Bank Capital : Lessons from the Financial Crisis
Using a multi-country panel of banks, the authors study whether better capitalized banks fared better in terms of stock returns during the financial crisis. They differentiate among various types of capital ratios: the Basel risk-adjusted ratio; th...
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| Format: | Policy Research Working Paper |
| Language: | English |
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2012
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| Online Access: | http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20101110113157 http://hdl.handle.net/10986/3955 |
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okr-10986-39552021-04-23T14:02:14Z Bank Capital : Lessons from the Financial Crisis Demirguc-Kunt, Asli Detragiache, Enrica Merrouche, Ouarda ACCOUNTING ACCOUNTS ARBITRAGE ASSET CLASSES ASSET PRICING ASSET QUALITY ASSET RATIO BACKED SECURITIES BAILOUT BALANCE SHEET BALANCE SHEETS BALANCE-SHEET BANK ASSET BANK ASSETS BANK BALANCE SHEET BANK CAPITAL BANK CAPITALIZATION BANK CREDITORS BANK EQUITY BANK FAILURES BANK LIQUIDITY BANK LOANS BANK POLICY BANK PORTFOLIOS BANK REGULATION BANK SUPERVISION BANKING CRISES BANKING SECTOR BANKING STABILITY BANKING SUPERVISION BANKRUPTCY BANKS BASIS POINTS BENCHMARK BOND SPREAD BOND YIELDS BONDS BOOK VALUE CAPITAL ADEQUACY CAPITAL ASSET CAPITAL INFLOWS CAPITAL INJECTION CAPITAL REGULATION CAPITAL REQUIREMENT CAPITAL REQUIREMENTS CAPITAL STANDARDS CAPITALS CDS CENTRAL BANKS CORPORATE BOND CORPORATE GOVERNANCE CREDIT DEFAULT CREDIT DEFAULT SWAP CREDIT DEFAULT SWAPS CREDIT SPREAD CREDITORS CRISIS COUNTRY DEBT DEFAULT PROBABILITY DEFAULT RISK DEMAND DEPOSITS DEPOSIT DEPOSIT INSURANCE DEPOSITS DUMMY VARIABLE DUMMY VARIABLES ECONOMIC CRISIS EQUALITY EQUITY MARKET EQUITY RATIO EQUITY VALUE EQUITY VALUES EUROPEAN CENTRAL BANK FINANCE MINISTRIES FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL INNOVATION FINANCIAL INSTITUTIONS FINANCIAL INTERMEDIATION FINANCIAL MARKETS FINANCIAL POLICIES FINANCIAL SECTOR FINANCIAL STABILITY FINANCIAL STRESS FINANCIAL STUDIES FINANCIAL SUPPORT FINANCIAL SYSTEM FREE ASSET FUTURE CASH FLOWS GDP GLOBAL BANKING GOVERNMENT BOND GOVERNMENT BOND YIELD GOVERNMENT SUPPORT GROUP OF BANKS HOLDING HOLDINGS INSTRUMENT INTANGIBLE INTEREST INCOME INTEREST RATE INTEREST RATES INTERNATIONAL BANK INTERNATIONAL DEVELOPMENT INTERNATIONAL SETTLEMENTS LIMITED LIABILITY LIQUID ASSETS LIQUIDITY RATIO LOAN LOAN LOSS PROVISIONS LOAN PORTFOLIO MACROECONOMIC SHOCKS MACROECONOMIC VARIABLES MARKET DATA MARKET PARTICIPANTS MARKET RETURN MARKET VALUE MATURITY MINIMUM CAPITAL REQUIREMENTS MONETARY FUND MORAL HAZARD MORTGAGE MORTGAGE-BACKED SECURITIES NEGATIVE SHOCK OFF BALANCE SHEET OPERATING INCOME POLICY RESPONSE POLICY RESPONSES PORTFOLIO RISK PRICE VOLATILITY PRICING MODELS PROFITABILITY PRUDENTIAL