The Determinants of Future Bank Stock Returns in Eight Asian Countries

Journal of East Asian Economic Integration (JEAI), Vol. 18, No. 3 (September 2014)

24 Pages Posted: 3 Oct 2014 Last revised: 6 Nov 2016

See all articles by Jiyoun An

Jiyoun An

Kyung Hee University

Sung-o Na

The Bank of Korea

Date Written: September 30, 2014

Abstract

We examine which traditional asset pricing variables together with bank-specific accounting variables explain the cross-sectional variation of future bank stock returns, using a firm-level data of eight Asian countries. Our empirical evidence shows that exchange rate risk, firm size, the book-to-market ratio, and the net income ratio are important in explaining future bank stock returns during normal times. However, during the Global Financial Crisis period, different variables such as local market beta, illiquidity risk, equity ratio, and off-balance sheets ratio were statistically significant. Thus, researchers and policy practitioners should monitor these variables during normal times as well as during times of crisis.

Keywords: Asian Banks, International asset pricing tests, Cross-sectional variation of expected returns, Bank accounting ratios, Global Financial Crisis

JEL Classification: G12, G15, G21

Suggested Citation

An, Jiyoun and Na, Sung-o, The Determinants of Future Bank Stock Returns in Eight Asian Countries (September 30, 2014). Journal of East Asian Economic Integration (JEAI), Vol. 18, No. 3 (September 2014). Available at SSRN: https://ssrn.com/abstract=2504472

Jiyoun An (Contact Author)

Kyung Hee University ( email )

1732 Deogyeong-daero
Giheung-gu
Yongin-si, Gyeonggi-do, Gyeonggi-Do 446-701
Korea, Republic of (South Korea)

HOME PAGE: http://kic.khu.ac.kr/

Sung-o Na

The Bank of Korea ( email )

39, Namdaemun-ro, Jung-gu
Seoul, 04531
Korea, Republic of (South Korea)

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