Balance-sheet ratios and stock returns: An analysis for Italian banks
AbstractThe paper assesses whether the monthly returns of the listed shares of Italian banks are predicted by changes in balance-sheet indicators. The sample covers the period from January 1997 to June 2003. Estimates use both unadjusted and risk-adjusted returns. Results show that the stock returns of Italian banks are positively related to past profitability, liquidity, and asset quality, while they are not significantly affected by banksÂ’ capital ratios. Furthermore, in the sample period an increase in traditional lending activity leads to higher stock returns.
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Bibliographic InfoPaper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 648.
Date of creation: Nov 2007
Date of revision:
bank stock returns; bank-specific accounting ratios;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
- NEP-ACC-2008-01-12 (Accounting & Auditing)
- NEP-ALL-2008-01-12 (All new papers)
- NEP-BAN-2008-01-12 (Banking)
- NEP-CFN-2008-01-12 (Corporate Finance)
- NEP-RMG-2008-01-12 (Risk Management)
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