Time-varying systematic and idiosyncratic risk exposures of US bank holding companies

Real Estate Exposure of Us Banking Industry Stock Returns: Evidence From Commercial and Residential Markets

“…The positive coefficient reflects the suggestion by recent studies that the sensitivity to interest rate changes has become positive because of the changing banking environment. Moreover, the finding of the present study is consistent with the findings of Ferrer et al (2010) and Ballester et al (2011) on Spanish banking industry stock returns in the post-euro period and the findings of Bessler et al (2015) on US banking industry stock returns after 1999. These findings reveal that environmental changes, such as the widespread use of adjustable rate loans, extraordinary expansion of asset securitization, intensive use of interest rate derivatives, and low interest rate environments, have become more important than the mismatch issue in terms of the effect on the link between interest rate changes and banking industry stock returns.…”

“…Specifically, Ferrer, González, and Soto (2010) and Ballester, Ferrer, and González (2011) find that Spanish banks are significantly and positively exposed to interest rate changes in the post-euro period. Bessler, Kurmann, and Nohel (2015) also find that US banking industry stock returns are positively related to interest rate changes post 1999. Proposed reasons include the lack of adequate competition in the banking industry, the widespread use of adjustable rate loans, expansion of asset securitization, intensive use of interest rate derivatives, and difficulties maintaining margins in the low interest rate environment of recent years (Ballester et al, 2011;Bessler et al, 2015;Faff & Howard, 1999;Ferrer et al, 2010;Ho & Saunders, 1981;Lepetit, Nys, Rous, & Tarazi, 2008;Sukcharoensin, 2013).…”

Bank Income Diversification, Asset Correlation and Systemic Risk

“…© 2019 Economic Society of South Africa With respect to empirical analysis, one branch in the literature focusses on the influence of banks' diversification to their idiosyncratic and systematic risks, rather than the whole banking systemic risk (e.g. Baele et al, 2007;Filson and Olfati, 2014;Bessler et al, 2015). Another strand aims at the effect of income diversification or non-interest income (NONI) on financial stability, but there is not much consideration on asset correlation (e.g.…”

“…As to Hypothesis 1, even though some studies (e.g. Baele et al, 2007;Filson and Olfati, 2014;Bessler et al, 2015) have empirically investigated the effect of banks' income diversification on their idiosyncratic and systematic risk exposures, there are relatively few studies that address the impact of banks' income diversification on the entire market risk. In our research, the measure for systemic risk in the banking sector is the weighted average Z-score indices 4 (as suggested in Houston et al, 2010) of the banks in our sample data, rather than the Z-score data offered by the World Bank, which contain several banks that are not in estimated sample.…”

The impact of knowledge management, learning and socio-cultural factors on innovation

“…According to study done by Bessler et al ((Bessler, Kurmann and Nohel, 2015) in US holding companies systemic risk is also attributable to interest rate risk, credit risk, sovereign risk, real estate risk and market risk.…”