Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms
构建了一个模型，用于估计银行账面资本与经济价值之间的隐性资本，并将其分解为表内和表外来源，同时检验其决定因素。对1975-1985年银行样本的分析显示，两种隐性资本均存在显著变化。
ABSTRACT Hidden capital exists whenever the accounting measure of a firm's net worth diverges from its economic value. Such unbooked capital has on‐balance‐sheet and off‐balance‐sheet sources. This paper develops a model to estimate both forms of hidden capital and to test hypotheses about their determinants. In effect, the analysis expands the two‐index model by endogenizing the market and interest‐rate sensitivities of any stock and decomposing each sensitivity into on‐balance‐sheet and off‐balance‐sheet elements. For a sample of banks during 1975–1985, the model finds considerable variation in both forms of hidden capital.