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
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 banksï¿½ 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)
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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