Accounting for credit losses under U.S. GAAP is transitioning from an incurred to an expected loss model. The model change was motivated by concerns that reporting only incurred losses does not provide investors with sufficient and timely information about banks’ credit risk. In this paper, I develop a measure of lifetime expected credit losses using vintage analysis to examine whether stock prices reflect information about unrecognized expected credit losses in an incurred loss regime. Consistent with investors being able to obtain information about expected losses that are not recognized in the financial statements, I find that unrecognized expected credit losses are negatively associated with bank stock prices. The pricing of these losses is stronger for larger banks, consistent with lower costs of obtaining this information for banks with better information environments. I also find that recorded allowances were less than estimated expected losses, on average, consistent with concerns that implementing the expected loss model will adversely impact regulatory capital adequacy.

中文翻译：

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未确认的预期信用损失和银行股价

美国公认会计原则下的信用损失会计正在从已发生损失模型过渡到预期损失模型。模型变更的动机是担心仅报告发生的损失并不能为投资者提供有关银行信用风险的充分和及时的信息。在本文中，我使用年份分析开发了一种衡量整个存续期预期信用损失的方法，以检查股票价格是否反映了有关已发生损失制度中未确认的预期信用损失的信息。与投资者能够获得未在财务报表中确认的预期损失相关的信息一致，我发现未确认的预期信用损失与银行股票价格呈负相关。对于大型银行，这些损失的定价更高，与具有更好信息环境的银行获得这些信息的成本较低相一致。我还发现，平均而言，记录的准备金低于估计的预期损失，这与实施预期损失模型将对监管资本充足率产生不利影响的担忧一致。