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1.
Elyas Elyasiani Iftekhar Hasan Elena Kalotychou Panos K. Pouliasis Sotiris K. Staikouras 《金融市场、机构和票据》2020,29(2):43-64
Using an extensive global sample, this paper investigates the impact of the term structure of interest rates on bank equity returns. Decomposing the yield curve to its three constituents (level, slope and curvature), the paper evaluates the time‐varying sensitivity of the bank's equity returns to these constituents by using a diagonal dynamic conditional correlation multivariate GARCH framework. Evidence reveals that the empirical proxies for the three factors explain the variations in equity returns above and beyond the market‐wide effect. More specifically, shocks to the long‐term (level) and short‐term (slope) factors have a statistically significant impact on equity returns, while those on the medium‐term (curvature) factor are less clear‐cut. Bank size plays an important role in the sense that exposures are higher for SIFIs and large banks compared to medium and small banks. Moreover, banks exhibit greater sensitivities to all risk factors during the crisis and post‐crisis periods compared to the pre‐crisis period; though these sensitivities do not differ for market‐oriented and bank‐oriented financial systems. 相似文献
2.
In this study, the association between performance of BHCs and institutional ownership stability is investigated and contrasted to those found for the less regulated utility and industrial firms in order to determine whether regulation displaces owner monitoring. We employ a simultaneous equations model treating firm performance and institutional ownership stability as endogenous variables. Several results are obtained. First, BHC performance is positively associated with institutional ownership stability. Second, this association is weaker for BHCs than for comparable utility and industrial firms, possibly because of the substitution of regulation for owner monitoring in banking. Third, this association is stronger in the recent deregulated years and for BHCs with lower likelihood of regulatory intervention. 相似文献
3.
In this study, we investigate the relationship between various dimensions of diversification and the cost of debt for publicly traded bank holding companies (BHCs). We find that both domestic geographic diversification of deposits and diversification of assets lead to a lower bond yield-spread. Diversification of non-traditional banking activities leads to a lower cost of debt only when yield-spread and diversification are estimated simultaneously. In addition, we find that medium-sized BHCs experience a greater reduction in bond yield-spread than small-sized and large-sized BHCs. This is consistent with the too-big-to-fail (TBTF) effects in the banking industry. Furthermore, we document that the association between diversification and yield-spread is bidirectional with higher yield-spreads being associated with greater asset and activity diversification and lower geographic deposit dispersion. The effect of diversification on bond yield-spread is robust after accounting for cross-sectional and serial correlation, and the endogeneity of diversification. 相似文献
4.
Elyas Elyasiani 《Bulletin of economic research》1984,36(2):173-193
In this paper a model of depository firm behavior is developed in which the depository institution acts as a multiple product producer. The multi-product model is an application of the general theory of value to the particular case of depository firms. It generalizes the theory of bank behavior to include production and cost aspects of banking activity as well as its financial aspects and reconciles the rivaling intermediary and firm-theoretic views on depository institutions. By so doing, it bridges the gap between models which treat depository firms as mere portfolio holders and those which analyze the check clearance function in isolation. Risk aversion, production function constraint, jointness, and multiple sources of uncertainty are simultaneously introduced. The model is used to analyze the effects of interest payment on transaction balances, interest payment on reserves of depository institutions by the Central bank, and the Central bank policy swings. 相似文献
5.
Accurate prediction of dividends is important for market participants such as investors, firm managers, and monitoring authorities, as they can, respectively, invest, manage dividend decisions, and monitor dividend policies more effectively. We identify the most relevant variables for predicting the dividend payout of the firms in an emerging market, Iran, using the least absolute shrinkage and selection operator (LASSO). The advantages of the LASSO include: enhancing the prediction accuracy of the dividend model, improving interpretation of the results, and applicability to high-dimensional data. We obtain several results. First, some fundamental determinants of dividends in the industrialized economies such as market-to-book ratio and current ratio, do not play a role in deciding dividends in Iran. Second, LASSO-selected variables outperform the variables commonly used in the literature in terms of model fit and prediction accuracy. Third, business risk, leverage, return on assets and effective tax rate are the most important predictors of dividend propensity of the Iranian firms. Fourth, if the support vector machine algorithm, an often-used classification method, is combined with LASSO-selected variables, it can better discriminate between dividend-paying and dividend non-paying firms than other methods such as logistic regression and linear discriminant analysis.Abbreviations: LASSO: Least Absolute Shrinkage and Selection Operator; TSE: Tehran Stock Exchange; RMSE: Root Mean Squared Errors; MAE: Mean Absolute Errors; ROC: Receiver Operating Characteristics; GMM: Generalized Method of Moments; MENA: Middle East and North Africa region; AIC: Akaike Information Criterion; BIC: Bayesian Information Criterion; LARS: Least Angel Regression; OLS: Ordinary Least Squares; AUC: Area Under Curve; BS: Brier Score ; OA: Overall Accuracy; LDA: Linear Discriminant Analysis; SVM: Support Vector Machine algorithm; LR: Logistic Regression. 相似文献
6.
