Accounting and capital market measures of risk: Evidence from Asian banks during 1998-2003
AbstractThis study examines the relation between accounting and capital market risk measures for a sample of 46 listed Asian banks during the period 1998-2003. By applying a panel data analysis that includes a control for country-specific factors, the results show that the standard deviation of the return-on-assets and loan-loss-reserves-to-gross-loans are significantly related to total risk. Also gross-loans-to-total-assets and loan-loss-reserves-to-gross-loans are significantly related to non-systematic risk. These results indicate that in these Asian countries, firm-specific risk is more important than systematic risk and the results are robust even though significant differences exist across Asian countries in banking activities, capital adequacy requirements, and deposit insurance protection.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 32 (2008)
Issue (Month): 4 (April)
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