Does bank capitalization matter for bank stock returns?

Huang Qiubin; de Haan Jakob; Scholtens Bert

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Does bank capitalization matter for bank stock returns?

机译：银行股票的银行资本化物质是否回报？

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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.

机译：我们审查了美国银行资本化及其与银行股票回报的协会，并发现基于书籍和市场的资本比率显示了不同的模式。 FAMA-MACATH回归和投资组合分析表明，银行的基于市场的资本比率与银行的股票回报与1994 - 2007年期间的银行股票回报负相关，而基于书的资本比率与银行股票回报率积极相关（动荡）2008-2014期。这些结果表明，银行资本化对银行股票回报的影响取决于所使用的资本措施和所考虑的期限。

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来源
《The North American journal of economics and finance》 |2020年第4期|101171.1-101171.23|共23页
作者
Huang Qiubin; de Haan Jakob; Scholtens Bert;
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作者单位

Univ Sci & Technol Beijing Beijing Peoples R China|Univ Groningen Groningen Netherlands;

Univ Groningen Groningen Netherlands|De Nederlandsche Bank Amsterdam Netherlands|CESifo Munich Germany;

Univ Groningen Groningen Netherlands|Univ St Andrews St Andrews Fife Scotland;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Bank capitalization; Bank stock returns; Portfolio analysis; Fama-MacBeth regression;

机译：银行资本化;银行股票回报;投资组合分析;Fama-Macbeth回归;

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Does bank capitalization matter for bank stock returns?

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