The Dominant Factors to Bank Stock Returns

• Main Authors: Chun-pin Chien, 簡純彬
• Other Authors: Ho-chyuan Chen
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/15002434263609169404

碩士 === 國立高雄第一科技大學 === 金融營運所 === 92 === The purpose of this study is to explore the affection of the cross-section of bank stock returns by taking advantage of the unique set of industry characteristics that prevail in the financial services sector. We examine affection and predictability in the cross-section of bank stock returns by sorts and regression using information contained in individual bank-specific fundamental variables such as earnings, loan, loan-loss reserves, non-interest income, previous loan commitments, standby letters of credit, leverage, book-to-market, market capitalization of equity, non-performing loan, and return of equity. Empirical results of one-way sorts conclude that investors appear to treat large increases in earnings and return of equity as good news to bank stock returns, while treat non-performing loan as bad news to bank stock returns. In the cross-sectional regressions we find that variables related to percentage changes in earnings per share, non-interest income to net income, previous loan commitments, the book value of equity of total assets, book-to-market, non-performing loan, and return of equity are all univariately important in forecasting the cross-section of bank stock returns, all exclude non-performing loan are positive relation. The results from the two-way sorts are consistent with investor overreaction to firm specific good and bad news. The out-of-sample experiment appears a real-time investor result. Overall, changes in firm specific fundamental variables appear to be important predictors of our banks returns. Especially return of equity, non-performing loan, and book-to-market emerge as dominant factors.