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Balance-sheet ratios and stock returns: An analysis for Italian banks

Angela Romagnoli ()

No 648, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: The paper assesses whether the monthly returns of the listed shares of Italian banks are predicted by changes in balance-sheet indicators. The sample covers the period from January 1997 to June 2003. Estimates use both unadjusted and risk-adjusted returns. Results show that the stock returns of Italian banks are positively related to past profitability, liquidity, and asset quality, while they are not significantly affected by banks� capital ratios. Furthermore, in the sample period an increase in traditional lending activity leads to higher stock returns.

Keywords: bank stock returns; bank-specific accounting ratios (search for similar items in EconPapers)
JEL-codes: C14 G12 G21 (search for similar items in EconPapers)
Date: 2007-11
New Economics Papers: this item is included in nep-acc, nep-ban, nep-cfn and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_648_07

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