Book‐to‐Market Equity, Asset Correlations and the Basel Capital Requirement
研究了账面市值比（BE/ME）如何影响巴塞尔资本要求下的资产相关性，发现高BE/ME的借款人资产相关性更低，且这一效应独立于公司规模、违约概率和行业因素。
Abstract This paper examines the effect of book‐to‐market equity (BE/ME) on asset correlations under the Basel capital requirement. We find that BE/ME captures variations in asset correlations after controlling for firm size, default probability and industry effects from 1987 to 2011. Obligors with higher BE/ME exhibit lower asset correlations compared to those with lower BE/ME. Decomposing BE/ME into assets‐in‐place and growth options based on the asset pricing literature shows that obligors with more assets‐in‐place or more fixed assets have higher BE/ME and lower asset correlations than those with more growth options. Overall, our findings suggest that BE/ME is an additional important factor that may improve the estimates of asset correlations and thereby banks’ capital adequacy.