Banks Asset and Liability Valuation in the New Regulatory Environment: A Game Theory Perspective

Annabi, Amira; Reuben, Alicja

doi:10.2139/ssrn.2753748

Cited by 2 publications

(1 citation statement)

References 14 publications

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“…From the company's internal side, several factors influence the valuation of a bank, including the company's financial performance, one of which is the level of bank profitability as measured through Return on Equity (ROE). ROE provides an idea of how much return can be provided to investors (Annabi & Reuben 2017). Another profitability indicator used is interest income, as used by Guerry (2017) Another research was conducted by He and Niu (2017), which discussed the influence of economic policy on banking valuation.…”

Section: Determinants Of Banking Valuationmentioning

confidence: 99%

Analysis of Valuation Determinants of Commercial Banks with Digital Services in Indonesia

Avianto,

Siregar,

Ratnawati

et al. 2024

RGSA

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Purpose: The purpose of the research is to analyze the differences in bank price-to-book value based on the level of digitalization and to explore the influence of digitalization and financial factors on the price-to-book value of banks with digital services. Theoretical Framework: The theoretical framework likely encompasses theories related to digital transformation, financial performance metrics (such as price-to-book value, fee income, return on equity), and possibly theories related to banking and digital services adoption. Method: The research methodology involves statistical tests and Panel Data Regressions. Data from 24 banks covering the period from 2019 to 2022 are utilized. Result and Conclusion: The analysis reveals that higher levels of digitalization are associated with improved contributions of fee income, return on equity, and price to the bank's book value. Additionally, the level of digitalization strengthens return on equity, improves non-performing loans (NPL), and enhances capital utilization, all of which significantly influence price-to-book value. Originality/Value: The novelty of this study lies in its focus on using the price-to-book value (PBV) of commercial banks with digital services as a metric linked to digital transformation, which is distinct from previous research primarily focused on digital banks' profitability. This shift in focus allows for a deeper understanding of the impact of digitalization on bank value.

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Section: Determinants Of Banking Valuationmentioning

confidence: 99%

Analysis of Valuation Determinants of Commercial Banks with Digital Services in Indonesia

Avianto,

Siregar,

Ratnawati

et al. 2024

RGSA

View full text Add to dashboard Cite

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On Post-Crisis Banks’ Fair Value Measurement Disclosure

Annabi¹,

Reuben²

2020

JRAS

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In this paper, we study the interplay between the popularity of valuation techniques adopted by the banks, the banks' perception of the broader risk environment, and their relative performance. In examining this relationship, we rely on the performativity theory as it applies to the fields of accounting and economic sociology. Our data consists in newly disclosed accounting information collected from banks'10-K and 20-F reports from 2012 to 2015. We use four key ingredients in our model: (1) the banks' return on equity as a proxy for performance; (2) the range of unobservable inputs as a proxy for the banks' risk assessment; (3) the intensity of use of valuation techniques, as a proxy for the popularity of these techniques; (4) valuation technique as market devices in the performative process. The regression results suggest that that the intensity of use of valuation techniques mediates the performative process between valuation techniques and banks' performance.

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Banks Asset and Liability Valuation in the New Regulatory Environment: A Game Theory Perspective

Cited by 2 publications

References 14 publications

Analysis of Valuation Determinants of Commercial Banks with Digital Services in Indonesia

Analysis of Valuation Determinants of Commercial Banks with Digital Services in Indonesia

On Post-Crisis Banks’ Fair Value Measurement Disclosure

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