DCC - Séminaire de recherche - Prof. Sasan Mansouri, Université de Groningen, NL

Using DebtBERT, a novel measure for analysts’ attention during earnings conference
calls, this paper studies how markets discipline banks. We consider two groups
of banks: a treated group with implicit bail-out guarantees and an untreated group
without such guarantees. Our analysis focuses on the information that analysts
request from banks, which we classify using DebtBERT, a specifically trained large
language model. We find that analysts increased their scrutiny post-global financial
crisis. This increased attention affects banks’ abnormal stock returns in the shortterm
and leverage in the long-term, which is especially notable in banks lacking
bail-out guarantees. This result suggests a moral hazard problem, where investors
strategically discipline banks based on their perception of bail-out guarantees. Our
findings have important implications for regulatory and policy decisions aimed at
promoting transparency and stability in the banking sector.