Book-to-Market Equity, Asset Correlations and the Basel Capital Requirement

Cheng-Shih Lee, Chien-Ting Lin, Min-Teh Yu

研究成果: Article同行評審

3 引文 斯高帕斯(Scopus)

摘要

This paper examines the effect of book-to-market equity (BE/ME) on asset correlations under the Basel capital requirement. We find that BE/ME captures variations in asset correlations after controlling for firm size, default probability and industry effects from 1987 to 2011. Obligors with higher BE/ME exhibit lower asset correlations compared to those with lower BE/ME. Decomposing BE/ME into assets-in-place and growth options based on the asset pricing literature shows that obligors with more assets-in-place or more fixed assets have higher BE/ME and lower asset correlations than those with more growth options. Overall, our findings suggest that BE/ME is an additional important factor that may improve the estimates of asset correlations and thereby banks' capital adequacy.
原文English
頁(從 - 到) 991-1008
頁數18
期刊Journal of Business Finance and Accounting
40
發行號7-8
DOIs
出版狀態Published - 九月 2013

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