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

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