The impact of announcements of regulatory and law enforcement penalties on stock market valuation of US banks from 2000 to 2022

IF 2 Q2 BUSINESS, FINANCE Journal of Financial Regulation and Compliance Pub Date : 2024-05-14 DOI:10.1108/jfrc-01-2024-0007

Václav Brož

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Abstract

Purpose

This paper aims to analyze stock market reactions to announcements of regulatory and law enforcement penalties imposed on banks operating in the USA.

Design/methodology/approach

This paper examines abnormal stock market returns around penalty announcements for banks operating in the USA from 2000 to 2022. The authors use a comprehensive data set of nearly 600 penalties to conduct their event study.

Findings

This paper finds evidence of positive and statistically significant abnormal returns on the day of the penalty announcement. However, the authors also observe negative and statistically significant abnormal returns days later, violating the semi-strong efficient market hypothesis.

Originality/value

By accounting for confounding events and analyzing subsamples, the authors reconcile conflicting results from prior literature that have variously shown negative, null or positive stock market reactions to penalty announcements.

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2000 年至 2022 年监管和执法处罚公告对美国银行股市估值的影响

本文旨在分析在美国经营的银行在宣布监管和执法处罚时的股市反应。本文研究了 2000 年至 2022 年在美国经营的银行在处罚宣布前后的股市异常回报。作者使用了近 600 项处罚的综合数据集来进行事件研究。研究结果本文发现了处罚公告发布当日正向且具有统计意义的异常回报的证据。原创性/价值通过考虑混杂事件和分析子样本，作者调和了之前文献中相互矛盾的结果，这些文献显示了股市对处罚公告的负面、无效或正面反应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Regulation and Compliance BUSINESS, FINANCE-

CiteScore

2.60

自引率

11.10%

发文量

期刊介绍： Since its inception in 1992, the Journal of Financial Regulation and Compliance has provided an authoritative and scholarly platform for international research in financial regulation and compliance. The journal is at the intersection between academic research and the practice of financial regulation, with distinguished past authors including senior regulators, central bankers and even a Prime Minister. Financial crises, predatory practices, internationalization and integration, the increased use of technology and financial innovation are just some of the changes and issues that contemporary financial regulators are grappling with. These challenges and changes hold profound implications for regulation and compliance, ranging from macro-prudential to consumer protection policies. The journal seeks to illuminate these issues, is pluralistic in approach and invites scholarly papers using any appropriate methodology. Accordingly, the journal welcomes submissions from finance, law, economics and interdisciplinary perspectives. A broad spectrum of research styles, sources of information and topics (e.g. banking laws and regulations, stock market and cross border regulation, risk assessment and management, training and competence, competition law, case law, compliance and regulatory updates and guidelines) are appropriate. All submissions are double-blind refereed and judged on academic rigour, originality, quality of exposition and relevance to policy and practice. Once accepted, individual articles are typeset, proofed and published online as the Version of Record within an average of 32 days, so that articles can be downloaded and cited earlier.