Large Is Riskier: The Case of European Commercial Banks
- Daniela Venanzi
Abstract
Which factors determine the systematic risk of European banks? The issue is very important for regulators and decision-makers in financial markets. This study follows the Beaver, Kettler and Scholes (1970)’s pioneering approach, which estimates true betas of not-financial firms by correcting the observed market betas through the fundamental financial/accounting ratios that better explain the systematic risk. By extending this approach to commercial banks, the fundamental betas of a sample of more than 100 European banks in 2006-2015 period, are empirically estimated. The emerging findings show that size, diversification, derivatives, and TEXAS ratio increase the systematic risk of banks and that the risk weighting of assets, based on Basel framework, does not correctly catch the bank risks (as perceived by the market), since it influences negatively their beta.
This evidence weakens the dominant belief among European supervisory institutions and governments that growing up through M&As is the panacea for European banks.
- Full Text:
PDF
- DOI:10.5539/ijbm.v16n1p19
Journal Metrics
Google-based Impact Factor (2023): 0.86
h-index(2023): 152
i10-index(2023): 1168
Index
- Academic Journals Database
- ACNP
- AIDEA list (Italian Academy of Business Administration)
- ANVUR (Italian National Agency for the Evaluation of Universities and Research Institutes)
- Berkeley Library
- CNKI Scholar
- COPAC
- EBSCOhost
- Electronic Journals Library
- Elektronische Zeitschriftenbibliothek (EZB)
- EuroPub Database
- Excellence in Research for Australia (ERA)
- Genamics JournalSeek
- GETIT@YALE (Yale University Library)
- IBZ Online
- JournalTOCs
- Library and Archives Canada
- LOCKSS
- MIAR
- National Library of Australia
- Norwegian Centre for Research Data (NSD)
- PKP Open Archives Harvester
- Publons
- Qualis/CAPES
- RePEc
- ROAD
- Scilit
- SHERPA/RoMEO
- Standard Periodical Directory
- Universe Digital Library
- UoS Library
- WorldCat
- ZBW-German National Library of Economics
Contact
- Stephen LeeEditorial Assistant
- ijbm@ccsenet.org