PYXIDA Institutional Repository
and Digital Library
 Home
Collections :

Title :Valuation of bank holding companies
Alternative Title :Αποτίμηση τραπεζών
Creator :Μπερτσάτος, Γεώργιος
Contributor :Σακελλάρης, Πλούταρχος (Επιβλέπων καθηγητής)
Athens University of Economics and Business, Department of Economics (Degree granting institution)
Type :Text
Notes :JEL classification: C32; C33; G12; G14; G21
Extent :87p.
Language :en
Abstract :We examine the stock market valuation of large and systemic U.S. bank holding companies over a decade before and after the financial crisis. We establish a dynamic relationship between the price – to – book (PB) ratio of equity and the cost of equity, expected growth of net income and dividend payout ratio. We also find large heterogeneity in the degree to which PB ratios are temporarily above or below their long – run equilibrium valuation. These divergences are persistent and systematically related to bank balance sheet characteristics, market sentiment as well as the three aforementioned fundamentals. PB ratios under – react to changes in fundamental variables. Also, we find preliminary evidence for future stock return predictability.
Subject :Valuation
Systemic U.S. banks
Financial crisis
Pooled mean group estimation
Date :31-10-2015
Licence :

File: bertsatos.pdf

Type: application/pdf