asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks were exposed to this … liquidity risk factor. Results show that the level of bank returns is not directly affected by the SLRI, but their volatility … increases when liquidity conditions deteriorate. I do not find a strong association between bank size and exposure to the SLRI …

indices; second, which bank-specific characteristics explain these risk exposures; third, are there clusters of banks with … is the evolution of banks’ stock price exposure to country-level and global risk factors as approximated by equity … risk, specifically, has been steadily rising since 2008. Banks that are reliant on wholesale funding, have weaker capital …