Common risk factors in bank stocks

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dc.contributor.advisorKolari, James
dc.contributor.committeeMemberBoehmer, Ekkehart
dc.contributor.committeeMemberFraser, Donald
dc.contributor.committeeMemberHernandez-Verme, Paula
dc.contributor.committeeMemberLangari, Reza
dc.contributor.committeeMemberSorescu, Sorin
dc.creatorViale, Ariel Marcelo
dc.date.accessioned2007-09-17T19:33:33Z
dc.date.available2007-09-17T19:33:33Z
dc.date.created2003-05
dc.date.issued2007-09-17
dc.description.abstractThis 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). 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.en
dc.format.digitalOriginborn digitalen
dc.format.extent383726 bytesen
dc.format.mediumelectronicen
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/1969.1/5806
dc.language.isoen_US
dc.publisherTexas A&M University
dc.subjectBankingen
dc.subjectEmpirical Asset Pricingen
dc.titleCommon risk factors in bank stocksen
dc.typeBooken
dc.typeThesisen
dc.type.genreElectronic Dissertationen
dc.type.materialtexten
thesis.degree.departmentFinanceen
thesis.degree.disciplineFinanceen
thesis.degree.grantorTexas A&M Universityen
thesis.degree.levelDoctoralen
thesis.degree.nameDoctor of Philosophyen

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