An, Jiyoun; Na, Sung-o - In: Journal of East Asian economic integration 18 (2014) 3, pp. 253-276
We examine which traditional asset pricing variables together with bank-specific accounting variables explain the cross …-sectional variation of future bank stock returns, using a firm-level data of eight Asian countries. Our empirical evidence shows that … exchange rate risk, firm size, the book-to-market ratio, and the net income ratio are important in explaining future bank stock …