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The Determinants of Future Bank Stock Returns in Eight Asian Countries

Author

Listed:
  • An, Jiyoun

    (Kyung Hee University)

  • Na, Sung-o

    (Bank of Korea)

Abstract

We examine which traditional asset pricing variables together with bank-specific accounting variables explain the cross-sectional variation of future bank stock returns, using a firm-level data of eight Asian countries. Our empirical evidence shows that exchange rate risk, firm size, the book-to-market ratio, and the net income ratio are important in explaining future bank stock returns during normal times. However, during the Global Financial Crisis period, different variables such as local market beta, illiquidity risk, equity ratio, and off-balance sheets ratio were statistically significant. Thus, researchers and policy practitioners should monitor these variables during normal times as well as during times of crisis.

Suggested Citation

  • An, Jiyoun & Na, Sung-o, 2014. "The Determinants of Future Bank Stock Returns in Eight Asian Countries," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 18(3), pages 253-276, September.
    • Handle: RePEc:ris:eaerev:0038
    DOI: 10.11644/KIEP.JEAI.2014.18.3.282
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    Keywords

    Asian Banks; International Asset Pricing Tests; Cross-sectional Variation of Expected Returns; Bank Accounting Ratios; Global Financial Crisis;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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