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

  • Angela Romagnoli

    ()

    (Bank of Italy)

Registered author(s):

    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 banks� capital ratios. Furthermore, in the sample period an increase in traditional lending activity leads to higher stock returns.

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    File URL: http://www.bancaditalia.it/pubblicazioni/temi-discussione/2007/2007-0648/tema_648.pdf
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    Paper provided by Bank of Italy, Economic Research and International Relations Area in its series Temi di discussione (Economic working papers) with number 648.

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    Date of creation: Nov 2007
    Date of revision:
    Handle: RePEc:bdi:wptemi:td_648_07
    Contact details of provider: Postal: Via Nazionale, 91 - 00184 Roma
    Web page: http://www.bancaditalia.it

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