This paper investigates whether there is a banking risk premium that helps explain the returns of US publicly listed firms. We assess this phenomenon in the context of the capital asset pricing model and the Fama and French three-factor model. We use bank size to create the banking factor – a...

We present an analysis of the determinants of Asia-Pacific banks’ extent of derivative activities. Our findings suggest that the probability of financial distress and economies of scale arguments are important in this regard. Further analyses reveal that Asia-Pacific dealer banks tend to use...

This paper investigates the short-run and long-run performance of Australian cross-listed firms relative to their industry rivals. The role of share trading liquidity and firm visibility in explaining abnormal returns is also investigated. In the short run, an abnormal return of 1.91% for...

We investigate the potential factors that influence the corporate decision to collectively use foreign currency; interest rate; and commodity derivatives and foreign debt. Our Australian results show that firm size (‘scale economies' hypothesis); leverage (‘financial distress cost'...

In this paper, we investigate whether the level of derivative activities of Asia-Pacific banks is associated with the market's perception of their interest rate and exchange rate risks. The results suggest that the level of derivative activities (especially interest rate derivatives) is...

In this article, we provide an insight into Asia-Pacific banks' market, interest rate and exchange rate exposures using a market-based model, pre and post the Asian financial crisis. Our study provides a unique comparative analysis across 10 countries, for both short-horizon and long-horizon...