STANDARDS PUBLIC FUNDS RECAPITALIZATION RECESSION REGULATORY APPROACHES REGULATORY STANDARDS RESERVES RETAINED EARNINGS RISK EXPOSURE RISK TAKING RISK WEIGHTED ASSETS RISKY LOAN SAVINGS SHAREHOLDER SHAREHOLDERS SMALL BANKS STANDARD ASSET STOCK MARKET STOCK PRICES STOCK RETURN STOCK RETURNS SUBORDINATED DEBT TIER 1 CAPITAL TIER 2 CAPITAL TRADING TRANCHE TRANSPARENCY TREASURY VALUATION WHOLESALE FUNDING Using a multi-country panel of banks, the authors study whether better capitalized banks fared better in terms of stock returns during the financial crisis. They differentiate among various types of capital ratios: the Basel risk-adjusted ratio; the leverage ratio; the Tier I and Tier II ratios; and the common equity ratio. They find several results: (i) before the crisis, differences in capital did not affect subsequent stock returns; (ii) during the crisis, higher capital resulted in better stock performance, most markedly for larger banks and less well-capitalized banks; (iii) the relationship between stock returns and capital is stronger when capital is measured by the leverage ratio rather than the risk-adjusted capital ratio; (iv) there is evidence that higher quality forms of capital, such as Tier 1 capital, were more relevant. They also examine the relationship between bank capitalization and credit default swap (CDS) spreads. 2012-03-19T18:42:47Z 2012-03-19T18:42:47Z 2010-11-01 http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20101110113157 http://hdl.handle.net/10986/3955 English Policy Research working paper ; no. WPS 5473 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank Publications & Research :: Policy Research Working Paper The World Region The World Region |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English |
| topic |
ACCOUNTING ACCOUNTS ARBITRAGE ASSET CLASSES ASSET PRICING ASSET QUALITY ASSET RATIO BACKED SECURITIES BAILOUT BALANCE SHEET BALANCE SHEETS BALANCE-SHEET BANK ASSET BANK ASSETS BANK BALANCE SHEET BANK CAPITAL BANK CAPITALIZATION BANK CREDITORS BANK EQUITY BANK FAILURES BANK LIQUIDITY BANK LOANS BANK POLICY BANK PORTFOLIOS BANK REGULATION BANK SUPERVISION BANKING CRISES BANKING SECTOR BANKING STABILITY BANKING SUPERVISION BANKRUPTCY BANKS BASIS POINTS BENCHMARK BOND SPREAD BOND YIELDS BONDS BOOK VALUE CAPITAL ADEQUACY CAPITAL ASSET CAPITAL INFLOWS CAPITAL INJECTION CAPITAL REGULATION CAPITAL REQUIREMENT CAPITAL REQUIREMENTS CAPITAL STANDARDS CAPITALS CDS CENTRAL BANKS CORPORATE BOND CORPORATE GOVERNANCE CREDIT DEFAULT CREDIT DEFAULT SWAP CREDIT DEFAULT SWAPS CREDIT SPREAD CREDITORS CRISIS COUNTRY DEBT DEFAULT PROBABILITY DEFAULT RISK DEMAND DEPOSITS DEPOSIT DEPOSIT INSURANCE DEPOSITS DUMMY VARIABLE DUMMY VARIABLES ECONOMIC CRISIS EQUALITY EQUITY MARKET EQUITY RATIO EQUITY VALUE EQUITY VALUES EUROPEAN CENTRAL BANK FINANCE MINISTRIES FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL