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Title:Commercial bank financial policies and their impact on market-determined measures of risk / BEBR No.556
Author(s):Jahankhani, Ali; Lynge, Morgan J.
Contributor(s):University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Subject(s):Banks and banking -- Finance.
Risk.
Issue Date:Apr 4 1979
Publisher:[Urbana, Ill.] : College of Commerce and Business Administration, University of Illinois at Urbana-Champaign,
Series/Report:Faculty working papers ; no. 556
Type:Text
Language:English
Description:Includes bibliographical references (p. 20-21).
"This paper investigates the relationship between certain accounting measures that purport to reflect a firm's risk and two market-based measures of risk. The firms examined are commercial banks and bank holding companies. Some commonly used ratios to indicate risk in banking are capital to total assets, loans to deposits, liquid assets to total assets, and loan losses to total loans. These and other measures are included in multiple regression equations using systematic risk (beta) and total risk (standard deviation of return) as dependent variables. Results indicate that the accounting measures do explain from 25% to 43% of the variation in the market-based risk measures for banks. Signs of the estimated coefficients are usually consistent with expectations, supporting the conventional views of the usefulness of these ratios in measuring the riskiness of a bank."
URI:http://hdl.handle.net/2142/27654
Rights Information:In copyright. Digitized with permission of the University of Illinois Board of Trustees. Contact digicc@library.illinois.edu for information.
Copyright Apr 4 1979 Board of Trustees University of Illinois.
Date Available in IDEALS:2011-09-15
Has Version(s):http://hdl.handle.net/10111/UIUCOCA:commercialbankfi556jaha
http://www.archive.org/details/commercialbankfi556jaha
Identifier in Online Catalog:323870
OCLC Identifier:(OCoLC)ocm05132854


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