Does bank capitalization matter for bank stock returns?

被引：5

作者：

Huang, Qiubin ^{[1
,2
]}

de Haan, Jakob ^{[2
,3
,4
]}

Scholtens, Bert ^{[2
,5
]}

机构：

[1] Univ Sci & Technol Beijing, Beijing, Peoples R China

[2] Univ Groningen, Groningen, Netherlands

[3] De Nederlandsche Bank, Amsterdam, Netherlands

[4] CESifo, Munich, Germany

[5] Univ St Andrews, St Andrews, Fife, Scotland

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2020年 / 52卷

基金：

中国博士后科学基金;

关键词：

Bank capitalization; Bank stock returns; Portfolio analysis; Fama-MacBeth regression; COMMON RISK-FACTORS; GOOD TIMES; REQUIREMENTS; PERFORMANCE; HETEROSKEDASTICITY; EQUILIBRIUM; EXPOSURES; SHORTFALL; IMPACT; CRISES;

D O I：

10.1016/j.najef.2020.101171

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine US bank capitalization and its association with bank stock returns, and find that the book- and market-based capital ratios show different patterns. Fama-MacBeth regressions and portfolio analyses suggest that banks' market-based capital ratios are negatively associated with banks' stock returns during the (tranquil) 1994-2007 period while book-based capital ratios are positively associated with banks' stock returns during the (turbulent) 2008-2014 period. These results suggest that the effect of bank capitalization on bank stock returns depends on the capital measure used and the period considered.

引用

页数：23

共 50 条

[21] The Impact of TARP Capital Infusion on Bank Liquidity Creation: Does Bank Size Matter? [J].

Zheng, Chen ;

Cheung, Adrian ;

Cronje, Tom .

INTERNATIONAL JOURNAL OF CENTRAL BANKING, 2022, 18 (02) :283-347

[22] Bank Efficiency and Stock Returns in the Turkish Stock Market: A Two-stage Analysis Approach [J].

Kale, Suleyman ;

Eken, Mehmet Hasan ;

Kaya, I. Gokce .

ESKISEHIR OSMANGAZI UNIVERSITESI IIBF DERGISI-ESKISEHIR OSMANGAZI UNIVERSITY JOURNAL OF ECONOMICS AND ADMINISTRATIVE SCIENCES, 2020, 15 (03) :1001-1018

[23] Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market [J].

Fang, Tong ;

Su, Zhi ;

Yin, Libo .

EMPIRICAL ECONOMICS, 2021, 60 (05) :2155-2176

[24] Competition and bank liquidity creation: how bank culture matter? [J].

Nguyen, Loan Quynh Thi .

EUROPEAN JOURNAL OF FINANCE, 2025,

[25] Unexpected inflation and bank stock returns: The case of France 1977-1991 [J].

Lajeri, F ;

Dermine, J .

JOURNAL OF BANKING & FINANCE, 1999, 23 (06) :939-953

[26] Does ESG really matter to the bank's stability in ASEAN countries? [J].

Do, Huong Lan ;

Ho, Hong Hai ;

Mai, The Cuong ;

Nguyen, Thu Nga ;

Nguyen, Thai Son .

COGENT ECONOMICS & FINANCE, 2024, 12 (01)

[27] Capital, risk and profitability of WAEMU banks: Does bank ownership matter? [J].

Kanga, Desire ;

Murinde, Victor ;

Soumare, Issouf .

JOURNAL OF BANKING & FINANCE, 2020, 114

[28] Transnational spillover effects of European sovereign rating signals on bank stock returns [J].

Hu, Haoshen ;

Prokop, Joerg ;

Trautwein, Hans-Michael .

QUARTERLY REVIEW OF ECONOMICS AND FINANCE, 2022, 84 :171-182

[29] Bank stock performance and bank regulation around the globe [J].

Pelster, Matthias ;

Irresberger, Felix ;

Weiss, Gregor N. F. .

EUROPEAN JOURNAL OF FINANCE, 2018, 24 (02) :77-113

[30] Bank Lending and Monetary Transmission: Does Politics Matter? [J].

Ghosh, Saibal .

JOURNAL OF QUANTITATIVE ECONOMICS, 2020, 18 (02) :359-381

← 1 2 3 4 5 →