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Bank holding company risk and capital: An empirical investigation

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Title: Bank holding company risk and capital: An empirical investigation
Author(s): Maher, Matthew Robert
Doctoral Committee Chair(s): Lynge, Morgan J., Jr
Department / Program: Finance
Discipline: Finance
Degree Granting Institution: University of Illinois at Urbana-Champaign
Degree: Ph.D.
Genre: Dissertation
Subject(s): Business Administration, Banking
Abstract: The thesis consists of three separate, interrelated areas of research, each done on a year-by-year basis from 1976 to 1987. First, a two-index model of BHC returns was estimated using both daily and weekly data. The interest rate factor used returns on three month T-bills and ten year Treasury bonds. Results reveal that much of the controversy over the validity of the two-index model for BHC returns stems from the variability of the interest rate coefficient through time. Second, the equity market's perception of the effect of capital levels on BHC risk was investigated through year-by-year regressions with daily Scholes-Williams betas as the dependent variable and capital levels as the independent variable of greatest interest. There was little evidence that BHCs circumvented capital requirements by increasing risk in other ways besides leverage and some indication that the equity market's perception of appropriate capital levels is influenced by regulatory requirements. Finally, the relationship between BHC capital levels and fourteen different accounting measures of BHC risk were examined with year-by-year correlations and comparison of the means of the risk measures for high capital and low capital portfolios. Little evidence of a wholesale tradeoff between financial and operating risk was uncovered.
Issue Date: 1989
Type: Text
Language: English
URI: http://hdl.handle.net/2142/19723
Rights Information: Copyright 1989 Maher, Matthew Robert
Date Available in IDEALS: 2011-05-07
Identifier in Online Catalog: AAI9010948
OCLC Identifier: (UMI)AAI9010948
 

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