Bank stock returns, leverage and the business cycle
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001.
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk,"
Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.
- Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles 3128707, Harvard University Department of Economics.
- David Miles & Jing Yang & Gilberto Marcheggiano, 2013.
"Optimal Bank Capital,"
Economic Journal, Royal Economic Society, vol. 123(567), pages 1-37, March.
- Miles, David & Yang, Jing & Marcheggiano, Gilberto, 2011. "Optimal Bank Capital," CEPR Discussion Papers 8333, C.E.P.R. Discussion Papers.
- Miles, David & Yang, Jing & Marcheggiano, Gilberto, 2011. "Optimal Bank Capital," Discussion Papers 31, Monetary Policy Committee Unit, Bank of England.
- Luzi Hail & Christian Leuz, 2006. "International Differences in the Cost of Equity Capital: Do Legal Institutions and Securities Regulation Matter?," Journal of Accounting Research, Wiley Blackwell, vol. 44(3), pages 485-531, June.
- Choe, Hyuk & Masulis, Ronald W. & Nanda, Vikram, 1993. "Common stock offerings across the business cycle : Theory and evidence," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 3-31, June.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Michael R King, 2009. "The cost of equity for global banks: a CAPM perspective from 1990 to 2009," BIS Quarterly Review, Bank for International Settlements, September.
- Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012.
"CAPM for estimating the cost of equity capital: Interpreting the empirical evidence,"
Journal of Financial Economics, Elsevier, vol. 103(1), pages 204-220.
- Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009. "CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence," NBER Working Papers 14889, National Bureau of Economic Research, Inc.
- Francisco Covas & Wouter J. Den Haan, 2011. "The Cyclical Behavior of Debt and Equity Finance," American Economic Review, American Economic Association, vol. 101(2), pages 877-899, April.
- Claudio E. V. Borio & Kostas Tsatsaronis, 2005. "Accounting, prudential regulation and financial stability: elements of a synthesis," BIS Working Papers 180, Bank for International Settlements.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2016.
"How the euro-area sovereign-debt crisis led to a collapse in bank equity prices,"
Journal of Financial Stability, Elsevier, vol. 26(C), pages 266-275.
- Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2014. "How the Euro-Area Sovereign-Debt Crisis Led to a Collapse in Bank Equity Prices," Discussion Papers in Economics 14/17, Division of Economics, School of Business, University of Leicester.
- Heather D. Gibson & Stephen G. Hall, & George S. Tavlas, 2015. "How the Euro-Area Sovereign-Debt Crisis Led to a Collapse in Bank Equity Prices," Discussion Papers in Economics 15/13, Division of Economics, School of Business, University of Leicester.
- Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015. "How the Euro-Area Sovereign-Debt Crisis Led to a Collapse in Bank Equity Prices," Discussion Papers in Economics 15/25, Division of Economics, School of Business, University of Leicester.
- setiawan, chandra & Tjiasaka, Felicia Putri, 2017. "Technical Efficiency and the Determinants of Price to Book Value: An Empirical Study of Category-IV Banks in Indonesia Stock Exchange," INA-Rxiv aruzq, Center for Open Science.
- McInerney, Niall & O'Brien, Martin & Wosser, Michael & Zavalloni, Luca, 2022. "Rightsizing Bank Capital for Small, Open Economies," Research Technical Papers 4/RT/22, Central Bank of Ireland.
- Clark, Brian & Jones, Jonathan & Malmquist, David, 2023. "Leverage and the cost of capital for U.S. banks," Journal of Banking & Finance, Elsevier, vol. 155(C).
- Antonio Sánchez Serrano, 2018. "EU banks after the crisis: sinners in the hands of angry markets," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 1(9), pages 24-51, May.
- William R. Cline, 2015. "Testing the Modigliani-Miller Theorem of Capital Structure Irrelevance for Banks," Working Paper Series WP15-8, Peterson Institute for International Economics.
- Jason Nassios & John Madden & James Giesecke & Janine Dixon & Nhi Tran & Peter Dixon & Maureen Rimmer & Philip Adams & John Freebairn, 2019. "The economic impact and efficiency of state and federal taxes in Australia," Centre of Policy Studies/IMPACT Centre Working Papers g-289, Victoria University, Centre of Policy Studies/IMPACT Centre.
- Mr. Jaromir Benes & Mr. Michael Kumhof & Mr. Douglas Laxton, 2014. "Financial Crises in DSGE Models: Selected Applications of MAPMOD," IMF Working Papers 2014/056, International Monetary Fund.
- Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah, 2017. "Are Non-Conventional Banks More Resilient than Conventional Ones to Financial Crisis?," Working Papers hal-01455752, HAL.
- Douglas Sutherland & Peter Hoeller & Rossana Merola & Volker Ziemann, 2012. "Debt and Macroeconomic Stability," OECD Economics Department Working Papers 1003, OECD Publishing.
- Kohlscheen, Emanuel & Takáts, Előd, 2021.
"What can commercial property performance reveal about bank valuations?,"
Journal of International Money and Finance, Elsevier, vol. 113(C).
- Emanuel Kohlscheen & Előd Takáts, 2020. "What can commercial property performance reveal about bank valuations?," BIS Working Papers 900, Bank for International Settlements.
- Nicodème, Gaëtan & Langedijk, Sven & Rossi, Alessandro & Pagano, Andrea, 2015. "Debt Bias in Corporate Income Taxation and the Costs of Banking Crises," CEPR Discussion Papers 10616, C.E.P.R. Discussion Papers.
