Compustat LNTAL); ΔNPL is the ratio of change in non-performing assets (Compustat NPAT) to beginning total loans (Compustat LNTAL); SIZE is the natural logarithm of total assets (Compustat AT); LOAN is the ratio of change in total loans (Compustat LNTAL) to beginning total assets (Compustat AT); ΔGDP is the change in the per capita GDP of the state where the bank’s headquarters are located (Bureau of Economic Analysis); ΔUNEMP is the change in the unemployment rate of the state where the bank’s headquarters are located (Bureau of Labor Statistics); ΔHPL is the change in the house price index of the state where the bank’s headquarters are located (Federal Housing Finance Agency). |
AUDIT | The natural logarithm of total audit fees (Audit Analytics MATCHFY_SUM_AUDFEES). |
OPACITY | Bank opacity represented by either ADLLP or AUDIT as defined above. |
Other Control Variables | |
SIZE | The natural logarithm of total assets (Compustat AT). |
MTB | The ratio of the CRSP market value of equity to the book value of equity (Compustat CEQ) |
ROA | The ratio of pre-tax income (Compustat PI) to beginning total assets (Compustat AT). |
DEPOSIT | The ratio of total deposits (Compustat DPTC) to total assets (Compustat AT). |
CHO | The ratio of loan charge-offs (Compustat NCO*(−1)) to beginning total loans (Compustat LNTAL). |
ΔAST | The growth rate of total assets (Compustat AT). |
ΔGDP | The growth rate of state-level per capita GDP (Bureau of Economic Analysis). |
BK | Indicator variables for bank fixed effects. |
ST | Indicator variables for state fixed effects. |
YR | Indicator variables for year fixed effects. |
1 | FDIC-supervised institutions must maintain the minimum capital ratios: common equity tier 1 capital–total risk-weighted assets ratio of 4.5%, tier 1 capital–total risk-weighted assets ratio of 6%, total capital–total risk-weighted assets ratio of 8%, and tier 1 leverage ratio of 4% (FDIC 2019). |
2 |
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N | Mean | Median | Q1 | Q3 | Std. Dev. | |
---|---|---|---|---|---|---|
CASHDV | 5141 | 0.003 | 0.003 | 0.001 | 0.004 | 0.002 |
COMDV | 5141 | 0.003 | 0.002 | 0.001 | 0.004 | 0.002 |
NCSKEW | 5141 | −0.109 | −0.104 | −0.448 | 0.248 | 0.616 |
DUVOL | 5141 | −0.060 | −0.061 | −0.257 | 0.142 | 0.306 |
SIZE | 5141 | 7.723 | 7.395 | 6.639 | 8.503 | 1.510 |
MTB | 5141 | 1.258 | 1.177 | 0.871 | 1.562 | 0.586 |
ROA | 5141 | 0.009 | 0.011 | 0.006 | 0.016 | 0.013 |
TIER1 | 5141 | 0.123 | 0.119 | 0.101 | 0.139 | 0.032 |
DEPOSIT | 5141 | 0.764 | 0.780 | 0.718 | 0.824 | 0.083 |
CHO | 5141 | 0.006 | 0.002 | 0.001 | 0.006 | 0.009 |
ΔAST | 5141 | 0.086 | 0.053 | 0.007 | 0.124 | 0.146 |
RACR | 5141 | 0.150 | 0.141 | 0.125 | 0.163 | 0.041 |
ADLLP | 5141 | 0.004 | 0.003 | 0.001 | 0.005 | 0.006 |
AUDIT | 5141 | 12.772 | 12.608 | 11.983 | 13.406 | 1.118 |
ΔGDP | 5141 | 0.007 | 0.011 | −0.003 | 0.020 | 0.022 |
