European Parliament Library

Bank Capital :, Lessons From the Financial Crisis, Ouarda Merrouche, Enrica Detragiache, Asli Demirgüç-Kunt

Abstract
Using a multi-country panel of banks, we study whether better capitalized banks experienced higher stock returns during the financial crisis. We differentiate among various types of capital ratios: the Basel risk-adjusted ratio; the leverage ratio; the Tier I and Tier II ratios; and the tangible equity ratio. We find several results: (i) before the crisis, differences in capital did not have much impact on stock returns; (ii) during the crisis, a stronger capital position was associated with better stock market performance, most markedly for larger banks; (iii) the relationship between stock returns and capital is stronger when capital is measured by the leverage ratio rather than the risk-adjusted capital ratio; (iv) higher quality forms of capital, such as Tier 1 capital and tangible common equity, were more relevant
Table Of Contents
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Sample Selection, Data Description, And Empirical Model; 1. Average Quarterly Bank Stock Returns by Country, Q1.2006-Q12009; 1. Bank Stock Returns Before and During the Crisis; 2. Summary Statistics: Capital Ratios 20; 3. Correlation Matrix; III. The Results; 4. Stock Market Performance and Bank Capital over the Financial Cycle; 5. Tier 1 and Tier 2 Capital and Tangible Common Equity; 2. Response of Bank Stock Returns to Lagged Bank Capital Before and During the Financial Crisis
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (50 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462383979

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