tailieunhanh - Bank stock returns, leverage and the business cycle

There is actually a kind of first generation SFI market which was ready and operating in the late 1980’s and early 1990’s. This was eventually published in 1994 in Palmer, Arthur, Holland, LeBaron & Tayler (1994). This was a simpler, but less economically oriented market of trading dynamics than the eventual SFI market. Rules simply mapped states of the world into buy or sell decisions. The market operated in the following fashion. A price was announced by a market maker to all the traders. Agents found a matching rule for the current market conditions, and came to the market with an order to buy or. | Jing Yang Kostas Tsatsaronis ktsatsaronis@ Bank stock returns leverage and the business cycle1 The returns on bank stocks rise and fall with the business cycle making bank equity financing cheaper in the boom and dearer during a recession. This provides support for prudential tools that give incentives for banks to build capital buffers at times when the cost of equity is lower. In addition banks with higher leverage face a higher cost of equity which suggests that higher capital ratios are associated with lower funding costs. JEL classification G3 G21 G28. Capital planning plays a key role in banks business decisions. The cost of equity financing and return targets on shareholders funds shape banks capital allocation and product pricing. Given the importance of equity capital in absorbing losses prudential regulators require banks to hold sufficient equity to cover risks. Regulation that motivates banks to raise equity financing when capital is cheap would promote the interests of long-term shareholders. All these considerations call for a better understanding of what drives the cost of bank capital. One way to gauge this cost of equity is to analyse expected stock returns. In this special feature we examine how expected equity returns vary across a sample of globally active banks and over time in 11 countries. We estimate the determinants of the rate of return on bank stocks using a standard equity pricing framework that decomposes share price risk into a systematic and an idiosyncratic component. The systematic component cannot be diversified away and it is priced in the market in the sense of commanding higher expected returns. The opposite holds for the idiosyncratic component which can be diversified away in sufficiently large portfolios and hence is not priced in the market. We show that leverage and the state of the business cycle affect the systematic priced component of the risk of bank stocks. Systematic risk differs across the .

• Đầu tư Chứng khoán
• Wistar Rats Submitted
• Effects of Antidepressants
• Antidepressant Like
• Preclinical Studies
• Antidepressants and Morphological
• Monoamine Neurons
• predictive accuracy
• Antidepressant
• Artery Graft Surgery
• Saphenous Vein
• Graft Disease – State