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Time-Varying Conditional Beta, Return Spillovers, and Dynamic Bank Diversification Strategies
The Quarterly Review of Economics and Finance ( IF 4.324 ) Pub Date : 2021-02-01 , DOI: 10.1016/j.qref.2020.06.007
Lu Wang

Abstract This paper investigates how time-varying beta and return spillovers relate to bank diversification strategies conditional on market states, from a portfolio management approach. This paper explores the methods of estimating beta in a time-varying fashion for banking data. Further, it discovers the regime-switching relationship between bank beta and returns. Finally, this paper analyzes how the dynamic relationship between beta and return implies to bank diversification strategies. The main findings are: 1) Bank betas are time-varying and the relationship between beta and return in banking is regime-dependent; 2) banks use different diversification strategies in response to market movements conditional on market stability; 3) return spillovers among the banking industry affect bank returns through activity diversification.

中文翻译:

时变条件 Beta、回报溢出效应和动态银行多元化战略

摘要 本文从投资组合管理方法研究了时变贝塔系数和回报溢出与以市场状态为条件的银行多元化战略之间的关系。本文探讨了以时变方式为银行数据估计 Beta 的方法。此外,它发现了银行贝塔系数和回报之间的制度转换关系。最后,本文分析了贝塔系数与收益之间的动态关系如何对银行多元化战略产生影响。主要发现是: 1) 银行贝塔系数是随时间变化的,贝塔系数与银行业回报之间的关系是依赖于制度的;2) 银行以市场稳定为条件,采用不同的多元化策略来应对市场波动;3) 银行业之间的收益溢出效应通过活动多元化影响银行收益。
更新日期:2021-02-01
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