The DOI matches its Crossref record; 78 of the 78 references it cites were found in a registry or an index.
Credit Expansion and Neglected Crash Risk*
Open accessAbstract
By analyzing 20 developed economies over 1920–2012, we find the following evidence of overoptimism and neglect of crash risk by bank equity investors during credit expansions: (i) bank credit expansion predicts increased bank equity crash risk, but despite the elevated crash risk, also predicts lower mean bank equity returns in subsequent one to three years; (ii) conditional on bank credit expansion of a country exceeding a 95th percentile threshold, the predicted excess return for the bank equity index in subsequent three years is −37.3%; and (iii) bank credit expansion is distinct from equity market sentiment captured by dividend yield and yet dividend yield and credit expansion interact with each other to make credit expansion a particularly strong predictor of lower bank equity returns when dividend yield is low.
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Cites
The Econometrics of Financial Markets
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (2012) · Princeton University Press eBooks · doi:10.2307/j.ctt7skm5 · Cited by 5,875
Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
The Econometrics of Financial Markets
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997) · doi:10.1515/9781400830213 · Cited by 5,008
The Twin Crises: The Causes of Banking and Balance-of-Payments Problems
Kaminsky, G. L., & Reinhart, C. M. (1999) · American Economic Review · doi:10.1257/aer.89.3.473 · Cited by 4,978
Market Liquidity and Funding Liquidity
Brunnermeier, M. K., & Pedersen, L. H. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn098 · Cited by 4,835
Agency Costs, Net Worth, And Business Fluctuations
Bernanke, B., Gertler, M., Bernanke, B., & Gertler, M. (1988) · Unknown · doi:10.22004/ag.econ.292693 · Cited by 4,386
Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles
Bansal, R., & Yaron, A. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00670.x · Cited by 4,242
A model of investor sentiment /
Barberis, N., Vishny, R. W., Shleifer, A., & Research., N. B. O. E. (1997) · University of Michigan Library Repository · Cited by 4,013
A comprehensive look at the empirical performance of equity premium prediction
Welch, I., & Goyal, A. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm014 · Cited by 3,987
Cited by
Household Debt and Business Cycles Worldwide*
Mian, A., Sufi, A., & Verner, E. (2017) · The Quarterly Journal of Economics · doi:10.1093/qje/qjx017 · Cited by 756
Diagnostic Expectations and Credit Cycles
BORDALO, P., GENNAIOLI, N., & SHLEIFER, A. (2018) · The Journal of Finance · doi:10.1111/jofi.12586 · Cited by 608
Overreaction in Macroeconomic Expectations
Bordalo, P., Gennaioli, N., Ma, Y., & Shleifer, A. (2020) · American Economic Review · doi:10.1257/aer.20181219 · Cited by 608
The Macroeconomics of Shadow Banking
MOREIRA, A., & SAVOV, A. (2017) · The Journal of Finance · doi:10.1111/jofi.12540 · Cited by 265
Bank Capital Redux: Solvency, Liquidity, and Crisis
Jordà, Ò., Richter, B., Schularick, M., & Taylor, A. (2017) · doi:10.3386/w23287 · Cited by 64
Metadata
- Authors
- Baron, M., & Xiong, W.
- Venue
- The Quarterly Journal of Economics
- Publisher
- Oxford University Press (OUP)
- Published
- 2017-01-28
- Volume
- 132
- Issue
- 2
- Pages
- 713-764
- ISSN
- 0033-5533 (ISSN-L)
- 1531-4650
- OpenAlex
- W2185764662
- Cited by
- 286
- References
- 78
- FWCI
- 37.99
- Type
- journal article
- Language
- en
- Open access
- green
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
