Does bank capitalization matter for bank stock returns?

被引：5
|
作者：
Huang, Qiubin [1 ,2 ]
de Haan, Jakob [2 ,3 ,4 ]
Scholtens, Bert [2 ,5 ]
机构：
[1] Univ Sci & Technol Beijing, Beijing, Peoples R China
[2] Univ Groningen, Groningen, Netherlands
[3] De Nederlandsche Bank, Amsterdam, Netherlands
[4] CESifo, Munich, Germany
[5] Univ St Andrews, St Andrews, Fife, Scotland
来源：
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2020年 / 52卷
基金：
中国博士后科学基金;
关键词：
Bank capitalization; Bank stock returns; Portfolio analysis; Fama-MacBeth regression; COMMON RISK-FACTORS; GOOD TIMES; REQUIREMENTS; PERFORMANCE; HETEROSKEDASTICITY; EQUILIBRIUM; EXPOSURES; SHORTFALL; IMPACT; CRISES;
D O I：
10.1016/j.najef.2020.101171
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We examine US bank capitalization and its association with bank stock returns, and find that the book- and market-based capital ratios show different patterns. Fama-MacBeth regressions and portfolio analyses suggest that banks' market-based capital ratios are negatively associated with banks' stock returns during the (tranquil) 1994-2007 period while book-based capital ratios are positively associated with banks' stock returns during the (turbulent) 2008-2014 period. These results suggest that the effect of bank capitalization on bank stock returns depends on the capital measure used and the period considered.
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页数：23
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