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Evidence of predictability in the cross-section of bank stock returns

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  • Cooper, Michael J.
  • Jackson, William III
  • Patterson, Gary A.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 27 (2003)
    Issue (Month): 5 (May)
    Pages: 817-850

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    Handle: RePEc:eee:jbfina:v:27:y:2003:i:5:p:817-850

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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    1. Ramakrishnan, Ram T S & Thakor, Anjan V, 1984. "Information Reliability and a Theory of Financial Intermediation," Review of Economic Studies, Wiley Blackwell, vol. 51(3), pages 415-32, July.
    2. Conrad, Jennifer & Kaul, Gautam, 1998. "An Anatomy of Trading Strategies," Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 489-519.
    3. Brewer, Elijah, III & Jackson, William E, III & Moser, James T, 1996. "Alligators in the Swamp: The Impact of Derivatives on the Financial Performance of Depository Institutions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(3), pages 482-97, August.
    4. Santomero, Anthony M, 1983. " Fixed versus Variable Rate Loans," Journal of Finance, American Finance Association, vol. 38(5), pages 1363-80, December.
    5. Theoharry Grammatikos & Anthony Saunders & Itzhak Swary, 1986. "Returns and risks of U.S. bank foreign currency activities," Working Papers 86-2, Federal Reserve Bank of Philadelphia.
    6. Narasimhan Jegadeesh, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, 04.
    7. Pesaran, M Hashem & Timmermann, Allan, 1995. " Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-28, September.
    8. Boot, Arnoud W. A. & Thakor, Anjan V., 1991. "Off-balance sheet liabilities, deposit insurance and capital regulation," Journal of Banking & Finance, Elsevier, vol. 15(4-5), pages 825-846, September.
    9. Chan, Louis K C & Jegadeesh, Narasimhan & Lakonishok, Josef, 1996. " Momentum Strategies," Journal of Finance, American Finance Association, vol. 51(5), pages 1681-1713, December.
    10. Diamond, Douglas W, 1991. "Monitoring and Reputation: The Choice between Bank Loans and Directly Placed Debt," Journal of Political Economy, University of Chicago Press, vol. 99(4), pages 689-721, August.
    11. Tobias J. Moskowitz & Mark Grinblatt, 1999. "Do Industries Explain Momentum?," Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, 08.
    12. Brewer, Elijah III & Koppenhaver, G. D., 1992. "The impact of standby letters of credit on bank risk: A note," Journal of Banking & Finance, Elsevier, vol. 16(6), pages 1037-1046, December.
    13. Robert B. Avery & Allen N. Berger, 1988. "Loan commitments and bank risk exposure," Finance and Economics Discussion Series 36, Board of Governors of the Federal Reserve System (U.S.).
    14. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. " Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-78, December.
    15. Bossaerts, Peter & Hillion, Pierre, 1999. "Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?," Review of Financial Studies, Society for Financial Studies, vol. 12(2), pages 405-28.
    16. Diamond, Douglas W, 1984. "Financial Intermediation and Delegated Monitoring," Review of Economic Studies, Wiley Blackwell, vol. 51(3), pages 393-414, July.
    17. Nicholas Barberis & Andrei Shleifer & Robert W. Vishny, 1997. "A Model of Investor Sentiment," NBER Working Papers 5926, National Bureau of Economic Research, Inc.
    18. Grammatikos, Theoharry & Saunders, Anthony, 1990. "Additions to bank loan-loss reserves : Good news or bad news?," Journal of Monetary Economics, Elsevier, vol. 25(2), pages 289-304, March.
    19. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
    20. Chaudhry, Mukesh K. & Christie-David, Rohan & Koch, Timothy W. & Reichert, Alan K., 2000. "The risk of foreign currency contingent claims at US commercial banks," Journal of Banking & Finance, Elsevier, vol. 24(9), pages 1399-1417, September.
    21. Bernard, Victor L. & Thomas, Jacob K., 1990. "Evidence that stock prices do not fully reflect the implications of current earnings for future earnings," Journal of Accounting and Economics, Elsevier, vol. 13(4), pages 305-340, December.
    22. Richard Cantor & Ronald Johnson, 1992. "Bank capital ratios, asset growth, and the stock market," Quarterly Review, Federal Reserve Bank of New York, issue Aut, pages 10-24.
    23. Rendleman, Richard Jr. & Jones, Charles P. & Latane, Henry A., 1982. "Empirical anomalies based on unexpected earnings and the importance of risk adjustments," Journal of Financial Economics, Elsevier, vol. 10(3), pages 269-287, November.
    24. John H. Boyd & Edward C. Prescott, 1985. "Financial intermediary-coalitions," Staff Report 87, Federal Reserve Bank of Minneapolis.
    25. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    26. Brewer III, Elijah & Minton, Bernadette A. & Moser, James T., 2000. "Interest-rate derivatives and bank lending," Journal of Banking & Finance, Elsevier, vol. 24(3), pages 353-379, March.
    27. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
    28. Cooper, Michael, 1999. "Filter Rules Based on Price and Volume in Individual Security Overreaction," Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 901-35.
    29. David Carter & Joseph Sinkey, 1998. "The Use of Interest Rate Derivatives by End-users: The Case of Large Community Banks," Journal of Financial Services Research, Springer, vol. 14(1), pages 17-34, July.
    30. Slovin, Myron B. & Sushka, Marie E. & Polonchek, John A., 1992. "Informational externalities of seasoned equity issues : Differences between banks and industrial firms," Journal of Financial Economics, Elsevier, vol. 32(1), pages 87-101, August.
    31. Shockley, Richard L & Thakor, Anjan V, 1997. "Bank Loan Commitment Contracts: Data, Theory, and Tests," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(4), pages 517-34, November.
    32. Rogers, Kevin & SinkeyJr., Joseph F., 1999. "An analysis of nontraditional activities at U.S. commercial banks," Review of Financial Economics, Elsevier, vol. 8(1), pages 25-39, June.
    33. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
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    Cited by:
    1. Castrén, Olli & Fitzpatrick, Trevor & Sydow, Matthias, 2006. "What drives EU banks’ stock returns? Bank-level evidence using the dynamic dividend-discount model," Working Paper Series 0677, European Central Bank.
    2. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
    3. Manthos D. Delis & Nikolaos I. Papanikolaou, 2009. "Determinants of bank efficiency: evidence from a semi-parametric methodology," Managerial Finance, Emerald Group Publishing, vol. 35(3), pages 260-275.
    4. Nicholas Apergis & John Sorros, 2010. "Disaggregated Earnings and Stock Prices: Evidence from International Listed Shipping Firms," International Advances in Economic Research, Springer, vol. 16(3), pages 269-281, August.
    5. George Emmanuel Iatridis & Anthony Dionysus Persakis, 2012. "Bank profitability determinants under IFRSs," International Journal of Economics and Accounting, Inderscience Enterprises Ltd, vol. 3(1), pages 77-99.
    6. Athanasoglou, Panayiotis & Delis, Manthos & Staikouras, Christos, 2006. "Determinants Of Bank Profitability In The South Eastern European Region," MPRA Paper 10274, University Library of Munich, Germany.
    7. Yao, Juan & Gao, Jiti & Alles, Lakshman, 2005. "Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information," Pacific-Basin Finance Journal, Elsevier, vol. 13(2), pages 225-245, March.
    8. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.

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