Does bank capitalization matter for bank stock returns?
Qiubin Huang (),
Jakob de Haan () and
Bert Scholtens ()
The North American Journal of Economics and Finance, 2020, vol. 52, issue C
We examine US bank capitalization and its association with bank stock returns, and find that the book- and market-based capital ratios show different patterns. Fama-MacBeth regressions and portfolio analyses suggest that banks’ market-based capital ratios are negatively associated with banks’ stock returns during the (tranquil) 1994–2007 period while book-based capital ratios are positively associated with banks’ stock returns during the (turbulent) 2008–2014 period. These results suggest that the effect of bank capitalization on bank stock returns depends on the capital measure used and the period considered.
Keywords: Bank capitalization; Bank stock returns; Portfolio analysis; Fama-MacBeth regression (search for similar items in EconPapers)
JEL-codes: G12 G21 G28 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300681
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