Balance-sheet ratios and stock returns: An analysis for Italian banks

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Balance-sheet ratios and stock returns: An analysis for Italian banks

Author Info

Angela Romagnoli () (Bank of Italy)

Abstract

The 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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Publisher Info
Paper provided by Bank of Italy, Economic Research Department in its series Temi di discussione (Economic working papers) with number 648.

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Date of creation: Nov 2007
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Handle: RePEc:bdi:wptemi:td_648_07

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Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository 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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This page was last updated on 2009-12-4.

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