Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks' Stocks?

Nitschka Thomas

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Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks' Stocks?

机译：德国银行股票的超额收益有大到大的折扣吗？

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Since the global financial crisis, German and other European banks' stocks have underperformed compared with the overall euro-area stock market. Does this observation reflect the explicit state guarantee for too-big-to-fail (TBTF) banks? In that case, investors have an incentive to hold stocks of systemically important banks because they provide insurance against disaster risk through the state guarantee. Indeed, recent studies reveal a TBTF discount in large US banks' stock returns. Does this finding pertain to German (representing continental European) banks too? The main results of this paper suggest that it does. Risk-adjusted returns on a German bank stock index were negative in the period from 1973 to 2014. The key driver of this finding is an unanticipated, adverse shock to the German banking sector at the beginning of the global financial crisis. This shock increased the probability of a bank default and thus the insurance value of government support.

机译：自全球金融危机以来，德国和其他欧洲银行的股票与整个欧元区股票市场相比表现不佳。这一观察结果是否反映了对于大到倒闭（TBTF）银行的明确的国家保证？在那种情况下，投资者有动力持有具有系统重要性的银行股票，因为它们通过国家担保提供了防灾风险保险。实际上，最近的研究表明，TBTF在美国大型银行的股票收益中有折扣。这一发现是否也与德国（代表欧洲大陆）的银行有关？本文的主要结果表明确实如此。 1973年至2014年期间，德国银行股票指数的风险调整后收益为负。这一发现的主要驱动力是在全球金融危机爆发之初，德国银行业遭受了意料之外的不利冲击。这种冲击增加了银行违约的可能性，从而增加了政府支持的保险价值。

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《International finance》 |2016年第3期|292-310|共19页
作者
Nitschka Thomas;
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Swiss Natl Bank, Monetary Policy Anal, Boersenstr 15, CH-8006 Zurich, Switzerland;

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Is There a Too-Big-to-Fail Discount in Excess Returns on German Banks' Stocks?

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