国际清算银行-全球银行的盈利能力、估值和弹性-紧密联系（英）-2023.11-28页_778kb

Summary

Introduction

• BIS working paper examines the link between profitability (ROE), valuation (PBR), and resilience (management buffer) among 31 G-SIBs using quarterly data from 2014–2022.
• Low PBR signals investor skepticism towards banks' ability to create value, posing systemic risks if capital is needed externally during crises.

Main Findings

• Valuation Determinants: PBR is strongly driven by forward-looking ROE forecasts (86% explanatory power) and transitional management buffers. Low PBR banks experience higher frequencies of adverse ROEs (large negative surprises).
• Strategies of Low-Valued Banks:
  • Distribute nearly all profits as dividends to support share prices.
  • Reduce risk-weighted assets to boost capital ratios, but this may involve deleveraging, potentially shrinking viable business models.
• Market Reactions: Low-PBR banks suffer significant negative equity responses during adverse ROE reports, limiting their ability to raise capital at challenging times. Credit markets remain relatively unconcerned due to eligibility for CDS protection under higher capital buffers.
• Policy Implications: Addressing low PBR requires structural reforms like resolving nonperforming loans, accelerating corporate restructuring, and facilitating cross-border mergers to improve long-term bank resilience and financial stability.

Key Contributions

• Confirms a tight link between profitability, valuation, and resilience in G-SIBs.
• Low PBR reflects market projection of high future loss risk, turning into equity and credit market dynamics that limit bank financing options during crises.
• Analysis suggests that PBR provides crucial early warning signals for systemic vulnerabilities in the banking sector.