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Visible and hidden risk factors for banks

Citations

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Cited by:

  1. Urbański, Stanisław & Zarzecki, Dariusz, 2022. "The Fama-French model for estimating the cost of equity capital: The impact of real options of investment projects," Economic Systems, Elsevier, vol. 46(1).
  2. Barbara Fidanza & Ottorino Morresi, 2015. "Does the Fama-Franch three-factor model work in the financial industry? Evidence from European bank stocks," Working Papers 47-2015, Macerata University, Department of Studies on Economic Development (DiSSE), revised May 2015.
  3. Baek, Seungho & Bilson, John F.O., 2015. "Size and value risk in financial firms," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 295-326.
  4. Zedginidze Zviad, 2012. "Linking Macroeconomic Dynamics to Georgian Credit Portfolio Risk," EERC Working Paper Series 12/07e, EERC Research Network, Russia and CIS.
  5. Adrian, Tobias & Muir, Tyler, 2015. "The Cost of Capital of the Financial Sector," CEPR Discussion Papers 11031, C.E.P.R. Discussion Papers.
  6. Luigi Infante & Stefano Piermattei & Raffaele Santioni & Bianca Sorvillo, 2020. "Diversifying away risks through derivatives: an analysis of the Italian banking system," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(2), pages 621-657, July.
  7. Jiménez, Gabriel & Mencía, Javier, 2009. "Modelling the distribution of credit losses with observable and latent factors," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 235-253, March.
  8. 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.
  9. Baele, Lieven & De Bruyckere, Valerie & De Jonghe, Olivier & Vander Vennet, Rudi, 2015. "Model uncertainty and systematic risk in US banking," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 49-66.
  10. Deming Wu & Jiawen Yang & Han Hong, 2011. "Securitization and Banks’ Equity Risk," Journal of Financial Services Research, Springer;Western Finance Association, vol. 39(3), pages 95-117, June.
  11. Mollick, André V. & Killins, Robert N. & Egly, Peter V. & Johnk, David W., 2024. "Bank equity returns and oil prices: The story from U.S. regional banks during the “shale oil” revolution," Research in International Business and Finance, Elsevier, vol. 70(PA).
  12. Katsafados, Apostolos G. & Leledakis, George N. & Panagiotou, Nikolaos P. & Pyrgiotakis, Emmanouil G., 2024. "Can central bankers’ talk predict bank stock returns? A machine learning approach," MPRA Paper 122899, University Library of Munich, Germany.
  13. Venmans, Frank, 2021. "The leverage anomaly in U.S. bank stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  14. Mun, Kyung-Chun, 2016. "Hedging bank market risk with futures and forwards," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 112-125.
  15. Jean-Loup, Soula, 2017. "Measuring heterogeneity in bank liquidity risk: Who are the winners and losers?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 302-313.
  16. Ben Ammar, Semir & Eling, Martin & Milidonis, Andreas, 2018. "The cross-section of expected stock returns in the property/liability insurance industry," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 292-321.
  17. Teixeira, João C.A. & Matos, Tiago F.A. & da Costa, Gui L.P. & Fortuna, Mário J.A., 2020. "Investor protection, regulation and bank risk-taking behavior," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  18. Akhtaruzzaman, Md & Chiah, Mardy & Docherty, Paul & Zhong, Angel, 2021. "Betting against bank profitability," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 304-323.
  19. Joel F. Houston & Kevin J. Stiroh, 2006. "Three decades of financial sector risk," Staff Reports 248, Federal Reserve Bank of New York.
  20. Kevin Stiroh, 2006. "New Evidence on the Determinants of Bank Risk," Journal of Financial Services Research, Springer;Western Finance Association, vol. 30(3), pages 237-263, December.
  21. Friesen, Geoffrey C. & Swift, Christopher, 2009. "Overreaction in the thrift IPO aftermarket," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1285-1298, July.
  22. Altavilla, Carlo & Bochmann, Paul & De Ryck, Jeroen & Dumitru, Ana-Maria & Grodzicki, Maciej & Kick, Heinrich & Fernandes, Cecilia Melo & Mosthaf, Jonas & O’Donnell, Charles & Palligkinis, Spyros, 2021. "Measuring the cost of equity of euro area banks," Occasional Paper Series 254, European Central Bank.
  23. Foos, Daniel & Lütkebohmert, Eva & Markovych, Mariia & Pliszka, Kamil, 2017. "Euro area banks' interest rate risk exposure to level, slope and curvature swings in the yield curve," Discussion Papers 24/2017, Deutsche Bundesbank.
  24. Tim M. Zhou, 2023. "Auctions of failed banks: an analysis of losing bidders," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 155-176, July.
  25. Riccardo Lisa & Stefano Zedda & Francesco Vallascas & Francesca Campolongo & Massimo Marchesi, 2011. "Modelling Deposit Insurance Scheme Losses in a Basel 2 Framework," Journal of Financial Services Research, Springer;Western Finance Association, vol. 40(3), pages 123-141, December.
  26. Bessler, Wolfgang & Kurmann, Philipp, 2014. "Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis," Journal of Financial Stability, Elsevier, vol. 13(C), pages 151-166.
  27. Luis García‐Feijóo & Ariel M. Viale, 2023. "Ambiguity and risk factors in bank stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(4), pages 993-1019, December.
  28. Francesco Vallascas & Kevin Keasey, 2013. "The Volatility of European Banking Systems: A Two-Decade Study," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(1), pages 37-68, February.
  29. Thorsten Beck & Olivier De Jonghe & Klaas Mulier, 2022. "Bank Sectoral Concentration and Risk: Evidence from a Worldwide Sample of Banks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(6), pages 1705-1739, September.
  30. Vander Vennet Rudi & De Jonghe Olivier & De Bruyckere Valerie & Baele Lieven, 2011. "Enhancing Bank Transparency: Risk Ineffciency as a Market Disciplining Mechanism," 2011 Meeting Papers 559, Society for Economic Dynamics.
  31. Dutra, Tiago M. & Teixeira, João C.A. & Dias, José Carlos, 2023. "Banking regulation and banks’ risk-taking behavior: The role of investors’ protection," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 124-148.
  32. Ioana-Diana PÃUN & Ramona GOGONCEA, 2013. "Interest Rate Risk Management and the Use of Derivative Securities," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, vol. 16(2), pages 242-254, December.
  33. Chowdhury, Biplob & Jeyasreedharan, Nagaratnam, 2019. "An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence," Working Papers 2019-02, University of Tasmania, Tasmanian School of Business and Economics.
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