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Assessing the Risk-Return Trade-Off in Loans Portfolios

Mencia, Javier - 2009

This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the … with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in … compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret …

Persistent link: https://www.econbiz.de/10013158964

Macro-financial nexus: a systematic review on the impact of macroeconomic factors on bank stock returns

Joseph, Aleena; Geetha E; Radhakrishnan, Rohith; Jain, … - In: Cogent economics & finance 12 (2024) 1, pp. 1-24

The performance of bank stocks exhibits a country's overall financial health and signals economic growth. Therefore, understanding the interaction of macroeconomic factors on bank stock returns is crucial for the valuation of financial assets, especially in a highly volatile stock market....

Persistent link: https://www.econbiz.de/10015375816

Time-varying conditional beta, return spillovers, and dynamic bank diversification strategies

Wang, Lu - In: The quarterly review of economics and finance : journal … 79 (2021), pp. 272-280

Persistent link: https://www.econbiz.de/10012655045

Fluctuating bail-in expectations and effects on market discipline, risk-taking and cost of capital

Giuliana, Raffaele - 2022

to limit bail-outs' side-effects in terms of market discipline, too-big-to-fail, bank-sovereign nexus and risk …-in effects on bank resilience appear mixed. While it incentivises banks to reduce risk-taking (e.g., increasing risk …

Persistent link: https://www.econbiz.de/10013168204

An empirical study on the characteristics of K-REITs

Hyun, Jung Won; Park, Sang Beom - In: International journal of economics and finance 8 (2016) 6, pp. 231-236

Persistent link: https://www.econbiz.de/10011495043

Investment innovation trends : factor-based investing

Centineo, Sanja; Centineo, Santo - In: Serbian journal of management : an international … 12 (2017) 1, pp. 65-75

This article shows that it can take a long period of time until research knowledge finds its application in practice and get disseminated as innovation trend. Factor-based investing is such an example. Having its developing roots in the nineties, it took more than two decades until this approach...

Persistent link: https://www.econbiz.de/10011658838

How many stocks are sufficient for equity portfolio diversification? : a review of the literature

Zaimovic, Azra; Omanovic, Adna; Arnaut-Berilo, Almira - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-30

diversification is not an easy task as it is impacted by a huge number of different factors: the way systematic risk is measured, the … of the asset features, the model adopted to measure diversification (i.e., equally weighted versus optimal allocation …

Persistent link: https://www.econbiz.de/10012795951

Investors’ Uncertainty and Stock Market Risk

Escobari, Diego - 2018

positive link between investors' uncertainty and market risk. We also find that investors' uncertainty and market risk are …

Persistent link: https://www.econbiz.de/10012923524

Cross-sectional returns predictability for emerging market banks : a study on Indian banking system

Mohapatra, Sabyasachi; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-17

Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the distinct industry parameters prevalent in the financial services space. We find the existence of abnormal returns in banking stocks. We also observe that the celebrated...

Persistent link: https://www.econbiz.de/10012023368

Risk, return and international portfolio diversification : K-means clustering data

Dziuba, Pavlo; Glukhova, Darya; Shtogrin, Kyryl - In: Baltic Journal of Economic Studies 8 (2022) 3, pp. 53-64

Persistent link: https://www.econbiz.de/10013448685