Bank stocks, risk factors, and tail behavior
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
Original language | English |
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Pages (from-to) | 203-229 |
Journal / Publication | Journal of Empirical Finance |
Volume | 63 |
Online published | 17 Jul 2021 |
Publication status | Published - Sept 2021 |
Link(s)
Abstract
We examine how the tail behavior of risk factors affects the tail behavior of individual bank stock returns in the United States. Using 26 common risk factors, we construct univariate and multivariate conditional exceedance measures. We find that returns on banking industry, security-trading industry, and broad market portfolios have the largest impact on the probability of observing high positive tail returns on bank stocks. A small-minus-big bank return factor, market volatility, and a profitability risk factor have the largest impacts on the probability of lower tail returns. Bank capital ratios and total allowances for loan losses are notably related to tail risk.
Research Area(s)
- Bank stocks, Loan loss provisions, Risk factors, Upper and lower tail risks
Citation Format(s)
Bank stocks, risk factors, and tail behavior. / Yang, Huan; Cai, Jun; Huang, Lin et al.
In: Journal of Empirical Finance, Vol. 63, 09.2021, p. 203-229.
In: Journal of Empirical Finance, Vol. 63, 09.2021, p. 203-229.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review