1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 | 14 | 15 | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1 | CASHDV | 1.00 | ||||||||||||||
2 | COMDV | 0.97 | 1.00 | |||||||||||||
3 | NCSKEW | 0.11 | 0.11 | 1.00 | ||||||||||||
4 | DUVOL | 0.10 | 0.10 | 0.96 | 1.00 | |||||||||||
5 | SIZE | 0.25 | 0.22 | 0.14 | 0.11 | 1.00 | ||||||||||
6 | MTB | 0.36 | 0.41 | 0.04 | 0.03 | 0.22 | 1.00 | |||||||||
7 | ROA | 0.34 | 0.38 | 0.03 | 0.02 | 0.19 | 0.54 | 1.00 | ||||||||
8 | TIER1 | 0.10 | 0.09 | 0.00 | 0.00 | −0.12 | −0.02 | 0.15 | 1.00 | |||||||
9 | DEPOSIT | −0.17 | −0.17 | −0.03 | −0.03 | −0.23 | 0.06 | −0.03 | 0.04 | 1.00 | ||||||
10 | CHO | −0.21 | −0.26 | 0.01 | 0.02 | 0.04 | −0.35 | −0.65 | −0.07 | 0.06 | 1.00 | |||||
11 | ΔAST | −0.07 | −0.04 | 0.00 | 0.00 | 0.08 | 0.18 | 0.29 | −0.08 | 0.01 | −0.25 | 1.00 | ||||
12 | RACR | 0.06 | 0.06 | −0.02 | −0.02 | −0.14 | −0.12 | 0.07 | 0.72 | −0.21 | −0.06 | −0.14 | 1.00 | |||
13 | ADLLP | −0.13 | −0.16 | 0.02 | 0.02 | −0.02 | −0.27 | −0.58 | −0.06 | −0.02 | 0.69 | −0.14 | −0.01 | 1.00 | ||
14 | AUDIT | 0.19 | 0.17 | 0.12 | 0.10 | 0.93 | 0.19 | 0.13 | −0.09 | −0.20 | 0.09 | 0.05 | −0.11 | 0.02 | 1.00 | |
15 | ΔGDP | 0.06 | 0.09 | 0.02 | 0.01 | 0.06 | 0.29 | 0.37 | 0.07 | 0.06 | −0.28 | 0.07 | 0.05 | −0.27 | 0.07 | 1.00 |
Panel A: Difference in Dividend Payments between Low and High NCSKEW Banks | ||||
---|---|---|---|---|
Low NCSKEW Bank-Years | High NCSKEW Bank-Years | Difference | Test of Difference (t-Statistic) | |
Mean CASHDV | 0.0027 | 0.0030 | 0.0003 | 5.43 *** |
Mean COMDV | 0.0025 | 0.0029 | 0.0004 | 5.61 *** |
Median CASHDV | 0.0023 | 0.0028 | 0.0005 | 6.05 *** |
Median COMDV | 0.0020 | 0.0027 | 0.0007 | 6.28 *** |
Panel B: Difference in Dividend Payments between Low and High DUVOL Banks | ||||
Low DUVOL Bank-Years | High DUVOL Bank-Years | Difference | Test of Difference (t-Statistic) | |
Mean CASHDV | 0.0023 | 0.0028 | 0.0003 | 5.23 *** |
Mean COMDV | 0.0020 | 0.0027 | 0.0004 | 5.44 *** |
Median CASHDV | 0.0023 | 0.0028 | 0.0005 | 5.63 *** |
Median COMDV | 0.0020 | 0.0027 | 0.0007 | 5.89 *** |
P (p-Value) | Inverse Normal Z (p-Value) | Inverse Logit t L* (p-Value) | Pm (p-Value) | |
---|---|---|---|---|
CASHDV | 1571.424 | −22.240 | −24.672 | 32.603 |
(0.00) | (0.00) | (0.00) | (0.00) | |
COMDV | 1652.744 | −22.950 | −27.088 | 37.423 |
(0.00) | (0.00) | (0.00) | (0.00) | |
NCSKEW | 1317.013 | −21.062 | −20.855 | 24.280 |
(0.00) | (0.00) | (0.00) | (0.00) | |
DUVOL | 1351.155 | −21.439 | −21.338 | 25.331 |
(0.00) | (0.00) | (0.00) | (0.00) | |
SIZE | 727.047 | −3.395 | −3.589 | 6.125 |
(0.00) | (0.00) | (0.00) | (0.00) | |
MTB | 1271.265 | −19.126 | −19.223 | 22.872 |
(0.00) | (0.00) | (0.00) | (0.00) | |
ROA | 1528.699 | −23.165 | −24.401 | 30.794 |
(0.00) | (0.00) | (0.00) | (0.00) | |
TIER1 | 1419.145 | −21.539 | −22.062 | 27.423 |
(0.00) | (0.00) | (0.00) | (0.00) | |
