| Description |
1 online resource (35 pages) : color illustrations |
| Series |
IMF working paper ; WP/10/286 |
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IMF working paper ; WP/10/286.
|
| Contents |
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Sample Selection, Data Description, And Empirical Model; 1. Average Quarterly Bank Stock Returns by Country, Q1.2006-Q12009; 1. Bank Stock Returns Before and During the Crisis; 2. Summary Statistics: Capital Ratios 20; 3. Correlation Matrix; III. The Results; 4. Stock Market Performance and Bank Capital over the Financial Cycle; 5. Tier 1 and Tier 2 Capital and Tangible Common Equity; 2. Response of Bank Stock Returns to Lagged Bank Capital Before and During the Financial Crisis |
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6. Stock Market Performance and Structure of Bank Capital over the Financial Cycle: Alternative Definitions of Bank Size and Alternative7. Stock Market Performance and Bank Leverage: Separate Pre-Crisis and Crisis Regressions; 8. Robustness Check: Weighted Least Squares and Alternative Clustering; 9. Controlling for Recapitalizations; 10. Sample Split by Initial Capital Levels; 11. Credit Default Swaps Premia and Bank Capital over the Financial Cycle; IV. Conclusions; 1. Sample Coverage; 2. Summary Statistics: Control Variables; References; Footnotes |
| Summary |
Using a multi-country panel of banks, we study whether better capitalized banks experienced higher stock returns during the financial crisis. We differentiate among various types of capital ratios: the Basel risk-adjusted ratio; the leverage ratio; the Tier I and Tier II ratios; and the tangible equity ratio. We find several results: (i) before the crisis, differences in capital did not have much impact on stock returns; (ii) during the crisis, a stronger capital position was associated with better stock market performance, most markedly for larger banks; (iii) the relationship between stock returns and capital is stronger when capital is measured by the leverage ratio rather than the risk-adjusted capital ratio; (iv) higher quality forms of capital, such as Tier 1 capital and tangible common equity, were more relevant |
| Bibliography |
Includes bibliographical references |
| Notes |
Print version record |
| Subject |
Bank capital.
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Financial crises
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Bank capital
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Financial crises
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| Form |
Electronic book
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| Author |
Detragiache, Enrica, author.
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Merrouche, Ouarda, author.
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| ISBN |
1283570483 |
|
9781283570480 |
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9781455220571 |
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1455220574 |
|
9781455210930 |
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1455210935 |
|
