The Determinants of Future Bank Stock Returns in Eight Asian Countries

Jiyoun An and Sung-o Na ()
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Sung-o Na: Bank of Korea

East Asian Economic Review, 2014, vol. 18, issue 3, 253-276

Abstract: We examine which traditional asset pricing variables together with bank-specific accounting variables explain the cross-sectional variation of future bank stock returns, using a firm-level data of eight Asian countries. Our empirical evidence shows that exchange rate risk, firm size, the book-to-market ratio, and the net income ratio are important in explaining future bank stock returns during normal times. However, during the Global Financial Crisis period, different variables such as local market beta, illiquidity risk, equity ratio, and off-balance sheets ratio were statistically significant. Thus, researchers and policy practitioners should monitor these variables during normal times as well as during times of crisis.

Keywords: Asian Banks; International Asset Pricing Tests; Cross-sectional Variation of Expected Returns; Bank Accounting Ratios; Global Financial Crisis (search for similar items in EconPapers)
JEL-codes: G12 G15 G21 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:ris:eaerev:0038

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