DEPOSIT | 1537.776 | −22.848 | −24.189 | 31.074 |
(0.00) | (0.00) | (0.00) | (0.00) | |
CHO | 1327.371 | −21.136 | −21.048 | 24.599 |
(0.00) | (0.00) | (0.00) | (0.00) | |
ΔAST | 1297.830 | −19.661 | −19.907 | 23.690 |
(0.00) | (0.00) | (0.00) | (0.00) | |
RACR | 1404.700 | −21.059 | −21.530 | 26.979 |
(0.00) | (0.00) | (0.00) | (0.00) | |
ADLLP | 1275.420 | −20.164 | −20.087 | 23.000 |
(0.00) | (0.00) | (0.00) | (0.00) | |
AUDIT | 830.071 | −8.545 | −8.465 | 9.296 |
(0.00) | (0.00) | (0.00) | (0.00) | |
ΔGDP | 1476.429 | −23.614 | −23.899 | 29.186 |
(0.00) | (0.00) | (0.00) | (0.00) |
(1) | (2) | (3) | (4) | |
---|---|---|---|---|
Variable | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) |
Intercept | −0.003 * | −0.003 * | −0.003 | −0.003 |
(−1.90) | (−1.88) | (−1.59) | (−1.57) | |
0.0001 *** | 0.0001 *** | |||
(2.64) | (3.36) | |||
0.0002 *** | 0.0002 *** | |||
(2.62) | (3.10) | |||
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(4.98) | (4.98) | (4.47) | (4.48) | |
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(5.03) | (5.03) | (6.20) | (6.20) | |
0.014 *** | 0.014 *** | 0.015 *** | 0.015 *** | |
(4.36) | (4.33) | (4.87) | (4.84) | |
0.005 *** | 0.005 *** | 0.002 | 0.002 | |
(2.63) | (2.62) | (1.09) | (1.09) | |
−0.002 ** | −0.002 ** | −0.002 ** | −0.002 ** | |
(−2.54) | (−2.55) | (−2.28) | (−2.28) | |
−0.013 *** | −0.013 *** | −0.016 *** | −0.016 *** | |
(−3.02) | (−3.03) | (−3.59) | (−3.60) | |
−0.001 *** | −0.001 *** | −0.001 *** | −0.001 *** | |
(−7.40) | (−7.41) | (−6.19) | (−6.20) | |
−0.003 * | −0.003 * | −0.003 ** | −0.003 ** | |
(−1.93) | (−1.92) | (−2.09) | (−2.08) | |
Bank Fixed Effects | Yes | Yes | Yes | Yes |
Year Fixed Effects | Yes | Yes | Yes | Yes |
N | 5141 | 5141 | 5141 | 5141 |
F-Statistic | 14.64 | 14.65 | 20.60 | 20.55 |
Adj. | 0.219 | 0.219 | 0.300 | 0.300 |
Panel A: The Impact of Tier 1 Risk-Adjusted Capital Ratio | ||||
---|---|---|---|---|
(1) | (2) | (3) | (4) | |
Variable | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) |
Intercept | −0.003 ** | −0.003 ** | −0.003 * | −0.003 * |
(−2.04) | (−2.01) | (−1.74) | (−1.72) | |
−0.0004 *** | −0.0004 *** | |||
(−2.86) | (−3.09) | |||
−0.001 *** | −0.001 *** | |||
(−2.88) | (−3.23) | |||
0.005 *** | 0.006 *** | 0.003 | 0.003 | |
(2.96) | (2.99) | (1.46) | (1.51) | |
0.004 *** | 0.005 *** | |||
(3.39) | (3.80) | |||
0.010 *** | 0.011 *** | |||
(3.37) | (3.85) | |||
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(5.07) | (5.06) | (4.57) | (4.57) | |
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(5.01) | (5.00) | (6.20) | (6.19) | |
0.014 *** | 0.014 *** | 0.015 *** | 0.015 *** | |
(4.35) | (4.31) | (4.86) | (4.80) | |
−0.002 ** | −0.002 ** | −0.002 ** | −0.002 ** | |
(−2.53) | (−2.55) | (−2.26) | (−2.28) | |
−0.013 *** | −0.013 *** | −0.016 *** | −0.016 *** | |
(−3.15) | (−3.20) | (−3.74) | (−3.79) | |
−0.001 *** | −0.001 *** | −0.001 *** | −0.001 *** | |