- J.M. Dixon & J. Nassios, 2018. "The Effectiveness of Investment Stimulus Policies in Australia," Centre of Policy Studies/IMPACT Centre Working Papers g-282, Victoria University, Centre of Policy Studies/IMPACT Centre.
- Niţoi, Mihai & Clichici, Dorina & Moagăr-Poladian, Simona, 2019. "The effects of prudential policies on bank leverage and insolvency risk in Central and Eastern Europe," Economic Modelling, Elsevier, vol. 81(C), pages 148-160.
- Douglas Sutherland & Peter Hoeller, 2012. "Debt and Macroeconomic Stability: An Overview of the Literature and Some Empirics," OECD Economics Department Working Papers 1006, OECD Publishing.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Luis Fernández Lafuerza & Javier Mencía, 2021. "Estimating the cost of equity for financial institutions," Financial Stability Review, Banco de España, issue MAY.
- Luis Fernández Lafuerza & Javier Mencía, 2021. "Estimating the cost of equity for financial institutions," Revista de Estabilidad Financiera, Banco de España, issue MAY.
- Berger, Allen N. & El Ghoul, Sadok & Guedhami, Omrane & Roman, Raluca A., 2022. "Geographic deregulation and banks’ cost of equity capital," Journal of International Money and Finance, Elsevier, vol. 120(C).
- Luis Fernández Lafuerza & Javier Mencía, 2021. "Estimating the cost of equity for financial institutions," Financial Stability Review, Banco de España, issue Spring.
- Brushwood, James & Dhaliwal, Dan & Fairhurst, Douglas & Serfling, Matthew, 2016. "Property crime, earnings variability, and the cost of capital," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 142-173.
- Xing Guo, 2020. "Identifying Aggregate Shocks with Micro-level Heterogeneity: Financial Shocks and Investment Fluctuation," Staff Working Papers 20-17, Bank of Canada.
- Abugri, Benjamin A. & Dutta, Sandip, 2014. "Are we overestimating REIT idiosyncratic risk? Analysis of pricing effects and persistence," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 249-259.
- Liu, Hao & Chen, Yue & Wan, Wei & Zhang, Qun, 2021. "A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective," Economics Letters, Elsevier, vol. 206(C).
- Pithak Srisuksai & Vimut Vanitcharearntham, 2016. "Asset Pricing with Idiosyncratic Shocks," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 23(1), pages 35-58, June.
- Zhong, Angel, 2018. "Idiosyncratic volatility in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 105-125.
- Drobetz, Wolfgang & El Ghoul, Sadok & Guedhami, Omrane & Janzen, Malte, 2018. "Policy uncertainty, investment, and the cost of capital," Journal of Financial Stability, Elsevier, vol. 39(C), pages 28-45.
- Srisuksai, Pithak & Vanitcharearntham, Vimut, . "Asset Pricing with Idiosyncratic Shocks," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 23(1).
- Anna Kovner & Peter Van Tassel, 2022.
"Evaluating Regulatory Reform: Banks' Cost of Capital and Lending,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(5), pages 1313-1367, August.
- Anna Kovner & Peter Van Tassel, 2018. "Evaluating regulatory reform: banks’ cost of capital and lending," Staff Reports 854, Federal Reserve Bank of New York.
- Jyri Kinnunen & Minna Martikainen, 2017.
"Expected Returns and Idiosyncratic Risk: Industry-Level Evidence from Russia,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(11), pages 2528-2544, November.
- Kinnunen, Jyri & Martikainen, Minna, 2015. "Expected returns and idiosyncratic risk: Industry-level evidence from Russia," BOFIT Discussion Papers 30/2015, Bank of Finland, Institute for Economies in Transition.
- Rajnish Mehra & Sunil Wahal & Daruo Xie, 2021.
"Is idiosyncratic risk conditionally priced?,"
Quantitative Economics, Econometric Society, vol. 12(2), pages 625-646, May.
- Rajnish Mehra & Sunil Wahal & Daruo Xie, 2016. "Is Idiosyncratic Risk Conditionally Priced?," NBER Working Papers 22016, National Bureau of Economic Research, Inc.
- Franz R. Hahn & Werner Hölzl, 2012. "Effects of the New Capital Requirements of Basel III on the Financing of Small and Medium-sized Enterprises in Austria," Austrian Economic Quarterly, WIFO, vol. 17(3), pages 168-186, August.
- Zura Kakushadze, 2014. "4-Factor Model for Overnight Returns," Papers 1410.5513, arXiv.org, revised Jun 2015.
- Urbański Stanisław, 2019. "The Cost of Equity Capital in Stock Portfolios Listed on the Warsaw Stock Exchange Using the Classic CAPM," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 15(2), pages 48-62, June.
- Hueng, C. James & Yau, Ruey, 2013. "Country-specific idiosyncratic risk and global equity index returns," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 326-337.
- Dimitrios Angelopoulos & Robert Brückmann & Filip JirouÅ¡ & Inga KonstantinaviÄ iÅ«tÄ— & Paul Noothout & John Psarras & Lucie Tesnière & Barbara Breitschopf, 2016. "Risks and cost of capital for onshore wind energy investments in EU countries," Energy & Environment, , vol. 27(1), pages 82-104, February.
More about this item
JEL classification:
- G3 - Financial Economics - - Corporate Finance and Governance
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bis:bisqtr:1203g. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christian Beslmeisl (email available below). General contact details of provider: https://edirc.repec.org/data/bisssch.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.