on a European level. Following De Nicolo and Kwast (2001), mean rolling-window correlations between bank stock returns …

Using U.S. quarterly data from 1960, the paper studies the interaction between bank stock returns and aggregate credit … fluctuations on a set of economic dimensions. First, I investigate the source of "Neglected Crash Risk" in U.S. bank returns using … bank stock returns by 5%, and their dividend growth by almost 6% over the following year. This variable embeds important …

irrational market-wide crisis sentiment leads investors to devalue bank stocks irrespective of idiosyncratic or macroeconomic …

We examine which traditional asset pricing variables together with bank-specific accounting variables explain the cross …-sectional variation of future bank stock returns, using a firm-level data of eight Asian countries. Our empirical evidence shows that … exchange rate risk, firm size, the book-to-market ratio, and the net income ratio are important in explaining future bank stock …

The impact of U.S. bank loan announcements on the stock prices of the corporate borrowers has been decreasing during …

of bank relationships and their banks' participation in government capital support programs. We find that government … pronounced for riskier and bank-dependent firms and those that borrow from banks that are less capitalized and smaller. Our study …