Publicação
Bank capital and stock performance around the subprime lending risis
| dc.contributor.advisor | Ferreira, Miguel | |
| dc.contributor.author | Gonçalves, Jorge Diogo Barreiros | |
| dc.date.accessioned | 2014-03-14T11:01:24Z | |
| dc.date.available | 2014-03-14T11:01:24Z | |
| dc.date.issued | 2013-06 | |
| dc.description | A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics | por |
| dc.description.abstract | This empirical study observes the relationship between bank capital and stock performance when an unexpected negative shock materializes to bank value. The analysis covers the three months after the collapse of Lehman Brothers on the 15th September 2008, using the holding period stock return as the dependent variable. With data from the US largest commercial banking and saving and loans institutions, we constructed a multiple regression model and performed several estimations using different definitions of bank capital. Our conclusions are consistent with the premise that better capitalized banks are in a better position to withstand the negative impacts of a disruptive financial event, such as the Lehman collapse, and therefore are susceptible to smaller stock price declines. We also find evidence that simpler and more conservative capital ratios are perceived by equity market participants as more accurate measures of bank health relative to regulatory risk based ratios. Therefore, our results provide support to the inclusion of simpler capital ratios that rely on balance sheet information to bank regulatory frameworks. | por |
| dc.identifier.uri | http://hdl.handle.net/10362/11598 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | no | por |
| dc.publisher | NSBE - UNL | por |
| dc.subject | Bank capital | por |
| dc.subject | Subprime lending crisis | por |
| dc.subject | moral hazard | por |
| dc.title | Bank capital and stock performance around the subprime lending risis | por |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | masterThesis | por |