標題: Book-to-Market Equity, Asset Correlations and the Basel Capital Requirement
作者: Lee, Shih-Cheng
Lin, Chien-Ting
Yu, Min-Teh
資訊管理與財務金融系 註:原資管所+財金所
Department of Information Management and Finance
關鍵字: bank capital requirement;asset correlation;book-to-market equity;firm size;default probability
公開日期: 1-九月-2013
摘要: This paper examines the effect of book-to-market equity (BE/ME) on asset correlations under the Basel capital requirement. We find that BE/ME captures variations in asset correlations after controlling for firm size, default probability and industry effects from 1987 to 2011. Obligors with higher BE/ME exhibit lower asset correlations compared to those with lower BE/ME. Decomposing BE/ME into assets-in-place and growth options based on the asset pricing literature shows that obligors with more assets-in-place or more fixed assets have higher BE/ME and lower asset correlations than those with more growth options. Overall, our findings suggest that BE/ME is an additional important factor that may improve the estimates of asset correlations and thereby banks' capital adequacy.
URI: http://dx.doi.org/10.1111/jbfa.12029
http://hdl.handle.net/11536/23059
ISSN: 0306-686X
DOI: 10.1111/jbfa.12029
期刊: JOURNAL OF BUSINESS FINANCE & ACCOUNTING
Volume: 40
Issue: 7-8
起始頁: 991
結束頁: 1008
顯示於類別:期刊論文


文件中的檔案:

  1. 000325851700009.pdf