Activity-based valuation of bank holding companies
By: Charles W. Calomiris, Doron Nissim.
Contributors: Calomiris, Charles W.; Nissim, Doron.; National Bureau of Economic Research.
Series: NBER working paper series -- working paper 12918; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 12918.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "Standard valuation methods do not lend themselves to bank holding companies.  Banks create value through the types of assets and liabilities they create (e.g., lending and deposit taking relationships).  Bank income streams reflect heterogeneous sources of income which differ in their margins of profitability and persistence.  Our approach to valuation permits potential differences in the composition of assets, liabilities, income and expenses, and in the profitability and persistence of different sources of income, to reflect themselves in estimated relationships that relate the composition of the balance sheet and income statement to bank value.  Our approach explains substantial cross-sectional variation in observed market-to-book values, and residuals from cross-sectional regressions of market-to-book values are useful for predicting future stock returns.  Predictable future variation in returns does not reflect priced risk factors, but is related to trading costs"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/5/2007.

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