Files in this item
Does bank capitalization matter for bank stock returns?
Item metadata
dc.contributor.author | Huang, Qiubin | |
dc.contributor.author | de Haan, Jakob | |
dc.contributor.author | Scholtens, Bert | |
dc.date.accessioned | 2021-02-26T00:35:16Z | |
dc.date.available | 2021-02-26T00:35:16Z | |
dc.date.issued | 2020-04 | |
dc.identifier | 266558673 | |
dc.identifier | 457e3afc-d300-4510-9045-5a707aa7feb1 | |
dc.identifier | 85079863789 | |
dc.identifier | 000526121400041 | |
dc.identifier.citation | Huang , Q , de Haan , J & Scholtens , B 2020 , ' Does bank capitalization matter for bank stock returns? ' , North American Journal of Economics and Finance , vol. 52 , 101171 . https://doi.org/10.1016/j.najef.2020.101171 | en |
dc.identifier.issn | 1062-9408 | |
dc.identifier.other | ORCID: /0000-0001-5774-5191/work/69835009 | |
dc.identifier.uri | https://hdl.handle.net/10023/21508 | |
dc.description.abstract | 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. | |
dc.format.extent | 23 | |
dc.format.extent | 1187346 | |
dc.language.iso | eng | |
dc.relation.ispartof | North American Journal of Economics and Finance | en |
dc.subject | Bank capitalization | en |
dc.subject | Portfolio analysis | en |
dc.subject | Bank stock returns | en |
dc.subject | Fama-MacBeth regressions | en |
dc.subject | HG Finance | en |
dc.subject | 3rd-DAS | en |
dc.subject.lcc | HG | en |
dc.title | Does bank capitalization matter for bank stock returns? | en |
dc.type | Journal article | en |
dc.contributor.institution | University of St Andrews. School of Management | en |
dc.contributor.institution | University of St Andrews. Centre for Responsible Banking and Finance | en |
dc.identifier.doi | 10.1016/j.najef.2020.101171 | |
dc.description.status | Peer reviewed | en |
dc.date.embargoedUntil | 2021-02-26 |
This item appears in the following Collection(s)
Items in the St Andrews Research Repository are protected by copyright, with all rights reserved, unless otherwise indicated.