On implementation, IFRS 9 increases credit loss (impairment) charges and reduces after-tax profits of banks. This makes retained earnings and hence capital resources lower than what they would be under IAS 39. To maintain their capital ratios under IFRS 9, banks may choose to hold higher levels of equity capital. This paper uses a modified version of CAPM, which accounts for the low-risk anomaly (as suggested by Baker and Wurgler (Baker and Wurgler in American Economic Review 105:315–320, 2015)), to estimate the impact of this potential increase in capital levels on the cost of funding of banks in six European countries, the UK, Germany, France, Italy, Spain and Switzerland. Our results indicate that weak low-risk anomaly exists for banks’ equity in the six countries, except France. The magnitude of the anomaly varies across countries, but is generally low relative to the long-run cost of equity for banks. Due to the weak anomaly, we find a minor “day 1” impact of IFRS 9 on the cost of funding of banks in the six countries.

在实施时，IFRS 9 增加了信用损失（减值）费用并减少了银行的税后利润。这使得留存收益和资本资源低于 IAS 39 下的水平。为保持 IFRS 9 下的资本比率，银行可能会选择持有更高水平的股本。本文使用 CAPM 的修改版本，它解释了低风险异常（正如 Baker 和 Wurgler 所建议的（Baker 和 Wurgler in American Economic Review 105:315–320, 2015））来估计这种潜在增长的影响在六个欧洲国家、英国、德国、法国、意大利、西班牙和瑞士的银行融资成本的资本水平。我们的结果表明，除法国外，六个国家的银行股本均存在弱低风险异常。异常的程度因国家而异，但相对于银行的长期股权成本通常较低。由于异常现象较弱，我们发现 IFRS 9 对六个国家的银行融资成本产生了轻微的“第一天”影响。