(−7.35) | (−7.38) | (−6.13) | (−6.16) | |
−0.002 * | −0.002 * | −0.003 ** | −0.003 ** | |
(−1.91) | (−1.89) | (−2.08) | (−2.05) | |
Bank Fixed Effects | Yes | Yes | Yes | Yes |
Year Fixed Effects | Yes | Yes | Yes | Yes |
N | 5141 | 5141 | 5141 | 5141 |
F-Statistic | 14.13 | 14.14 | 20.11 | 20.09 |
Adj. | 0.223 | 0.224 | 0.304 | 0.305 |
Panel B: The Impact of Total Risk-Adjusted Capital Ratio | ||||
Dependent Variable = (1) | Dependent Variable = (2) | Dependent Variable = (3) | Dependent Variable = (4) | |
Variable | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) |
Intercept | −0.003 * | −0.003 * | −0.003 | −0.003 |
(−1.77) | (−1.77) | (−1.57) | (−1.57) | |
−0.0004 *** | −0.0004 *** | |||
(−2.72) | (−3.25) | |||
−0.001 *** | −0.001 *** | |||
(−3.04) | (−3.51) | |||
0.004 * | 0.004 ** | 0.002 | 0.002 | |
(1.89) | (1.98) | (0.93) | (1.02) | |
0.003 *** | 0.004 *** | |||
(3.37) | (4.13) | |||
0.008 *** | 0.009 *** | |||
(3.61) | (4.23) | |||
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(4.85) | (4.86) | (4.42) | (4.44) | |
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(4.96) | (4.95) | (6.17) | (6.17) | |
0.014 *** | 0.014 *** | 0.015 *** | 0.015 *** | |
(4.39) | (4.35) | (4.79) | (4.74) | |
−0.002 *** | −0.002 *** | −0.002 ** | −0.002 ** | |
(−2.64) | (−2.66) | (−2.35) | (−2.37) | |
−0.014 *** | −0.014 *** | −0.017 *** | −0.017 *** | |
(−3.33) | (−3.37) | (−3.91) | (−3.95) | |
−0.001 *** | −0.001 *** | −0.001 *** | −0.001 *** | |
(−7.34) | (−7.36) | (−6.12) | (−6.15) | |
−0.002 * | −0.002 * | −0.003 ** | −0.003 * | |
(−1.86) | (−1.82) | (−2.01) | (−1.96) | |
Bank Fixed Effects | Yes | Yes | Yes | Yes |
Year Fixed Effects | Yes | Yes | Yes | Yes |
N | 5141 | 5141 | 5141 | 5141 |
F-Statistic | 13.99 | 13.96 | 19.92 | 19.87 |
Adj. | 0.221 | 0.222 | 0.303 | 0.305 |
Panel A: The Impact of the Magnitude of Discretionary Loan Loss Provisions | ||||
---|---|---|---|---|
(1) | (2) | (3) | (4) | |
Intercept | −0.003 ** | −0.003 * | −0.003 * | −0.003 |
(−1.98) | (−1.95) | (−1.66) | (−1.64) | |
0.00001 | 0.0001 | |||
(0.31) | (1.30) | |||
0.00003 | 0.00001 | |||
(0.35) | (1.15) | |||
0.027 *** | 0.026 *** | 0.029 *** | 0.029 *** | |
(4.37) | (4.37) | (5.09) | (5.09) | |
0.015 *** | 0.011 ** | |||
(2.93) | (2.45) | |||
0.032 *** | 0.025 ** | |||
(2.72) | (2.25) | |||
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(5.07) | (5.06) | (4.55) | (4.56) | |
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(4.85) | (4.83) | (6.02) | (6.02) | |
0.018 *** | 0.018 *** | 0.019 *** | 0.019 *** | |
(5.05) | (5.02) | (5.74) | (5.70) | |
0.005 *** | 0.005 *** | 0.002 | 0.002 | |
(2.66) | (2.65) | (1.11) | (1.10) | |
−0.002 ** | −0.002 ** | −0.002 ** | −0.002 ** | |
(−2.54) | (−2.56) | (−2.26) | (−2.28) | |
−0.021 *** | −0.021 *** | −0.025 *** | −0.025 *** | |
(−4.53) | (−4.46) | (−5.23) | (−5.18) | |
−0.002 *** | −0.002 *** | −0.001 *** | −0.001 *** | |
