Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

Jorge Chan-Lau, Estelle Liu and Jochen M. Schmittmann

No 2012/174, IMF Working Papers from International Monetary Fund

Abstract: This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment. While the equity return performance in the banking sector has been dismal in general, better capitalized and less leveraged banks have outperformed their peers, a finding that supports policymakers’ efforts to strengthen bank capitalization.

Keywords: WP; bank; equity; capital ratio; funding; Tier 1; Banks; equity returns; financial crisis; sovereign risk; sovereign debt crisis; economic growth; regulatory capital; panel data econometrics; banking sector; equity price; return performance; equity return; investor base; Tier 1 capital ratio; CDS spread; bank CDS premia; Stocks; Capital adequacy requirements; Yield curve; Commercial banks; Global (search for similar items in EconPapers)
Pages: 22
Date: 2012-07-01
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Citations: View citations in EconPapers (11)

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Related works:
Journal Article: Equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis (2015)
Working Paper: Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis (2013)
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