東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Common risk factors in bank stocks.

Viale, Ariel Marcelo.

Linked to FindBook

Google Book

Amazon

博客來

Common risk factors in bank stocks.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Common risk factors in bank stocks./
Author:	Viale, Ariel Marcelo.
Description:	50 p.
Notes:	Source: Dissertation Abstracts International, Volume: 68-06, Section: A, page: .
Contained By:	Dissertation Abstracts International68-06A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3270837
ISBN:	9780549098058

Common risk factors in bank stocks.
Viale, Ariel Marcelo.

Common risk factors in bank stocks. - 50 p.

Source: Dissertation Abstracts International, Volume: 68-06, Section: A, page: .

Thesis (Ph.D.)--Texas A&M University, 2007.

This 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).

ISBN: 9780549098058Subjects--Topical Terms:

626650
Economics, Finance.

Common risk factors in bank stocks.
LDR:01857nmm 2200289 4500 001 1835567
005 20071220111706.5
008 130610s2007 eng d
020 $a 9780549098058
035 $a (UMI)AAI3270837
035 $a AAI3270837
040 $a UMI $c UMI
100 1 $a Viale, Ariel Marcelo. $3 1924188
245 1 0 $a Common risk factors in bank stocks.
300 $a 50 p.
500 $a Source: Dissertation Abstracts International, Volume: 68-06, Section: A, page: .
500 $a Adviser: James W. Kolari.
502 $a Thesis (Ph.D.)--Texas A&M University, 2007.
520 $a This 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).
520 $a 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.
590 $a School code: 0803.
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Banking. $3 1018458
690 $a 0508
690 $a 0770
710 2 0 $a Texas A&M University. $3 718977
773 0 $t Dissertation Abstracts International $g 68-06A.
790 1 0 $a Kolari, James W., $e advisor
790 $a 0803
791 $a Ph.D.
792 $a 2007
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3270837