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Loan portfolio diversification and bank returns : do business models and market power matter?
Huynh, Japan; Van Dan Dang - In: Cogent economics & finance 9 (2021) 1, pp. 1-24
The paper examines how loan portfolio diversification drives bank returns, mainly focusing on the conditioning roles of … increased sectoral loan portfolio diversification reduces bank returns, but not all banks are equally affected. Banks that … adopted a business model towards non-interest activities are hurt less from loan portfolio diversification, and bank market …
Persistent link: https://www.econbiz.de/10013183785
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Does Diversification Increase or Decrease Bank Risk and Performance? Evidence on Diversification and the Risk-Return Tradeoff in Banking
Berger, Allen N. - 2010
Conventional wisdom in banking argues that diversification tends to reduce bank risk and improve performance, but the … recent financial crisis suggests that aggressive diversification strategies may have resulted in increased risk taking and … diversification strategies and the risk-return tradeoff in banking. Our data set covers Russian banks during the 1999-2006 period and …
Persistent link: https://www.econbiz.de/10013139765
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Advocacy of Minority Shareholders on Shares Rights Issue of Malawian Capital Market
Kampanje, Brian Phiri - 2019
Share rights issue is one of the viable means by which public limited companies can raise additional cash at relatively low cost to steer growth or sustainably manage their debts. Minority shareholders can effectively increase equity stake in the situations where they can lobby majority...
Persistent link: https://www.econbiz.de/10012897412
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Institutional Trading Momentum and Mispricing
Bulsiewicz, James - 2017
I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...
Persistent link: https://www.econbiz.de/10012971888
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No Size Anomalies in U.S. Bank Stock Returns
Goyal, Amit - 2017
Gandhi and Lustig (2013) find that large banks in the U.S. have significantly lower risk-adjusted returns than small- and medium-sized bank stocks. I am to unable to replicate this finding despite many different empirical choices in my specification. The results suggest that implicit government...
Persistent link: https://www.econbiz.de/10012973405
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Informed Short Selling, Fails-to-Deliver, and Abnormal Returns
Stratmann, Thomas - 2016
We find that stocks with fails-to-deliver (FTDs) experience negative abnormal returns that are proportional to their FTD levels. These findings come from both an event study and a portfolio returns analysis using Fama-French factors. Using proprietary data on stock borrow costs, we also show...
Persistent link: https://www.econbiz.de/10013006236
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Capital Ratios and the Cross-Section of Bank Stock Returns : Evidence from Japan
Chen, Sichong - 2011
We propose a market-valued capital ratio as an indicator to gauge the riskiness of banks. In particular, we examine the cross-sectional relation between the market-valued capital ratio and stock returns of listed Japanese banks. It is found that banks with lower market-valued capital ratios have...
Persistent link: https://www.econbiz.de/10013119483
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Assessing the Risk-Return Trade-Off in Loans Portfolios
Mencia, Javier - 2009
This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...
Persistent link: https://www.econbiz.de/10013158964
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Advanced Yield Curve Calibration, Mixed Interpolation Schemes & How to Incorporate Jumps and the Turn-of-Year Effect
Burgess, Nicholas - 2021
Yield curves are used to imply the forward rates and discount factors from market tradable instruments and are required to discount future cash flows and evaluate the price of all financial contracts. Not all instruments can be included in the yield curve calibration or fitting process, hence we...
Persistent link: https://www.econbiz.de/10013213650
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
Persistent link: https://www.econbiz.de/10012175486