Baele, Lieven; De Bruyckere, Valerie; De Jonghe, Olivier; … - In: Journal of Banking & Finance 53 (2015) C, pp. 49-66
This paper uses Bayesian Model Averaging to examine the driving factors of equity returns of US Bank Holding Companies. BMA has as an advantage over OLS that it accounts for the considerable uncertainty about the correct set (model) of bank risk factors. We find that out of a broad set of 12risk...