Predictability of Bank Stock Returns During the Recent Financial Crisis

2014 ◽  
Author(s):  
Woon Sau Leung ◽  
Nicholas Taylor ◽  
Kevin P Evans
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
Bank Stock Returns ◽  
Bank Stock ◽  
Recent Financial Crisis

Time variation paths of risk sensitivities of bank stocks in the past two decades

2016 ◽  
Vol 17 (4) ◽  
pp. 446-455
Author(s):  
Kaiyi Chen ◽  
Ling T. He ◽  
R.B. Lenin
Keyword(s):  
Monetary Policy ◽  
Financial Crisis ◽  
Least Squares ◽  
Stock Returns ◽  
Time Variation ◽  
Bond Market ◽  
Content Type ◽  
Study Programs ◽  
Bank Stock Returns ◽  
Bank Stock

Purpose The purpose of this study is to trace time variation paths in risk sensitivities of bank stock returns over the period of 1990-2014, which covers one of most serious financial crises in the history of the USA. Design/methodology/approach This study programs the flexible least squares (FLS) approach (Kalaba and Testfatsion, 1988, 1989 and 1990) with R, a free statistical computing and graphics software, to estimate the three-factor model developed by He and Reichert (2003) to examine changes in risk sensitivities of bank stocks to the stock market, bond market and real estate market. Findings Both FLS and ordinary least squares (OLS) results indicate that the bond market (interest rate) sensitivity of bank stock returns experiences dramatic changes. It is significantly positive before the 2006 subprime mortgage crisis (11/1990 to 5/2006), reduces to insignificant in a short period of 11/2006 to 10/2008 and turns into significantly negative during the period of 11/2008-11/2014. Further, results of this study indicate that bank stocks negatively respond to changes in housing prices in the period of 11/1990-1/1994 and after that the sensitivity turns into significantly positive. The significant shifts in risk sensitivities of banks stock returns coincide with alterations in long-term interest rates and monetary policy, especially the enormously stimulative monetary policy after the financial crisis in 2008. Originality/value This study programs the FLS approach with R and uses the FLS approach to demonstrate the time variation paths of risk sensitivities of bank stocks over a period that covers the 2008 financial crisis. The OLS results verify the significant shifts in risk sensitivities suggested by the FLS estimates.

scholarly journals Federal Reserve financial crisis lending programs and bank stock returns

2013 ◽  
Vol 37 (10) ◽  
pp. 3819-3829 ◽  
Author(s):  
Ken B. Cyree ◽  
Mark D. Griffiths ◽  
Drew B. Winters
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
Federal Reserve ◽  
Bank Stock Returns ◽  
Bank Stock

scholarly journals Shock And Volatility Transmissions Between Bank Stock Returns In Romania: Evidence From A VAR-GARCH Approach

2014 ◽  
Vol 30 (3) ◽  
pp. 689
Author(s):  
Maria Ulici ◽  
Anissa Chaibi ◽  
Christophe Rault
Keyword(s):  
Financial Crisis ◽  
Stock Returns ◽  
Empirical Results ◽  
International Financial Crisis ◽  
Hedging Strategies ◽  
Bank Stock Returns ◽  
Bank Stock

<p class="BodytextAbstarct"><span lang="PL">We develop a VAR-GARCH approach to investigate shock and volatility transmissions between bank stock returns in Romania during the 2007-2009 international financial crisis. Our findings provide evidence of significant shock and volatility transmissions between Romanian bank returns. We also show how our empirical results can be used to build effective diversification and hedging strategies.</span></p>

Does Change in Ted Spread Impact Bank Stock Returns?

2021 ◽  
pp. jwm.2021.1.151
Author(s):  
Srinivas Nippani ◽  
Augustine C. Arize ◽  
D. K. Malhotra
Keyword(s):  
Stock Returns ◽  
Bank Stock Returns ◽  
Bank Stock

Market efficiency, the Mexican peso crisis, and the US bank stock returns

2000 ◽  
Vol 11 (1-2) ◽  
pp. 73-86 ◽  
Author(s):  
Osman Kilic ◽  
M.Kabir Hassan ◽  
David Tufte
Keyword(s):  
Market Efficiency ◽  
Stock Returns ◽  
The Us ◽  
Bank Stock Returns ◽  
Bank Stock ◽  
Mexican Peso

ESG Scores and Bank Performance During COVID-19

2022 ◽  
pp. 241-260
Author(s):  
Gamze Ozturk Danisman
Keyword(s):  
Stock Returns ◽  
Extended Period ◽  
Negative Influence ◽  
Policy Implications ◽  
European Countries ◽  
Time Period ◽  
Bank Stock Returns ◽  
Bank Stock ◽  
The Impact ◽  
Extended Time Period

This chapter examines the impact of ESG scores on bank stock returns as a response to the COVID-19 pandemic. The authors use a sample of 73 publicly listed banks from 15 developed European countries. They perform the analysis using two different periods that cover the pandemic: the first major wave period of COVID-19 (February-April 2020) and an extended period (February 2020-April 2021). The findings reveal the negative influence of the COVID-19 pandemic on bank stock returns during the first wave of the pandemic. They further find that, during the first wave, stock returns of banks with higher ESG scores were more resilient to the pandemic. However, when they use the extended time period (from February 2020-April 2021), the influence of both COVID-19 and ESG scores becomes insignificant. The chapter's findings have important policy implications during unprecedented crisis times such as COVID-19.

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