Abstract

This research provides an insight to the main determinants behind the systematic risk of banks. For this purpose, we use a number of regression models to test the statistical significance of a wide range of bank-specific risk factors. The results indicate that bank equity beta correlates positively with bank size and with the relative volume of loans and intangible assets, and negatively with bank profitability, liquidity levels and loan loss provisions. We find no evidence supporting the traditional hypothesis that lower leveraged banks may be exposed to lower systematic risk. The study refers to the Italian banking system. Our findings are of significance both to bank managers as well as investors, since they will enable them to fully assess the effects of different strategic choices on a bank’s risk profile. We also discuss potential policy implications regarding the impact of the new capital requirements imposed by Basel III in light of the observed risk-leverage relationship.

Autore Pugliese

• D'apolito Elisabetta

Tutti gli autori

• DI BIASE P. , D'Apolito E.

Titolo volume/Rivista

INTERNATIONAL JOURNAL OF ECONOMICS AND FINANCE

Anno di pubblicazione

2012

ISSN

1916-971X

ISBN

Non Disponibile

Numero di citazioni Wos

Nessuna citazione

Ultimo Aggiornamento Citazioni

Non Disponibile

Numero di citazioni Scopus

Non Disponibile

Ultimo Aggiornamento Citazioni

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Settori ERC

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Codici ASJC

Non Disponibile