CAJ | 학술논문

我们通过比较银行市场价值损失与发生操作风险造成的损失的差异来分离出纯声誉效应．并实证分析了该声誉效应对不同银行及损失事件不同阶段的市场收益率的影响的差异。研究发现，操作风险事件在不同时期会产生迥异的市场反应。在披露期，银行遭受损失时会出现显著为负的异常收益率．在结算期却出现显著为正的异常收益率，而在承认期．该效应却并没有表现出一定的规律性；且上述声誉效应造成市场收益率的动态变化在不同类型的银行差异明显。这也启示我们，声誉效应的存在使银行有必要对操作风险造成的损失进行有效控制以及适时回应事件中的不确定信息。这将有助于减少银行的损失及保持市场的稳定。
아문통과비교은행시장개치손실여발생조작풍험조성적손실적차이래분리출순성예효응．병실증분석료해성예효응대불동은행급손실사건불동계단적시장수익솔적영향적차이。연구발현，조작풍험사건재불동시기회산생형이적시장반응。재피로기，은행조수손실시회출현현저위부적이상수익솔．재결산기각출현현저위정적이상수익솔，이재승인기．해효응각병몰유표현출일정적규률성；차상술성예효응조성시장수익솔적동태변화재불동류형적은행차이명현。저야계시아문，성예효응적존재사은행유필요대조작풍험조성적손실진행유효공제이급괄시회응사건중적불학정신식。저장유조우감소은행적손실급보지시장적은정。
We research the reputation effect of banks＇ operational losses and its dynamics impact on the market return rate. Based on the operational risk events of China＇s listed banks between 2001 and 2012, we ＂isolate＂ the pure reputation effect by comparing the loss amount of the bank＇s market value and its declared loss amount after the occurrence of operational risk. Then, we divide these events into three periods, namely the disclosure period, the acknowledgement period and the settlement period, and analyze how the reputation effect in these events dynamically influence the market yield. We found that with the continuous disclosure of information, banks＇ operational risk events at different periods may produce different market reaction. In the disclosure period, banks would have significantly negative abnormal returns when the announced losses occur and significantly positive abnormal returns in the settlement period. In the acknowledgement period, there is no regularity. It also tells us that due to the existence of reputation effect, it is necessary for banks to have effective control on loss amount and timely response to those uncertain information of operational risk events, which helps to reduce operational risk losses.