Commercial bank financial policies and their impact on market-determined measures of risk
By: Ali Jahankhani, Morgan J. Lynge, Jr
Contributors: Lynge, Morgan J. joint author; University of Illinois at Urbana-Champaign. College of Commerce and Business Administration
Series: Faculty working papers -- no. 556; Faculty working papers -- no. 556.
Publisher: College of Commerce and Business Administration, University of Illinois at Urbana-Champaign
Published: 1979
Place of publication: [Urbana, Ill.]
Language: eng
Number of pages: 21
Subjects: Finance; Risk; Banks and banking
Description: "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."
Notes: Includes bibliographical references (p. 20-21).