(−7.74) | (−7.76) | (−6.65) | (−6.66) | |
−0.003 ** | −0.003 ** | −0.003 ** | −0.003 ** | |
(−2.06) | (−2.03) | (−2.25) | (−2.22) | |
Bank Fixed Effects | Yes | Yes | Yes | Yes |
Year Fixed Effects | Yes | Yes | Yes | Yes |
N | 5141 | 5141 | 5141 | 5141 |
F-Statistic | 13.75 | 13.83 | 19.60 | 19.63 |
Adj. | 0.225 | 0.225 | 0.306 | 0.306 |
Panel B: The Impact of Audit Fees | ||||
Dependent Variable = (1) | Dependent Variable = (2) | Dependent Variable = (3) | Dependent Variable = (4) | |
Intercept | −0.003 | −0.003 | −0.002 | −0.002 |
(−1.47) | (−1.41) | (−0.92) | (−0.87) | |
0.001 *** | 0.001 *** | |||
(3.51) | (3.48) | |||
0.003 *** | 0.003 *** | |||
(4.24) | (4.09) | |||
−0.00004 | −0.00004 | −0.0001 | −0.0001 | |
(−0.32) | (−0.36) | (−0.73) | (−0.77) | |
−0.0001 *** | −0.0001 *** | |||
(−3.24) | (−3.12) | |||
−0.0002 *** | −0.0002 *** | |||
(−3.97) | (−3.75) | |||
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(4.59) | (4.60) | (4.50) | (4.51) | |
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(4.97) | (4.96) | (6.15) | (6.15) | |
0.014 *** | 0.014 *** | 0.015 *** | 0.015 *** | |
(4.43) | (4.47) | (4.88) | (4.91) | |
0.005 *** | 0.005 *** | 0.002 | 0.002 | |
(2.63) | (2.61) | (1.13) | (1.11) | |
−0.002 ** | −0.002 ** | −0.002 ** | −0.002 ** | |
(−2.53) | (−2.54) | (−2.24) | (−2.26) | |
−0.013 *** | −0.013 *** | −0.016 *** | −0.016 *** | |
(−3.04) | (−3.02) | (−3.59) | (−3.58) | |
−0.001 *** | −0.001 *** | −0.001 *** | −0.001 *** | |
(−7.42) | (−7.44) | (−6.23) | (−6.24) | |
−0.002 * | −0.002 * | −0.003 ** | −0.002 ** | |
(−1.84) | (−1.80) | (−2.01) | (−1.97) | |
Bank Fixed Effects | Yes | Yes | Yes | Yes |
Year Fixed Effects | Yes | Yes | Yes | Yes |
N | 5141 | 5141 | 5141 | 5141 |
F-Statistic | 13.63 | 13.71 | 18.88 | 18.88 |
Adj. | 0.221 | 0.223 | 0.302 | 0.303 |
(1) | (2) | (3) | (4) | |
---|---|---|---|---|
Variable | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) |
Intercept | 0.000 | 0.000 | 0.000 | 0.000 |
(1.16) | (1.16) | (0.57) | (0.91) | |
0.0001 *** | 0.0001 *** | |||
(3.70) | (4.26) | |||
0.0001 *** | 0.0001 *** | |||
(3.69) | (3.76) | |||
0.001 | 0.001 | 0.003 ** | 0.003 ** | |
(1.00) | (1.01) | (2.15) | (2.17) | |
0.0002 | 0.0002 | 0.0001 ** | 0.0001 ** | |
(0.54) | (0.56) | (2.51) | (2.54) | |
0.001 | 0.001 | 0.002 | 0.002 | |
(0.29) | (0.27) | (0.81) | (0.78) | |
0.003 *** | 0.003 *** | 0.002 * | 0.002 * | |
(2.68) | (2.69) | (1.92) | (1.94) | |
−0.001 | −0.001 | −0.001 | −0.001 | |
(−1.37) | (−1.39) | (−1.55) | (−1.58) | |
−0.011 *** | −0.011 *** | −0.011 *** | −0.011 *** | |
(−3.74) | (−3.73) | (−4.09) | (−4.07) | |
−0.002 * | −0.002 * | −0.003 *** | −0.003 *** | |
(−1.91) | (−1.92) | (−3.06) | (−3.08) | |
0.003 *** | 0.003 *** | 0.003 *** | 0.003 *** | |
(3.11) | (3.11) | (3.85) | (3.86) | |
Bank Fixed Effects | Yes | Yes | Yes | Yes |
Year Fixed Effects | Yes | Yes | Yes | Yes |
N | 5141 | 5141 | 5141 | 5141 |
