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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.
|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|
|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."
|Rights Information:||In copyright. Digitized with permission of the University of Illinois Board of Trustees. Contact firstname.lastname@example.org for information.
Copyright Apr 4 1979 Board of Trustees University of Illinois.
|Date Available in IDEALS:||2011-09-15|
|Identifier in Online Catalog:||323870|
This item appears in the following Collection(s)
Research publications from the University of Illinois at Urbana-Champaign
Research Publications from UIUC