INNOVATION FINANCIAL INSTITUTIONS FINANCIAL INTERMEDIATION FINANCIAL MARKETS FINANCIAL POLICIES FINANCIAL SECTOR FINANCIAL STABILITY FINANCIAL STRESS FINANCIAL STUDIES FINANCIAL SUPPORT FINANCIAL SYSTEM FREE ASSET FUTURE CASH FLOWS GDP GLOBAL BANKING GOVERNMENT BOND GOVERNMENT BOND YIELD GOVERNMENT SUPPORT GROUP OF BANKS HOLDING HOLDINGS INSTRUMENT INTANGIBLE INTEREST INCOME INTEREST RATE INTEREST RATES INTERNATIONAL BANK INTERNATIONAL DEVELOPMENT INTERNATIONAL SETTLEMENTS LIMITED LIABILITY LIQUID ASSETS LIQUIDITY RATIO LOAN LOAN LOSS PROVISIONS LOAN PORTFOLIO MACROECONOMIC SHOCKS MACROECONOMIC VARIABLES MARKET DATA MARKET PARTICIPANTS MARKET RETURN MARKET VALUE MATURITY MINIMUM CAPITAL REQUIREMENTS MONETARY FUND MORAL HAZARD MORTGAGE MORTGAGE-BACKED SECURITIES NEGATIVE SHOCK OFF BALANCE SHEET OPERATING INCOME POLICY RESPONSE POLICY RESPONSES PORTFOLIO RISK PRICE VOLATILITY PRICING MODELS PROFITABILITY PRUDENTIAL STANDARDS PUBLIC FUNDS RECAPITALIZATION RECESSION REGULATORY APPROACHES REGULATORY STANDARDS RESERVES RETAINED EARNINGS RISK EXPOSURE RISK TAKING RISK WEIGHTED ASSETS RISKY LOAN SAVINGS SHAREHOLDER SHAREHOLDERS SMALL BANKS STANDARD ASSET STOCK MARKET STOCK PRICES STOCK RETURN STOCK RETURNS SUBORDINATED DEBT TIER 1 CAPITAL TIER 2 CAPITAL TRADING TRANCHE TRANSPARENCY TREASURY VALUATION WHOLESALE FUNDING |
| spellingShingle |
ACCOUNTING ACCOUNTS ARBITRAGE ASSET CLASSES ASSET PRICING ASSET QUALITY ASSET RATIO BACKED SECURITIES BAILOUT BALANCE SHEET BALANCE SHEETS BALANCE-SHEET BANK ASSET BANK ASSETS BANK BALANCE SHEET BANK CAPITAL BANK CAPITALIZATION BANK CREDITORS BANK EQUITY BANK FAILURES BANK LIQUIDITY BANK LOANS BANK POLICY BANK PORTFOLIOS BANK REGULATION BANK SUPERVISION BANKING CRISES BANKING SECTOR BANKING STABILITY BANKING SUPERVISION BANKRUPTCY BANKS BASIS POINTS BENCHMARK BOND SPREAD BOND YIELDS BONDS BOOK VALUE CAPITAL ADEQUACY CAPITAL ASSET CAPITAL INFLOWS CAPITAL INJECTION CAPITAL REGULATION CAPITAL REQUIREMENT CAPITAL REQUIREMENTS CAPITAL STANDARDS CAPITALS CDS CENTRAL BANKS CORPORATE BOND CORPORATE GOVERNANCE CREDIT DEFAULT CREDIT DEFAULT SWAP CREDIT DEFAULT SWAPS CREDIT SPREAD CREDITORS CRISIS COUNTRY DEBT DEFAULT PROBABILITY DEFAULT RISK DEMAND DEPOSITS DEPOSIT DEPOSIT INSURANCE DEPOSITS DUMMY VARIABLE DUMMY VARIABLES ECONOMIC CRISIS EQUALITY EQUITY MARKET EQUITY RATIO EQUITY VALUE EQUITY VALUES EUROPEAN CENTRAL BANK FINANCE MINISTRIES FINANCIAL CRISES FINANCIAL CRISIS FINANCIAL INNOVATION FINANCIAL INSTITUTIONS FINANCIAL INTERMEDIATION FINANCIAL MARKETS FINANCIAL POLICIES FINANCIAL SECTOR FINANCIAL STABILITY FINANCIAL STRESS FINANCIAL STUDIES FINANCIAL SUPPORT FINANCIAL SYSTEM FREE ASSET FUTURE CASH FLOWS GDP GLOBAL BANKING GOVERNMENT BOND GOVERNMENT BOND YIELD GOVERNMENT SUPPORT GROUP OF BANKS HOLDING HOLDINGS INSTRUMENT INTANGIBLE INTEREST INCOME INTEREST RATE INTEREST RATES INTERNATIONAL BANK INTERNATIONAL