F-Statistic | 19.06 | 19.17 | 35.07 | 46.90 |
Adj. | 0.106 | 0.106 | 0.188 | 0.188 |
(1) | (2) | (3) | (4) | |
---|---|---|---|---|
Variable | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) |
Intercept | −0.003 * | −0.003 * | −0.003 | −0.003 |
(−1.89) | (−1.91) | (−1.61) | (−1.62) | |
0.0001 *** | 0.0001 ** | |||
(2.71) | (2.49) | |||
0.0002 ** | 0.0002 ** | |||
(2.25) | (2.24) | |||
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(4.99) | (5.01) | (4.51) | (4.53) | |
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(5.10) | (5.09) | (6.27) | (6.26) | |
0.014 *** | 0.014 *** | 0.015 *** | 0.015 *** | |
(4.34) | (4.34) | (4.84) | (4.84) | |
0.005 *** | 0.005 *** | 0.002 | 0.002 | |
(2.68) | (2.68) | (1.16) | (1.16) | |
−0.002 ** | −0.002 ** | −0.002 ** | −0.002 ** | |
(−2.58) | (−2.57) | (−2.31) | (−2.31) | |
−0.013 *** | −0.013 *** | −0.016 *** | −0.016 *** | |
(−3.00) | (−3.03) | (−3.58) | (−3.59) | |
−0.001 *** | −0.001 *** | −0.001 *** | −0.001 *** | |
(−7.34) | (−7.34) | (−6.14) | (−6.13) | |
−0.003 * | −0.003 * | −0.003 ** | −0.003 ** | |
(−1.93) | (−1.92) | (−2.10) | (−2.09) | |
Bank Fixed Effects | Yes | Yes | Yes | Yes |
Year Fixed Effects | Yes | Yes | Yes | Yes |
N | 5141 | 5141 | 5141 | 5141 |
F-Statistic | 14.59 | 14.58 | 20.35 | 20.38 |
Adj. | 0.219 | 0.219 | 0.299 | 0.299 |
(1) | (2) | (3) | (4) | |
---|---|---|---|---|
Variable | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) |
Intercept | −1.430 *** | −1.400 *** | −0.714 ** | −0.702 ** |
(−2.69) | (−2.64) | (−2.46) | (−2.42) | |
−7.140 | −1.517 | |||
(−0.86) | (−0.35) | |||
−1.059 | 1.005 | |||
(−0.13) | (0.23) | |||
0.165 *** | 0.158 *** | 0.085 *** | 0.082 *** | |
(3.41) | (3.25) | (3.48) | (3.36) | |
0.056 | 0.052 | 0.029 * | 0.028 | |
(1.49) | (1.38) | (1.66) | (1.56) | |
5.688 *** | 5.608 *** | 2.788 *** | 2.754 *** | |
(3.50) | (3.45) | (3.50) | (3.45) | |
0.207 | 0.168 | 0.271 | 0.258 | |
(0.38) | (0.31) | (1.06) | (1.02) | |
−0.039 | −0.025 | −0.088 | −0.082 | |
(−0.13) | (−0.08) | (−0.59) | (−0.55) | |
1.285 | 1.380 | 1.152 | 1.195 | |
(0.56) | (0.60) | (1.05) | (1.09) | |
0.135 * | 0.145 ** | 0.077 ** | 0.081 ** | |
(1.84) | (1.97) | (2.13) | (2.22) | |
−0.407 | −0.396 | −0.271 | −0.266 | |
(−0.68) | (−0.66) | (−0.93) | (−0.92) | |
Bank Fixed Effects | Yes | Yes | Yes | Yes |
Year Fixed Effects | Yes | Yes | Yes | Yes |
N | 4453 | 4453 | 4453 | 4453 |
F-Statistic | 11.48 | 11.53 | 11.88 | 11.91 |
Adj. | 0.050 | 0.050 | 0.052 | 0.052 |
Panel A: In-Sample (IS) Test for 2004–2014 | ||||
---|---|---|---|---|
(1) | (2) | (3) | (4) | |
Variable | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) |
Intercept | −0.001 | −0.001 | −0.000 | −0.000 |
(−0.89) | (−0.88) | (−0.21) | (−0.21) | |
0.0001 *** | 0.0001 *** | |||
(2.68) | (2.76) | |||
0.0002 ** | 0.0002 ** | |||
(2.44) | (2.48) | |||
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(5.97) | (5.98) | (5.69) | (5.70) | |
