East Asian Economic Review
- Volume 18 Issue 3
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- Pages.253-276
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- 2014
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- 2508-1640(pISSN)
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- 2508-1667(eISSN)
DOI QR Code
The Determinants of Future Bank Stock Returns in Eight Asian Countries
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An, Jiyoun
(Kyung Hee University) ;
- Na, Sung-O (Bank of Korea)
- Received : 2014.04.30
- Accepted : 2014.08.29
- Published : 2014.09.30
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