Bank holding company stock risk and the composition of bank asset portfolios
实证分析银行控股公司股票收益行为，研究资产组合构成如何影响股票风险，发现多种银行资产显著解释股票风险特征，并讨论对风险资本标准的启示。
In this paper, I conduct an empirical analysis of the behavior of bank holding company stock returns with the goal of identifying the effect of portfolio composition on the risks embodied in those returns. Using a modified arbitrage pricing theory model, I test for significant balance sheet effects on both the market and nonmarket components of bank stock systematic risk. I find that several categories of bank assets are significant in explaining bank stock risk profiles. Among other things, I discuss the importance of these findings in light of the risk-based capital standards and suggest that noncredit types of risk may need to be incorporated into bank capital standards if capital levels are to reflect risk accurately.