DEVELOPMENT INTERNATIONAL SETTLEMENTS LIMITED LIABILITY LIQUID ASSETS LIQUIDITY RATIO LOAN LOAN LOSS PROVISIONS LOAN PORTFOLIO MACROECONOMIC SHOCKS MACROECONOMIC VARIABLES MARKET DATA MARKET PARTICIPANTS MARKET RETURN MARKET VALUE MATURITY MINIMUM CAPITAL REQUIREMENTS MONETARY FUND MORAL HAZARD MORTGAGE MORTGAGE-BACKED SECURITIES NEGATIVE SHOCK OFF BALANCE SHEET OPERATING INCOME POLICY RESPONSE POLICY RESPONSES PORTFOLIO RISK PRICE VOLATILITY PRICING MODELS PROFITABILITY PRUDENTIAL STANDARDS PUBLIC FUNDS RECAPITALIZATION RECESSION REGULATORY APPROACHES REGULATORY STANDARDS RESERVES RETAINED EARNINGS RISK EXPOSURE RISK TAKING RISK WEIGHTED ASSETS RISKY LOAN SAVINGS SHAREHOLDER SHAREHOLDERS SMALL BANKS STANDARD ASSET STOCK MARKET STOCK PRICES STOCK RETURN STOCK RETURNS SUBORDINATED DEBT TIER 1 CAPITAL TIER 2 CAPITAL TRADING TRANCHE TRANSPARENCY TREASURY VALUATION WHOLESALE FUNDING Demirguc-Kunt, Asli Detragiache, Enrica Merrouche, Ouarda Bank Capital : Lessons from the Financial Crisis |
| geographic_facet |
The World Region The World Region |
| relation |
Policy Research working paper ; no. WPS 5473 |
| description |
Using a multi-country panel of banks,
the authors study whether better capitalized banks fared
better in terms of stock returns during the financial
crisis. They differentiate among various types of capital
ratios: the Basel risk-adjusted ratio; the leverage ratio;
the Tier I and Tier II ratios; and the common equity ratio.
They find several results: (i) before the crisis,
differences in capital did not affect subsequent stock
returns; (ii) during the crisis, higher capital resulted in
better stock performance, most markedly for larger banks and
less well-capitalized banks; (iii) the relationship between
stock returns and capital is stronger when capital is
measured by the leverage ratio rather than the risk-adjusted
capital ratio; (iv) there is evidence that higher quality
forms of capital, such as Tier 1 capital, were more
relevant. They also examine the relationship between bank
capitalization and credit default swap (CDS) spreads. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Demirguc-Kunt, Asli Detragiache, Enrica Merrouche, Ouarda |
| author_facet |
Demirguc-Kunt, Asli Detragiache, Enrica Merrouche, Ouarda |
| author_sort |
Demirguc-Kunt, Asli |
| title |
Bank Capital : Lessons from the Financial Crisis |
| title_short |
Bank Capital : Lessons from the Financial Crisis |
| title_full |
Bank Capital : Lessons from the Financial Crisis |
| title_fullStr |
Bank Capital : Lessons from the Financial Crisis |
| title_full_unstemmed |
Bank Capital : Lessons from the Financial Crisis |
| title_sort |
bank capital : lessons from the financial crisis |
| publishDate |
2012 |
| url |
http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20101110113157 http://hdl.handle.net/10986/3955 |
| _version_ |
1764389201164369920 |