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What determines return risks for bank equities in Turkey?

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  • Ozsoz, Emre

Abstract

By using data from thirteen publicly traded commercial and deposit banks this paper estimates the determinants of market risk for bank equities in the case of an emerging market setting, Turkey. The analysis reveals that maturity composition of a bank’s loans, the share of trading income in a banks’ overall revenue stream and foreign-ownership structure are important indicators of the volatility of its equity returns. Banks with shorter loan maturity positions are regarded by investors as safer companies to invest in while increases in trading income as a source of bank’s overall revenue increases the volatility of its equity returns. Foreign ownership of a bank also lowers its equity return risk.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 35291.

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Date of creation: 04 Oct 2011
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Handle: RePEc:pra:mprapa:35291

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Keywords: Commercial banks; risk; Turkish Banks;

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  1. Saunders, Anthony & Walter, Ingo, 1994. "Universal Banking in the United States: What Could We Gain? What Could We Lose?," OUP Catalogue, Oxford University Press, number 9780195080698, September.
  2. Rousseau, Peter L & Wachtel, Paul, 1998. "Financial Intermediation and Economic Performance: Historical Evidence from Five Industrialized Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(4), pages 657-78, November.
  3. Levine, Ross, 1996. "Financial development and economic growth : views and agenda," Policy Research Working Paper Series 1678, The World Bank.
  4. Ihsan Isik & M. Kabir Hassan, 2003. "Efficiency, Ownership and Market Structure, Corporate Control and Governance in the Turkish Banking Industry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(9-10), pages 1363-1421.
  5. Demsetz, Rebecca S & Strahan, Philip E, 1997. "Diversification, Size, and Risk at Bank Holding Companies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 300-313, August.
  6. Başak Tanyeri, 2010. "Financial Transparency and Sources of Hidden Capital in Turkish Banks," Journal of Financial Services Research, Springer, vol. 37(1), pages 25-43, February.
  7. Rogers, Kevin, 1994. "Universal banking in the United States: What could we gain? What could we lose? : Saunders, Anthony and Ingo Walter. New York: Oxford University Press, 1994. Pp 276. $39.95," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1217-1219, December.
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