EFFECT OF FEDERAL RESERVE POLICIES ON BANK EQUITY RETURNS

2000 ◽  
Vol 23 (4) ◽  
pp. 421-447 ◽  
Author(s):  
Jeff Madura ◽  
Oliver Schnusenberg
Keyword(s):  
Federal Reserve ◽  
Equity Returns ◽  
Bank Equity

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

2020 ◽  
Vol 54 ◽  
pp. 101219 ◽  
Author(s):  
Jose Arreola Hernandez ◽  
Sang Hoon Kang ◽  
Syed Jawad Hussain Shahzad ◽  
Seong-Min Yoon
Keyword(s):  
Equity Returns ◽  
Bank Equity

Bank-Equity returns and changes in the discount rate

1990 ◽  
Vol 4 (3) ◽  
pp. 223-241 ◽  
Author(s):  
Jeffery A. Born ◽  
James T. Moser
Keyword(s):  
Discount Rate ◽  
Equity Returns ◽  
Bank Equity

Describing Bank Equity Returns: The Year-by-Year Record: Note

1981 ◽  
Vol 13 (2) ◽  
pp. 241 ◽  
Author(s):  
William L. Beedles ◽  
Nancy K. Buschmann
Keyword(s):  
Equity Returns ◽  
Bank Equity

scholarly journals Credit Expansion and Neglected Crash Risk*

2017 ◽  
Vol 132 (2) ◽  
pp. 713-764 ◽  
Author(s):  
Matthew Baron ◽  
Wei Xiong
Keyword(s):  
Strong Predictor ◽  
Equity Returns ◽  
Bank Credit ◽  
Crash Risk ◽  
Dividend Yield ◽  
Credit Expansion ◽  
Market Sentiment ◽  
Developed Economies ◽  
Bank Equity ◽  
Equity Index

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.

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

1990 ◽  
Vol 25 (2) ◽  
pp. 321-334 ◽  
Author(s):  
Iqbal Mansur ◽  
Steven J. Cochran ◽  
David K. Seagers
Keyword(s):  
Equity Returns ◽  
Debt Rescheduling ◽  
Bank Equity ◽  
The Relationship

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

2011 ◽  
Vol 5 (1) ◽  
pp. 52 ◽  
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.

scholarly journals Brexit and the dependence structure among the G7 bank equity markets

2020 ◽  
Vol 17 (2) ◽  
pp. 231-239 ◽  
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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