0.001 *** | 0.001 *** | 0.001 *** | 0.001 *** | |
(4.83) | (4.84) | (5.87) | (5.88) | |
0.010 *** | 0.010 *** | 0.011 *** | 0.011 *** | |
(3.05) | (3.03) | (3.47) | (3.45) | |
0.005 *** | 0.005 *** | 0.002 | 0.002 | |
(2.64) | (2.63) | (1.05) | (1.04) | |
−0.003 *** | −0.003 *** | −0.003 *** | −0.003 *** | |
(−2.96) | (−2.96) | (−2.76) | (−2.77) | |
−0.014 *** | −0.014 *** | −0.017 *** | −0.017 *** | |
(−3.32) | (−3.32) | (−3.93) | (−3.94) | |
−0.002 *** | −0.002 *** | −0.001 *** | −0.001 *** | |
(−6.03) | (−6.03) | (−5.02) | (−5.02) | |
−0.003 ** | −0.003 ** | −0.003 ** | −0.003 ** | |
(−2.28) | (−2.27) | (−2.29) | (−2.28) | |
Bank Fixed Effects | Yes | Yes | Yes | Yes |
Year Fixed Effects | Yes | Yes | Yes | Yes |
N | 3995 | 3995 | 3995 | 3995 |
F-Statistic | 15.36 | 15.37 | 23.05 | 23.01 |
0.001 | 0.001 | 0.001 | 0.001 | |
Adj. | 0.265 | 0.265 | 0.353 | 0.353 |
Panel B: Out-of-Sample (OOS) Test for 2015–2018 | ||||
0.001 | 0.001 | 0.107 | 0.090 | |
0.001 | 0.001 | 0.107 | 0.090 |
(1) | (2) | (3) | (4) | |
---|---|---|---|---|
Variable | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) | Coefficient (t-Statistic) |
Intercept | −2.008 *** | −2.008 *** | −2.036 *** | −2.035 *** |
(−59.78) | (−59.84) | (−54.66) | (−54.64) | |
0.003 *** | 0.004 *** | |||
(3.65) | (4.41) | |||
0.005 *** | 0.007 *** | |||
(3.54) | (4.16) | |||
0.013 *** | 0.013 *** | 0.013 *** | 0.013 *** | |
(3.52) | (3.53) | (3.05) | (3.05) | |
0.011 *** | 0.011 *** | 0.016 *** | 0.016 *** | |
(4.61) | (4.62) | (6.59) | (6.60) | |
0.256 *** | 0.253 *** | 0.343 *** | 0.338 *** | |
(3.39) | (3.35) | (4.10) | (4.05) | |
0.110 *** | 0.110 *** | 0.067 * | 0.066 * | |
(3.46) | (3.46) | (1.85) | (1.84) | |
−0.047 ** | −0.047 ** | −0.037 * | −0.037 * | |
(−2.57) | (−2.57) | (−1.90) | (−1.89) | |
−0.418 *** | −0.422 *** | −0.829 *** | −0.836 *** | |
(−3.57) | (−3.59) | (−5.27) | (−5.31) | |
−0.027 *** | −0.027 *** | −0.019 *** | −0.019 *** | |
(−6.41) | (−6.42) | (−4.49) | (−4.50) | |
−0.016 | −0.015 | −0.043 | −0.042 | |
(−0.63) | (−0.60) | (−1.44) | (−1.42) | |
Bank Fixed Effects | Yes | Yes | Yes | Yes |
Year Fixed Effects | Yes | Yes | Yes | Yes |
N | 4412 | 4412 | 4086 | 4086 |
F-Statistic | 16.95 | 16.95 | 25.27 | 25.21 |
Adj. | 0.222 | 0.221 | 0.346 | 0.346 |
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Share and Cite
Jin, J.Y.; Liu, Y. The Impact of Stock Price Crash Risk on Bank Dividend Payouts. J. Risk Financial Manag. 2024, 17, 209. https://doi.org/10.3390/jrfm17050209
Jin JY, Liu Y. The Impact of Stock Price Crash Risk on Bank Dividend Payouts. Journal of Risk and Financial Management. 2024; 17(5):209. https://doi.org/10.3390/jrfm17050209
Chicago/Turabian StyleJin, Justin Yiqiang, and Yi Liu. 2024. "The Impact of Stock Price Crash Risk on Bank Dividend Payouts" Journal of Risk and Financial Management 17, no. 5: 209. https://doi.org/10.3390/jrfm17050209