Using bivariate GARCH models of stock portfolio returns and risk, we find that bank and thrift holding companies that relied the most on Federal Home Loan Bank (FHLB) advances exhibited less total risk and market risk than those that relied on them the least between 2001 and 2012. When we control for differences in holding company size, stock trading volume, residential mortgage lending, and holding company type (bank vs. thrift), the most FHLB‐reliant holding companies sustain the aforesaid risk advantages except during the crisis of 2007–2009, when they exhibit greater idiosyncratic risk. The latter finding suggests that investors perceived the high reliance of the borrowing institutions on advances as a sign of distress. Portfolios that consist of only bank holding companies show qualitatively similar results. 相似文献
7.
Elyas Elyasiani Iqbal Mansur Jill L. Wetmore 《The Journal of Real Estate Finance and Economics》2010,40(1):89-107
This paper examines two relationships using the bivariate generalized autoregressive conditionally heteroskedastic (GARCH)
methodology. First, the relationship between equity returns of commercial banks, savings and loans (S&Ls) and life insurance
companies (LICs), and those of the real-estate investment trusts (REITs), a proxy for the real-estate sector performance.
Second, the relationship between conditional volatilities of the stock returns of these financial intermediaries (FIs) and
that of REITs. The former relationship allows the spillover of returns between the real-estate and the financial intermediation
sector to be analyzed. The latter allows an investigation of the prevalence, direction and strength of inter-sectoral risk
transmission to be carried out. Several interesting results are obtained. First, the equity returns of the FIs considered
follow a GARCH process and should be modeled accordingly. Second, as found in the literature, returns on REITs should be modeled
using the Fama-French multiple factor model. However, this model has to be extended to incorporate a GARCH error structure.
Third, all FI returns considered are highly sensitive to REIT returns and the effects are both statistically and economically
significant. This is an indication that shocks to REITs returns spillover to the former markets. Fourth, spillover of increased
volatility in the real-estate sector to S&Ls and LICs is significant but not to commercial banks. 相似文献
8.
We examine the relationship among the level and stability of institutional ownership, diversification, and riskiness of publicly traded bank holding companies. We find that large and stable institutional ownership is associated with a higher (lower) level of geographic, revenue, and nontraditional banking (asset) diversification and lower risk, suggesting that institutional investors are prudent and favor risk‐reducing diversification strategies. The association between institutional ownership level and diversification is more pronounced under deregulation and during the crisis, suggesting a substitution effect between regulation and market discipline, and a greater level of monitoring and/or advising by institutional investors during the crisis, respectively. 相似文献
9.
Generalized functional forms and demand for money in an open economy: the case of the United Kingdom
The purpose of this paper are twofold:first, to apply a Box–Cox model to the UK money demand relationship within an open economy framework in order to empirically investigate the proper functional form supported by the data in this general setting. Secondly, to test for the porper scale variable in the UK money demand function within the open economy Box–Cox specification. These improvements enhance the accuracy of our measures of monetary and fiscal policy effects and our understanding of the interdependence between different economies. The empirical results derived here reject the restrictive linear and log specifications in favour of the general Box–Cox model under both income and consumption-based money demand specifications. The traditional income-based model, however,escaps unharmed from the challenge put forward by Mankiw and Summers (1986). 相似文献
10.
We investigate the relationship between risk taking of life–health (LH) insurers and stability of their institutional ownership within a simultaneous equation system model. Three main results are obtained. First, stable institutional ownership of is associated with lower total risk of LH insurers, supporting the prudent‐man law hypothesis. Second, when investors are sorted in terms of stringency of the prudent‐man restrictions, their negative effect on risk holds for all, except insurance companies, as owners of LH insurers. Third, large institutional owners do not raise the riskiness of the investee‐firms, as proposed by the large shareholder hypothesis. Regulatory implications are drawn. 相似文献