This paper examines the impact of five distinct Basel 3 announcements had on systematic risk levels of 122 internationally active banks in 37 countries over the sample period 2007-2013 using an extension of the Wagster (1996) market model. We extend the prior literature with methodology that...

This paper examines the impact of the Basel agreements (Basel I introduced in 1988, Basel I with market risk in 1998 and Basel II in 2008), on the level of systematic risk of the Australian big four banks. An augmented market model with three dummy variables is employed to capture any changes in...