What Determines Return Risks for Bank Equities in Turkey?
Fordham University Economics Department Discussion Paper Series, 2013
12 Pages Posted: 6 Sep 2013
Date Written: September 5, 2013
By using data from thirteen publicly traded commercial and deposit banks this paper estimates the determinants of market risk for bank equities in the case of an emerging market setting, Turkey. The analysis reveals that maturity composition of a bank’s loans, the share of trading income in a bank’s overall revenue stream and its foreign-ownership structure are important indicators of the volatility of its equity returns. Banks with shorter loan maturity positions are regarded by investors as safer companies to invest in while increases in trading income as a source of bank’s overall revenue increases the volatility of its equity returns. Foreign ownership of a bank also lowers its equity return risk.
Keywords: commercial banks, Turkish Banks, equity risk
JEL Classification: G10, G21, G28
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