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The Effect of Nonbank Diversification on Bank Holding Company Risk
10 references·3 citing·45 second hop
The Effect of Nonbank Diversification on Bank Holding Company Risk (1992)The Effect of Nonbank Diversification on …Relationship between bank holding company risk and nonbank activity (1989)Relationship between bank hol…Interest Rate Sensitivity, Asymmetry, and the Stock Returns of Financial Institutions (1989)Interest Rate Sensitivity, As…Diversification of the Banking Firm (1989)Diversification of the Bankin…Has bank holding companies' diversification affected their risk of failure? (1987)Has bank holding companies' d…Risk, Regulation, and Bank Holding Company Expansion Into Nonbanking (1986)Risk, Regulation, and Bank Ho…The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)The Effect of Interest Rate C…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Systematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Systematic Interest-Rate Risk…THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS (1972)THE EFFECT OF THE FIRM'S CAPI…Some Studies of Variability of Returns on Investments in Common Stocks (1970)Some Studies of Variability o…Bank revenue diversification: its impact on risk and return in Brazilian banks (2018)Bank revenue diversification:…The Determinants of Systematic Risk in the Italian Banking System: A Cross-Sectional Time Series Analysis (2012)The Determinants of Systemati…Does Diversification Increase or Decrease Bank Risk and Performance? Evidence on Diversification and the Risk-Return Tradeoff in Banking (2010)Does Diversification Increase…An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory (1977)Deposit Insurance and Bank Regulation: A Partial-Equilibrium Exposition (1978)Federal Deposit Insurance, Regulatory Policy, and Optimal Bank Capital (1981)The Profitability and Risk Effects of Allowing Bank Holding Companies to Merge With Other Financial Firms: A Simulation Study (1988)Ownership Structure and Risk-Taking: Comparative Evidence from Private and State-Controlled Banks in China (2013)Financial crisis, bank diversification, and financial stability: OECD countries (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)Proceedings of a Conference on Bank Structure and Competition. (1969)The federal ?safety net? and the repeal of the Glass-Steagall act's separation of commercial and investment banking (1989)Determinants of bank growth choice (2000)The erosion of the Glass–Steagall Act: (2000)SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)Equilibrium in a Capital Asset Market (1966)Interest Rate Risk and Equity Values of Life Insurance Companies: A GARCH–M Model (2007)The foreign exchange exposure of Chinese banks (2009)Linear and nonlinear interest rate sensitivity of Spanish banks (2011)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Problems and Solutions in Conducting Event Studies (1990)The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry (1996)The cost of capital, corporation finance and the theory of investment (2008)The Pricing of Options and Corporate Liabilities (1973)The option pricing model and the risk factor of stock (1976)The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)Birth, Growth, and Life or Death of Newly Chartered Banks (1999)Revenue diversification and financial performance of savings and credit co-operatives in Kenya (2015)Bank business models and liquidity creation (2020)An Intertemporal Capital Asset Pricing Model (1973)Asset returns and inflation (1977)Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Cost and Profit Efficiency of Financial Conglomerates and Universal Banks in Europe (2002)Does the stock market value bank diversification? (2007)A LIMITED‐DIVERSIFICATION PORTFOLIO SELECTION MODEL FOR THE SMALL INVESTOR (1974)Measuring portfolio performance and the empirical content of asset pricing models (1979)An Index of Portfolio Diversification (1992)Market Reforms, Legal Changes and Bank Risk-Taking – Evidence from Transition Economies (2011)Earnings response coefficients of OECD banks: Tests extended to include bank risk factors (2013)
this work references cited by second hop

References

  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1972THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS1,130 cited
  • 1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions771 cited
  • 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns294 cited
  • 1986Risk, Regulation, and Bank Holding Company Expansion Into Nonbanking238 cited
  • 1970Some Studies of Variability of Returns on Investments in Common Stocks188 cited
  • 1989Relationship between bank holding company risk and nonbank activity59 cited
  • 1987Has bank holding companies' diversification affected their risk of failure?58 cited
  • 1989Diversification of the Banking Firm53 cited
  • 1989Interest Rate Sensitivity, Asymmetry, and the Stock Returns of Financial Institutions44 cited

Cited by

  • 2012The Determinants of Systematic Risk in the Italian Banking System: A Cross-Sectional Time Series Analysis40 cited
  • 2010Does Diversification Increase or Decrease Bank Risk and Performance? Evidence on Diversification and the Risk-Return Tradeoff in Banking27 cited
  • 2018Bank revenue diversification: its impact on risk and return in Brazilian banks24 cited

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