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Common risk factors in bank stocks.

Viale, Ariel Marcelo.

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Common risk factors in bank stocks.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Common risk factors in bank stocks./
作者:	Viale, Ariel Marcelo.
面頁冊數:	50 p.
附註:	Source: Dissertation Abstracts International, Volume: 68-06, Section: A, page: .
Contained By:	Dissertation Abstracts International68-06A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3270837
ISBN:	9780549098058

Common risk factors in bank stocks.
Viale, Ariel Marcelo.

Common risk factors in bank stocks. - 50 p.

Source: Dissertation Abstracts International, Volume: 68-06, Section: A, page: .

Thesis (Ph.D.)--Texas A&M University, 2007.

This dissertation provides evidence on the risk factors that are priced in bank equities. Alternative empirical models with precedent in the nonfinancial asset pricing literature are tested, including the single-factor Capital Asset Pricing Model (CAPM), three-factor Fama-French model, and Intertemporal Capital Asset Pricing Model (ICAPM).

ISBN: 9780549098058Subjects--Topical Terms:

626650
Economics, Finance.

Common risk factors in bank stocks.
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500 $a Source: Dissertation Abstracts International, Volume: 68-06, Section: A, page: .
500 $a Adviser: James W. Kolari.
502 $a Thesis (Ph.D.)--Texas A&M University, 2007.
520 $a This dissertation provides evidence on the risk factors that are priced in bank equities. Alternative empirical models with precedent in the nonfinancial asset pricing literature are tested, including the single-factor Capital Asset Pricing Model (CAPM), three-factor Fama-French model, and Intertemporal Capital Asset Pricing Model (ICAPM).
520 $a The empirical results indicate that an unconditional two-factor Intertemporal Capital Asset Pricing Model (ICAPM) model, that includes the stock market excess return and shocks to the slope of the yield curve, is useful in explaining the cross-section of bank stock returns. I find no evidence, however, that firm specific factors, such as size and book-to-market ratios, are priced in bank stock returns. These results have a number of practical implications for event studies of banking firms, estimation of bank cost of capital and investment performance, as well as regulatory initiatives to utilize market discipline to evaluate bank risk under Basel II.
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