Abstract
This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated with future crash risk after controlling for other predictors of crash risk. This finding suggests that banks are less likely to experience stock price crash when they share more borrower information through public credit registries. Moreover, the mitigating effect of credit information sharing on crash risk is more pronounced when countries have less transparent information environment and weak regulatory environments in banking sectors. The results are also robust to an alternative crash risk measure, additional control variables, subsample analyses, and an instrumental variable approach.
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