Spillovers and diversification potential of bank equity returns from developed and emerging America

Abstract By analyzing 20 developed economies over 1920–2012, we find the following evidence of overoptimism and neglect of crash risk by bank equity investors during credit expansions: (i) bank credit expansion predicts increased bank equity crash risk, but despite the elevated crash risk, also predicts lower mean bank equity returns in subsequent one to three years; (ii) conditional on bank credit expansion of a country exceeding a 95th percentile threshold, the predicted excess return for the bank equity index in subsequent three years is −37.3%; and (iii) bank credit expansion is distinct from equity market sentiment captured by dividend yield and yet dividend yield and credit expansion interact with each other to make credit expansion a particularly strong predictor of lower bank equity returns when dividend yield is low.

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EFFECT OF FEDERAL RESERVE POLICIES ON BANK EQUITY RETURNS

The Journal of Financial Research ◽

10.1111/j.1475-6803.2000.tb00754.x ◽

2000 ◽

Vol 23 (4) ◽

pp. 421-447 ◽

Cited By ~ 19

Author(s):

Jeff Madura ◽

Oliver Schnusenberg

Keyword(s):

Federal Reserve ◽

Equity Returns ◽

Bank Equity

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The Relationship between the Argentinean Debt Rescheduling Announcement and Bank Equity Returns

Financial Review ◽

10.1111/j.1540-6288.1990.tb00799.x ◽

1990 ◽

Vol 25 (2) ◽

pp. 321-334 ◽

Cited By ~ 6

Author(s):

Iqbal Mansur ◽

Steven J. Cochran ◽

David K. Seagers

Keyword(s):

Equity Returns ◽

Debt Rescheduling ◽

Bank Equity ◽

The Relationship

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Interdependence and portfolio optimisation of bank equity returns from developed and emerging Europe

International Journal of Finance & Economics ◽

10.1002/ijfe.2174 ◽

2020 ◽

Author(s):

Jose Arreola Hernandez ◽

Sang Hoon Kang ◽

Seong‐Min Yoon

Keyword(s):

Equity Returns ◽

Portfolio Optimisation ◽

Bank Equity

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The Relationship Between Bank Equity Returns And The Brazilian Interest Payments Moratorium

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v5i1.6376 ◽

2011 ◽

Vol 5 (1) ◽

pp. 52 ◽

Cited By ~ 2

Author(s):

Iqbal Mansur ◽

Steven J. Cochran ◽

Dave T. Cahill

Keyword(s):

Relevant Information ◽

Equity Returns ◽

Exposed Group ◽

Equity Prices ◽

Return Levels ◽

Study Methodology ◽

Bank Equity ◽

The Relationship ◽

Interest Payments ◽

Event Study Methodology

The purpose of this study is to examine the effects of the Brazilian announcement to suspend interest payments on the equity return levels of several large U.S. commercial banks. Using event study methodology, the evidence suggests that the equity prices of the sample banks fully and immediately reflected the relevant information associated with the Brazilian announcement. Additionally, the patterns of portfolio excess returns revealed that the less exposed banks experienced less loss than ether the total bank sample or the more exposed group.

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Brexit and the dependence structure among the G7 bank equity markets

Investment Management and Financial Innovations ◽

10.21511/imfi.17(2).2020.18 ◽

2020 ◽

Vol 17 (2) ◽

pp. 231-239 ◽

Cited By ~ 1

Author(s):

Ramzi Nekhili ◽

Kostas Giannopoulos

Keyword(s):

Negative Impact ◽

Global Scale ◽

Equity Returns ◽

Dependence Structure ◽

The European Union ◽

Asymmetric Dependence ◽

Banking Institutions ◽

Cross Country ◽

Bank Equity ◽

The Uk

The UK referendum in June 2016 on leaving the European Union had a negative impact on banking stocks across the major financial markets. This has left with a question dealing with the effect of UK banking institutions on the systemic risk on a global scale. This paper aims at investigating the changes in the dependence structure between the UK bank equity returns and its counterparts in the G7 economies. The methodology used is based on the GJR-GARCH volatility spillover model that accounts for asymmetry and leverage, and copula for the time-varying correlation structure among G7 banks. Taking the data on bank equity return indices for G7 economies, the results indicate the symmetric dependence structure between the UK and Italian banks and the asymmetric dependence between the UK and the rest of G7 banks. This is due to the simultaneous decline in bank shares prices across the Union. Such results are important constituents for cross-country portfolio diversification.

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Banking Crises Without Panics*

The Quarterly Journal of Economics ◽

10.1093/qje/qjaa034 ◽

2020 ◽

Vol 136 (1) ◽

pp. 51-113 ◽

Cited By ~ 2

Author(s):

Matthew Baron ◽

Emil Verner ◽

Wei Xiong

Keyword(s):

Banking Crisis ◽

Banking Crises ◽

Equity Returns ◽

Economic Consequences ◽

Large Bank ◽

Data Set ◽

Banking Panics ◽

Amplification Mechanism ◽

Bank Equity ◽

Output Gaps

Abstract We examine historical banking crises through the lens of bank equity declines, which cover a broad sample of episodes of banking distress with and without banking panics. To do this, we construct a new data set on bank equity returns and narrative information on banking panics for 46 countries over the period of 1870 to 2016. We find that even in the absence of panics, large bank equity declines are associated with substantial credit contractions and output gaps. Although panics are an important amplification mechanism, our results indicate that panics are not necessary for banking crises to have severe economic consequences. Furthermore, panics tend to be preceded by large bank equity declines, suggesting that panics are the result, rather than the cause, of earlier bank losses. We use bank equity returns to uncover a number of forgotten historical banking crises and create a banking crisis chronology that distinguishes between bank equity losses and panics.

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